Suchergebnisse

One: Unit Root and Fractional Integration -- 1. Testing for a Unit Root in the Presence of a Maintained Trend -- 2. Random Walks Versus Fractional Integration: Power Comparisons of Scalar and Joint Tests of the Variance-Time Function -- 3. Testing for a Random Walk: A Simulation Experiment of Power When the Sampling Interval is Varied -- Two: Nonparametric Econometrics -- 4. Estimation of a Probability Density Function with Applications to Nonparametric Inference in Econometrics -- 5. Estimation of the Shape of the Demand Curve by Nonparametric Kernel Methods -- Three: Modelling Demand Systems -- 6. A Class of Dynamic Demand Systems -- 7. A Reinterpretation of the Almost Ideal Demand System -- 8. Stochastic Specification and Maximum-Likelihood Estimation of the Linear Expenditure System -- Four: Modelling Issues -- 9. Selection Bias: More than a Female Phenomenon -- 10. A Comparison of Two Significance Tests for Structural Stability in the Linear Regression Model -- 11. Rates of Return on Physical and R&D Capital and Structure of the Production Process: Cross Section and Time Series Evidence.

Unobservable variables in econometrics are represented in one of three ways: by variables contaminated by measurement errors, by proxy variables, or by various manifest indicators and/or causes. This paper contains a discussion of models involving each of these representations, and highlights certain interesting implications that have been insufficiently emphasized or completely unrecognized in the literature.

Time series econometrics is a rapidly evolving field. Particularly, the cointegration revolution has had a substantial impact on applied analysis. Hence, no textbook has managed to cover the full range of methods in current use and explain how to proceed in applied domains. This gap in the literature motivates the present volume. The methods are sketched out, reminding the reader of the ideas underlying them and giving sufficient background for empirical work. The treatment can also be used as a textbook for a course on applied time series econometrics. Topics include: unit root and cointegration analysis, structural vector autoregressions, conditional heteroskedasticity and nonlinear and nonparametric time series models. Crucial to empirical work is the software that is available for analysis. New methodology is typically only gradually incorporated into existing software packages. Therefore a flexible Java interface has been created, allowing readers to replicate the applications and conduct their own analyses.