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Palgrave Macmillan

Macroeconometrics and Time Series Analysis

  • Book
  • © 2010

Overview

Editors:
  1. Steven N. Durlauf

    1. University of Wisconsin-Madison, USA

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    You can also search for this editor in PubMed   Google Scholar

  2. Lawrence E. Blume

    1. Cornell University, USA

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    You can also search for this editor in PubMed   Google Scholar

Part of the book series: The New Palgrave Economics Collection (NPHE)

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Table of contents (41 chapters)

  1. Front Matter

    Pages i-x
    Download chapter 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
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Keywords

About this book

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.

Reviews

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

Editors and Affiliations

  • University of Wisconsin-Madison, USA

    Steven N. Durlauf

  • Cornell University, USA

    Lawrence E. Blume

About the editors

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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