| Notes on Contributors | | viii | |
| Foreword | | xi | |
| Editors` Introduction | | xiii | |
| Part I An Overview | |
| 1 Econometrics in Retrospect and Prospect |
| | 3 | |
| Aris Spanos, Virginia Polytechnic Institute and State University |
| |
| Part II Methodology and History of Econometrics | |
| 2 The Methodology of Econometrics |
| | 61 | |
| Kevin D. Hoover, University of California |
| |
| 3 Early Explorations in Econometrics |
| | 88 | |
| Richard William Farebrother, University of Manchester |
| |
| 4 The First Fifty Years of Modern Econometrics |
| | 117 | |
| Christopher L. Gilbert, Universit egli Studi di Trento and Duo Qin, Queen Mary College, University of London |
| |
| Part III Asymptotic Techniques and Theorems | |
| 5 Asymptotic Methods and Functional Central Limit Theorems |
| | 159 | |
| James Davidson, University of Exeter |
| |
| Part IV Time Series and Regression Methods | |
| 6 Stationary Linear Univariate Time Series Models |
| | 215 | |
| Andrew Tremayne, University of Sydney and University of York |
| |
| 7 Improving Size and Power in Unit Root Testing |
| | 252 | |
| Niels Haldrup, University of Aarhus and Michael Jansson, University of California, Berkeley |
| |
| 8 Dealing with Structural Breaks |
| | 278 | |
| Pierre Perron, Boston University |
| |
| 9 Semiparametric Estimation of Long-Memory Models |
| | 353 | |
| Carlos Velasco, Department of Economics, Universidad Carlos III de Madrid |
| |
| 10 Univariate Nonlinear Time Series Models |
| | 396 | |
| Timo Ter irta, Stockholm School of Economics |
| |
| Part V Multivariate Models | |
| 11 Estimating Functions and Equations: An Essay on Historical Developments with Applications to Econometrics |
| | 427 | |
| Anil K. Bera, University of Illinois, Yannis Bilias, University of Cyprus and Pradosh Simlai, University of Illinois |
| |
| 12 Vector Autoregressive Models |
| | 477 | |
| Helmut Liitkepohl, European University Institute |
| |
| | 511 | |
| In Choi, Hong Kong University of Science and Technology |
| |
| 14 Cointegration: An Overview |
| | 540 | |
| S ren Johansen, University of Copenhagen |
| |
| 15 Threshold Effects in Multivariate Error Correction Models |
| | 578 | |
| Jes s Gonzalo, University of Madrid and Jean-Yves Pitarakis, University of Southampton |
| |
| | 610 | |
| Farshid Vahid, Australian National University |
| |
| Part VI Cross-Section and Panel Data Models | |
| | 633 | |
| Badi H. Baltagi, Center for Policy Research, Syracuse University |
| |
| 18 Nonstandard Dependent Variables Models: Some Common Structures of Simulated Specification Tests |
| | 662 | |
| Lung-fei Lee, Ohio State University |
| |
| 19 Censored Data and Truncated Distributions |
| | 695 | |
| William Greene, Leonard N. Stern School of Business, New York University |
| |
| Part VII Stochastic Volatility | |
| | 737 | |
| Richard T. Baillie, Michigan State University |
| |
| 21 Multivariate Volatility Models |
| | 765 | |
| Chris Brooks, Cass Business School |
| |
| Part VIII Computation and Econometrics | |
| 22 The Role of Simulation in Econometrics |
| | 787 | |
| Jurgen A. Doornik, Nuffield College, Oxford University |
| |
| 23 Bootstrap Methods in Econometrics |
| | 812 | |
| Russell Davidson, McGill University and James G. MacKinnon, Queen`s University, Canada |
| |
| Part IX Bayesian Analysis of Econometric Models | |
| | 841 | |
| Dale J. Poirier, University of California at Irvine and Justin L. Tobias, Iowa State University |
| |
| 25 Bayesian Approaches to Cointegration |
| | 871 | |
| Gary Koop, University of Strathclyde, Rodney Strachan, University of Leicester, Herman van Dijk, Erasmus University and Mattias Villani, Sveriges Riksbank and Stockholm University |
| |
| Part X Special Topics | |
| | 901 | |
| Luc Anselin, University of Illinois, Urbana-Champaign |
| |
| | 970 | |
| Andrew Harvey and Giuliano De Rossi, University of Cambridge |
| |
| 28 Nonparametric Econometrics |
| | 1001 | |
| Jeff Racine, Queen`s University, Canada and Aman Ullah, University of California at Riverside |
| |
| 29 Performance of Seasonal Adjustment Procedures: Simulation and Empirical Results |
| | 1035 | |
| Dennis Fok, Philip Hans Franses and Richard Paap, Erasmus University Rotterdam |
| |
| Author Index | | 1057 | |
| Subject Index | | 1076 | |
Paperback, slappe kaft
1097 pagina's
Augustus 2007
1474 gram
235 x 159 x 51 mm
PALGRAVE MACMILLAN
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Bertrand M. Roehner
Patterns of Speculation
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