Palgrave Handbook of Econometrics: Volume 2: Applied Econometrics

Overview

This volume is the most up to date, definitive, reference source for Applied Econometrics. It brings together the finest minds working in econometrics from across the globe.  A comprehensive range of topics are covered including: methodology and philosophy, financial econometrics, economic policy, growth and Development, and computing.

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Overview

This volume is the most up to date, definitive, reference source for Applied Econometrics. It brings together the finest minds working in econometrics from across the globe.  A comprehensive range of topics are covered including: methodology and philosophy, financial econometrics, economic policy, growth and Development, and computing.

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Product Details

  • ISBN-13: 9781403918000
  • Publisher: Palgrave Macmillan
  • Publication date: 7/5/2011
  • Edition description: Reprint
  • Pages: 1400
  • Sales rank: 1,481,114
  • Product dimensions: 6.00 (w) x 9.20 (h) x 2.50 (d)

Meet the Author

TERENCE C. MILLS Professor of Applied Statistics and Econometrics at Loughborough University, UK.

KERRY PATTERSON Professor of Econometrics at University of Reading, UK.

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Table of Contents

PART I: THE METHODOLOGY AND PHILOSOPHY OF APPLIED ECONOMETRICS
The Methodology of Empirical Econometric Modelling: Applied Econometrics Through the Looking-Glass; D.F.Hendry
How Much Structure in Empirical Models?; F.Canova
Introductory Remarks on Metastatistics for the Practically Minded Non-Bayesian Regression Runner; J.DiNardo
PART II: FORECASTING
Forecast Combination and Encompassing; M.P.Clements &D.I.Harvey
Recent Developments in Density Forecasting; S.G.Hall &J.Mitchell
PART III: TIME SERIES APPLICATIONS
Investigating Economic Trends and Cycles; D.S.G.Pollock
Economic Cycles: Assymetries, Persistence, and Synchronization; J.Cardinale &L.W.Taylor
The PPP Puzzle: What the Data Tell When Allowed to Speak Freely; K.Juselius
Structural Time Series Models for Business Cycle Analysis; T.Proietti
Fractional Integration and Cointegration: An Overview and an Empirical Application; L.A.Gil-Alana& J.Hualde
PART IV: CROSS-SECTION AND PANEL DATA APPLICATIONS
Discrete Choice Modelling; W.Greene
Panel Data Methods and Applications to Health Economics; A.M.Jones
Panel Methods to Test for Unit Roots and Cointegration; A.Banerjee& M.Wagner
PART V: MICROECONOMETRICS
Microeconometrics: Current Methods and Some Recent Developments; A.C.Cameron
Computational Considerations in Empirical Microeconometrics: Selected Examples; D.T.Jacho-Chávez& P.K.Trivedi
PART VI: APPLICATIONS OF ECONOMETRICS TO ECONOMIC POLICY
The Econometrics of Monetary Policy: An Overview; C.A.Favero
Macroeconometric Modelling for Policy; G.Bårdsen& R.Nymoen
Monetary Policy, Beliefs, Unemployment and Inflation: Evidence from the UK; S.G.B.Henry
PART VII: APPLICATIONS TO FINANCIAL ECONOMETRICS
Estimation of Continuous-Time Stochastic Volatility Models; G.Dotsis, R.N.Markellos &T.C.Mills
Testing the Martingale Hypothesis; J.C.Escanciano& I.N.Lobato
Autoregressive Conditional Duration Models; R.Tsay
The Econometrics of Exchange Rates; E.G.Pavlidis, I.Paya& D.A.Peel
PART VIII: GROWTH/DEVELOPMENT ECONOMETRICS
The Econometrics of Convergence; S.N.Durlauf, P.A.Johnson& J.R.W.Temple
The Methods of Growth Econometrics; S.N.Durlauf, P.A.Johnson& J.R.W.Temple
The Econometrics of Finance and Growth; T.Beck
PART IX: SPATIAL ECONOMETRICS
Spatial Hedonic Models; L.Anselin& N.Lozano-Gracia
Spatial Analysis of Economic Convergence; S.J.Rey& J.Le Gallo
PART X: APPLIED ECONOMETRICS AND COMPUTING
Testing Econometric Software; B.D.McCullough
Trends in Applied Econometrics Software Development 1985-2008; M.Ooms
 
 

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