Hostname: page-component-7479d7b7d-t6hkb Total loading time: 0 Render date: 2024-07-09T05:12:18.375Z Has data issue: false hasContentIssue false

Handbook of Econometrics, vol. 4Robert F. Engle and Daniel L. McFadden, Editors Elsevier Science B. V., 1994

Published online by Cambridge University Press:  11 February 2009

Bruce E. Hansen
Affiliation:
Boston College
Joel L. Horowitz
Affiliation:
University of Iowa

Abstract

Image of the first page of this content. For PDF version, please use the ‘Save PDF’ preceeding this image.'
Type
Book Reviews
Copyright
Copyright © Cambridge University Press 1997

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

Amemiya, T. (1985) Advanced Econometrics. Cambridge, MA: Harvard University Press.Google Scholar
Andrews, D.W.K. (1993) Tests for parameter instability and structural change with unknown change point. Econometrica 61, 821856.CrossRefGoogle Scholar
Beveridge, S. & Nelson, C.R. (1981) A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the “business cycle.” Journal of Monetary Economics 7, 151174.CrossRefGoogle Scholar
Bollerslev, T. & Rossi, P.E. (1995) Dan Nelson remembered. Journal of Business and Economic Statistics 13, 361364.CrossRefGoogle Scholar
Chow, G. (1984) Random and changing coefficient models. In Griliches, Z. & Intriligator, M.D. (eds.). Handbook of Econometrics, vol. 2, pp. 12131245. Amsterdam: North-Holland.CrossRefGoogle Scholar
Engle, R.F. (1982) Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation. Econometrica 50, 9871008.CrossRefGoogle Scholar
Engle, R.F. & Granger, C.W.J. (1987) Cointegration and error correction: Representation, estimation, and testing. Econometrica 55, 251276.CrossRefGoogle Scholar
Geweke, J.F., Keane, M.P., & Runkle, D.E. (1994) Statistical Inference in the Multinomial Multiperiod Probit Model. Staff report 177, Federal Reserve Bank of Minneapolis.CrossRefGoogle Scholar
Granger, C.W.J. (1981) Some properties of time series data and their use in econometric specification. Journal of Econometrics 16, 121130.CrossRefGoogle Scholar
Granger, C.W.J. & Teräsvirta, T. (1993) Modelling Nonlinear Economic Relationships. Oxford: Oxford University Press.CrossRefGoogle Scholar
Hall, P. (1992) The Bootstrap and Edgeworth Expansion. New York: Springer-Verlag.CrossRefGoogle Scholar
Härdle, W. (1990) Applied Nonparametric Regression. New York: Cambridge University Press.CrossRefGoogle Scholar
Jeganathan, P. (1991) On the asymptotic behavior of least-squares estimators in AR time series with roots near the unit circle. Econometric Theory 7, 269306.CrossRefGoogle Scholar
Jeganathan, P. (1995) Some aspects of asymptotic theory with applications to time series models. Econometric Theory 11, 818887.CrossRefGoogle Scholar
Johansen, S. (1988) Statistical analysis of cointegrating vectors. Journal of Economic Dynamics and Control 12, 231254.CrossRefGoogle Scholar
Johansen, S. (1991) Estimation and hypothesis testing of cointegration vectors in the presence of linear trend. Econometrica 59, 15511580.CrossRefGoogle Scholar
Keane, M.P. (1994) A computationally practical simulation estimator for panel data. Econometrica 62, 95116.CrossRefGoogle Scholar
Lee, L.-F. (1995) Asymptotic bias in simulated maximum likelihood estimation of discrete choice models. Econometric Theory 11, 437483.CrossRefGoogle Scholar
Manksi, C.F. (1988) Analog Estimation Methods in Econometrics. London: Chapman & Hall.Google Scholar
Nelson, C.R. & Plosser, C.I. (1982) Trends and random walks in macro-economic time series: Some evidence and implications. Journal of Monetary Economics 10, 139162.CrossRefGoogle Scholar
Nyblom, J. (1989) Testing the constancy of parameters over time. Journal of the American Statistical Association 84, 223230.CrossRefGoogle Scholar
Park, J.Y. & Phillips, P.C.B. (1988) Statistical inference in regressions with integrated regressors: Part 1. Econometric Theory 4, 468497.CrossRefGoogle Scholar
Park, J.Y. & Phillips, P.C.B. (1989) Statistical inference in regressions with integrated regressors: Part 2. Econometric Theory 5, 95131.CrossRefGoogle Scholar
Perron, P. (1989) The great crash, the oil price shock and the unit root hypothesis. Econometrica 51, 13611401.CrossRefGoogle Scholar
Phillips, P.C.B. (1986) Understanding spurious regressions in econometrics. Journal of Econometrics 33, 311340.CrossRefGoogle Scholar
Phillips, P.C.B. (1987) Time series regression with a unit root. Econometrica 55, 277302.CrossRefGoogle Scholar
Phillips, P.C.B. & Durlauf, S. (1986) Multiple time series regression with integrated processes. Review of Economic Studies 53, 473496.CrossRefGoogle Scholar
Phillips, P.C.B. & Loretan, M. (1991) Estimating long run economic equilibria. Review of Economic Studies 58, 407436.CrossRefGoogle Scholar
Phillips, P.C.B. & Solo, V. (1992) Asymptotics for linear processes. Annals of Statistics 20, 9711001.CrossRefGoogle Scholar
Powell, J.L., Stock, J.H., & Stoker, T.M. (1989) Semiparametric estimation of index coefficients. Econometrica 57, 14031430.CrossRefGoogle Scholar
Robinson, P.M. (1988) Root-N consistent semiparametric regression. Econometrica 56, 931954.CrossRefGoogle Scholar
Saikkonen, P. (1991) Asymptotically efficient estimation of cointegrating regressions. Econometric Theory 7, 121.CrossRefGoogle Scholar
Sims, C.A. (1980) Macroeconomics and reality. Econometrica 48, 148.CrossRefGoogle Scholar
Sims, C.A., Stock, J.H., & Watson, M.W. (1990) Inference in linear time series models with some unit roots. Econometrica 58, 113144.CrossRefGoogle Scholar
Stock, J.H. & Watson, M.W. (1993) A simple estimator of cointegrating vectors in higher order integrated systems. Econometrica 61, 783821.CrossRefGoogle Scholar