Palgrave handbook of econometrics. Vol.2: Applied econometrics / ed. by T.C.Mills, K.Patterson. - Basingstoke: Palgrave Macmillan, 2011. - xxxiii, 1388 p.: ill. - Incl. bibl. ref. and indexes. - ISBN 978-1-4039-1800-0  Место хранения:   022 | Институт экономики и организации промышленного производства | Новосибирск

Оглавление / Contents

Notes on Contributors ........................................ viii Editors' Introduction .......................................... xi Part I The Methodology and Philosophy of Applied Econometrics 1 The Methodology of Empirical Econometric Modeling: Applied Econometrics Through the Looking Glass ............... 3 David F. Hendry, Nuffield College, Oxford University 2 How Much Structure in Empirical Models? ..................... 68 Fabio Canova, Universitat Pompeu Fabra 3 Introductory Remarks on Metastatistics for the Practically Minded Non-Bayesian Regression Runner ....................... 98 John DiNardo, University of Michigan Part II Forecasting 4 Forecast Combination and Encompassing ...................... 169 Michael P. Clements, Warwick University, and David I. Harvey, School of Economics, University of Nottingham 5 Recent Developments in Density Forecasting ................. 199 Stephen G. Hall, University of Leicester, and James Mitchell, National Institute of Economic and Social Research Part III Time Series Applications 6 Investigating Economic Trends and Cycles ................... 243 D.S.G. Pollock, University of Leicester 7 Economic Cycles: Asymmetries, Persistence, and Synchronization ............................................ 308 Joe Cardinale, Air Products and Chemicals, Inc., and Larry W. Taylor, College of Business and Economics, Lehigh University 8 The Long Swings Puzzle: What the Data Tell When Allowed to Speak Freely ............................................ 349 Katarina Juselius, University of Copenhagen 9 Structural Time Series Models for Business Cycle Analysis ................................................... 385 Tommaso Proietti, University of Rome 'Tor Vergata' 10 Fractional Integration and Cointegration: An Overview and an Empirical Application ................................... 434 Luis A. Gil-Alana and Javier Hualde, Universidad de Navarra Part IV Cross-section and Panel Data Applications 11 Discrete Choice Modeling ................................... 473 William Greene, Stern School of Business, New York University 12 Panel Data Methods and Applications to Health Economics .... 557 Andrew M. Jones, University of York 13 Panel Methods to Test for Unit Roots and Cointegration ..... 632 Anindya Banerjee, University of Birmingham, and Martin Wagner, Institute for Advanced Studies, Vienna Part V Microeconometrics 14 Microeconometrics: Current Methods and Some Recent Developments ............................................... 729 A. Colin Cameron, University of California, Davis 15 Computational Considerations in Empirical Microeconometrics: Selected Examples ....................... 775 David T. Jacho-Chávez and Pravin K. Trivedi, Indiana University Part VI Applications of Econometrics to Economic Policy 16 The Econometrics of Monetary Policy: An Overview ........... 821 Carlo Favero, IGIER-Bocconi University 17 Macroeconometric Modeling for Policy ....................... 851 Gunnar Bårdsen, Norwegian University of Science and Technology, and Ragnar Nymoen, University of Oslo 18 Monetary Policy, Beliefs, Unemployment and Inflation: Evidence from the UK ....................................... 917 S.G.B. Henry, National Institute of Economic and Social Research Part VII Applications to Financial Econometrics 19 Estimation of Continuous-Time Stochastic Volatility Models ..................................................... 951 George Dotsis, Essex Business School, University of Essex, Raphael N. Markellos, Athens University of Economics and Business, and Terence C. Mills, Loughborough University 20 Testing the Martingale Hypothesis .......................... 972 J. Carlos Escanciano, Indiana University, and Ignacio N. Lobato, Instituto Tecnológico Autónomo de Mexico 21 Autoregressive Conditional Duration Models ................ 1004 Ruey S. Tsay, Booth Business School, University of Chicago 22 The Econometrics of Exchange Rates ........................ 1025 Efthymios G. Pavlidis, Ivan Paya, and David A. Peel, Lancaster University Management School VIII Growth Development Econometrics 23 The Econometrics of Convergence ........................... 1087 Steven N. Durlauf, University of Wisconsin-Madison, Paul A. Johnson, Vassar College, New York State, and Jonathan R.W. Temple, Bristol University 24 The Methods of Growth Econometrics ........................ 1119 Steven N. Durlauf, University of Wisconsin-Madison, Paul A. Johnson, Vassar College, New York State, and Jonathan R.W. Temple, Bristol University 25 The Econometrics of Finance and Growth .................... 1180 Thorsten Beck, European Banking Center, Tilburg University, and CEPR Part IX Spatial Econometrics 26 Spatial Hedonic Models .................................... 1213 Luc Anselin, School of Geographical Sciences and Urban Planning, and Nancy Lozano-Gracia, GeoDa Center for Geospatial Analysis and Computation, Arizona State University 27 Spatial Analysis of Economic Convergence .................. 1251 Sergio J. Rey, Arizona State University, and Julie Le Gallo, Université de Franche-Comté Part X Applied Econometrics and Computing 28 Testing Econometric Software .............................. 1293 B.D. McCullough, Drexel University 29 Trends in Applied Econometrics Software Development 1985-2008: An Analysis of Journal of Applied econometrics Research Articles, Software Reviews, Data and Code ............................................. 1321 Marius Ooms, VU University Amsterdam Author Index ................................................. 1349 Subject Index ................................................ 1374