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Handbook of Applied Econometrics, Volume 1: Macroeconomics

Handbook of Applied Econometrics, Volume 1: Macroeconomics

M. Hashem Pesaran (Editor), Mike Wickens (Editor)

ISBN: 978-1-405-16642-3

Feb 2008

496 pages

Select type: O-Book

Description

Providing a major new survey of the latest and most important new developments in applied econometrics, this volume focuses on key topics in macroeconomics.

Each topic is covered by a leading internatioal expert specially commissioned to address the methodological problems of undertaking empirical work in economics. The volume editors have focused on the rigorous application of econometrics and statistical methods to economic problems, making the book the most important and up-to-date statement of thinking in the area.

An essential guide for graduate students, academics and researchers.

List of Figures.

List of Tables.

List of Contributors.

Preface.

Introduction: M. Hashem Pesaran (University of Cambridge) and Michael Wickens (University of York).

1. Unobserved Components in Economic Time Series: Augustin Maravall (European University Institute).

2. Vector Autoregressive Models: Specification, Estimation, Inference, and Forecasting: Fabio Canova (Universitat Pompeu Fabra, Barcelona).

3. Multivariate Rational Expectations Models and Macroeconomic Modelling: Michael Binder (University of Maryland) and Hashem Pesaran (University of Cambridge).

4. Inventory Models: Kenneth D. West (University of Wisconsin).

5. The Consumption Function: John Muellbauer (Nuffield College) and Ralph Lattimore (Department of Industry, Canberra).

6. Large Scale Macroeconomic Modelling: Kenneth Wallis (University of Warwick).

7. The Econometric Analysis of Calibrated Macroeconomic Models: K. Kim (Victoria University of Wellington)and Adrian Pagan (Australian National University, Canberra).

8. Macroeconomic Disequilibrium Models: Guy Laroque (INSEE, Paris) and Bernard Salanie (ENSAE, Paris).

9. Financial Market Efficiency Tests: Tim Bollerslev and Robert Hodrick (Northwestern University, Evanston, IL).

* Offers coverage from leading international experts.

* Provides rigorous applications of econometric and statistical methods to economics problems.

* Examines problems associated with bringing empirical evidence to bear in economics.

* Offers coverage from leading international experts.

* Provides rigorous applications of econometric and statistical methods to economics problems.

* Examines problems associated with bringing empirical evidence to bear in economics.