청구기호 |
HB141 .C619 1999 |
형태사항 |
vi, 497 p. : ill., 1 port. ; 24 cm.
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언어 |
English |
서지주기 |
Includes bibliographical references.
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내용 |
1. A comparison of linear and nonlinear univariate models for forecasting macroeconomic time series / James H. Stock and Mark W. Watson -- 2. A multivariate time series analysis of the data revision process for industrial production and the composite leading indicator / Norman R. Swanson, Eric Ghysels, and Myles Callan -- 3. Evaluating density forecasts of inflation: the survey of professional forecasters / Francis X. Diebold, Anthony S. Tay, and Kenneth F. Wallis -- 4. Ranking competing multi-step forecasts / Paul Newbold, David I. Harvey, and Stephen J. Leybourne -- 5. The pervasiveness of Granger causality in econometrics / David F. Hendry and Grayham E. Mizon -- 6. A class of tests for integration and cointegration / James H. Stock -- 7. Order selection in testing for the cointegrating rank of a VAR process / Helmut Lutkepohl and Pentti Saikkonen -- 8. Granger's representation theorem and multicointegration / Tom Engsted and Søren Johansen -- 9. Dimensionality effect in cointegration analysis / Jesus Gonzalo and Jean-Yves Pitarakis -- 10. Testing DHSY as a restricted conditional model of a trivariate seasonally cointegrated system / Luigi Ermini -- 11. A unit root test in the presence of structural changes in I(1) and I(0) models / Michio Hatanaka and Kazuo Yamada -- 12. Investigating inflation transmission by stages of processing / Tae-Hwy Lee and Stuart Scott -- 13. Price convergence in the medium and long run: an I(2) analysis of six price indices / Katarina Juselius -- 14. M-testing using finite and infinite dimensional parameter estimators / Halbert White and Yongmiao Hong -- 15. Asymptotic properties of some specification tests in linear models with integrated processes / Jeffrey M. Wooldridge -- 16. Residual variance estimates and order determination in panels of intercorrelated autoregressive time series / Vidar Hjellvik and Dag Tjøstheim -- 17. Partial pooling: a possible answer to "To pool or not to pool" / Farshid Vahid -- 18. A simultaneous binary choice/count model with an application to credit card approvals / Andrew A. Weiss -- 19. Statistical properties of the asymmetric power ARCH process / Changli He and Timo Terasvirta -- 20. A long-run and short-run component model of stock return volatility / Robert F. Engle and Gary G.J. Lee.
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수상주기 |
Winner of the Novel Prize in Economics, 2003
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주제 |
Econometric models.
Cointegration.
Business forecasting --Econometric models.
Econometrics.
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LCCN |
00269214
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ISBN |
0198296835
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