Surveys in Econometrics

Surveys in Econometrics This book comprises ten carefully chosen, up-to-date and comprehensive surveys on econometrics taken from the prestigious Journal of Economic Surveys. The contributions are accessible to technically competent students and those wishing to develop an interest in current econometric issues. Issues covered include Debates on econometric methodology Pre-testing Diagnostic checks Cointegration and unit roots Error correction mechanisms Nonparametric/semiparametric estimation This collection bridges the gap between a textbook and specialist journal contributions and is a unique resource for advanced undergraduate and postgraduate students on quantitative/econometrics courses.

Preface vi 1 Introduction 1 Les Oxley and Colin Roberts 2 Three Econometric Methodologies: A Critical Appraisal 9 Adrian Pagan Three Econometric Methodologies: An Update 30 Adrian Pagan 4 Pre-Test Estimation and Testing in Econometrics: Recent Developments 42 Judith Giles and David Giles 5 Sherlock Holmes and the Search for Truth: A Diagnostic Tale 91 Michael McAleer 6 On Error Correction Models: Specification, Interpretation, Estimation 139 George Alogoskoufis and Ron Smith 7 Econometric Modelling using Cointegrated Time Series 171 Vito Antonio Muscatelli and Stan Hurn 8 On ARCH Models: Properties, Estimation and Testing 215 Anil Bera and Matthew Higgins 9 Nonlinear Time Series Models in Economics 273 Terence Mills 10 Testing the Rational Expectations Hypothesis in Macroeconometric Models with Unobserved Variables 299 Les Oxley and Michael McAleer 11 Nonparametric and Semiparametric Methods for Economic Research 350 Miguel Delgado and Peter Robinson Author Index 397 Subject Index 408