Advances in Econometrics and Modelling
In: Advanced Studies in Theoretical and Applied Econometrics 15
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.