Macroeconometrics and Time Series Analysis

1. Front Matter

   Pages i-x

   PDF

2. Aggregation (econometrics)

   • Thomas M. Stoker

   Pages 1-14

3. ARCH models

   • Oliver B. Linton

   Pages 15-27

4. Bayesian methods in macroeconometrics

   • Frank Schorfheide

   Pages 28-34

5. Bayesian time series analysis

   • Mark F. J. Steel

   Pages 35-45

6. Central limit theorems

   • Werner Ploberger

   Pages 46-52

7. Cointegration

   • Mark W. Watson

   Pages 53-59

8. Continuous and discrete time models

   • Christopher A. Sims

   Pages 60-67

9. Data filters

   • Timothy Cogley

   Pages 68-75

10. Equilibrium-correction models

    • David F. Hendry

    Pages 76-89

11. Forecasting

    • Clive W. J. Granger

    Pages 90-93

12. Fractals

    • Laurent E. Calvet

    Pages 94-98

13. Functional central limit theorems

    • Werner Ploberger

    Pages 99-104

14. Generalized method of moments estimation

    • Lars Peter Hansen

    Pages 105-118

15. Granger-Sims causality

    • G. M. Kuersteiner

    Pages 119-134

16. Heteroskedasticity and autocorrelation corrections

    • Kenneth D. West

    Pages 135-144

17. Impulse response function

    • Helmut Lütkepohl

    Pages 145-150

18. Kalman and particle filtering

    • Jesús Fernández-Villaverde

    Pages 151-157

19. Law(s) of large numbers

    • Werner Ploberger

    Pages 158-162

20. Long memory models

    • P. M. Robinson

    Pages 163-168

Specially selected from The New Palgrave Dictionary of Economics 2nd edition, each article within this compendium covers the fundamental themes within the discipline and is written by a leading practitioner in the field. A handy reference tool.

• econometrics
• economics
• time series
• time series analysis

Praise for the 8-volume edition:

Winner of the 2008 PROSE Award: Best Mutlivolume Reference Work in the Humanitiesand Social Sciences

(from the Professional and Scholarly Division of the Association of American Publishers)

CHOICE Outstanding Academic Title 2008

"Much has changed in the latest incarnation of this dictionary. ...More than 1,500 economists contributed almost 1,900 signed entries; more than 1,000 of the entries are new or 'heavily revised' and expanded. Along with the descriptions of economic method from earlier editions, this edition includes much information on 'what those methods have found.' It also offers new emphasis on advances that have occurred in microeconomics, Bayesian theory, game theory, and behavioral, international, and experimental economics. ...A regularly updated online version of the dictionary is available www.dictionaryofeconomics.com, with site license pricing based on institution type and FTE. Summing Up: Highly recommended." - CHOICE

• University of Wisconsin-Madison, USA

  Steven N. Durlauf

• Cornell University, USA

  Lawrence E. Blume

LAURENT E. CALVET HEC School of Management, France TIMOTHY COGLEY New York University, USA FRANCIS X. DIEBOLD University of Pennsylvania, USA JESÚS FERNÁNDEZ-VILLAVERDE University of Pennsylvania A RONALD GALLANT Duke University, USA CLIVE GRANGER University of California San Diego, USA JAMES D. HAMILTON University of California San Diego, USA LARS PETER HANSEN University of Chicago, USA ANDREW HARVEY University of Cambridge, UK DAVID F. HENDRY University of Oxford, UK YONGMIAO HONG Cornell University, USA SVEND HYLLEBERG Aarhus University, Denmark LUTZ KILIAN University of Michigan, USA ANDROS KOURTELLOS University of Cyprus, Cyprus G.M.KUERSTEINER University of California Davis, USA KURT F. LEWIS University of Iowa, USA OLIVER B. LINTON London School of Economics, UK HELMUT LÜTKEPOHL European University Institute, Italy BRUCE MIZRACH Rutgers University, USA CHARLES R. NELSON University of Washington, USA MARC NERLOVE University of Maryland, USA PIERRE PERRON Boston University, USA PETER C. B. PHILLIPS Yale University, USA WERNER PLOBERGER Washington University in St Louis, USA DALE J. POIRIER University of California Irvine, USA JAMES B. RAMSEY New York University, USA P.M.ROBINSON London School of Economics, UK JUAN F. RUBIO-RAMÍREZ Duke University, USA THOMAS J. SARGENT New York University, USA FRANK SCHORFHEIDE University of Pennsylvania, USA NEIL SHEPHARD University of Oxford, UK CHRISTOPHER A, SIMS Princeton University, USA MARK F.J. STEEL University of Warwick, UK THANASIS STENGOS University of Guelph, Canada THOMAS M. STOKER Massachusetts Institute of Technology, USA TIMO TERÄSVIRTA Aarhus University, Denmark TIMOTHY J. VOGELSANG Michigan State University, USA MARK W. WATSON Princeton University, USA KENNETH D. WEST University of Wisconsin Madison, USA CHARLES H. WHITEMAN University of Iowa, USA TAO ZHA Federal Reserve Bank of Atlanta, USA

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