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Macroeconometrics and time series analysis
2010, Palgrave Macmillan
in English
023023884X 9780230238848
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Book Details
Table of Contents
Aggregation (econometrics) / Thomas M. Stoker
ARCH models / Oliver B. Linton
Bayesian methods in macroeconometrics / Frank Schorfheide
Bayesian times series analysis / Mark F.J. Steel
Central limit theorems / Werner Ploberger
Cointegration / Mark W. Watson
Continuous and discrete time models / Christopher A. Sims
Data filters / Timothy Cogley
Equilibrium-correction models / David F. Hendry
Forecasting / Clive W.J. Granger
Fractals / Laurent E. Calvet
Functional central limit theorems / Werner Ploberger
Generalized method of moments estimation / Lars Peter Hansen
Granger-Sims causality
G.M. Kuersteiner
Heteroskedasticity and autocorrelation corrections / Kenneth D. West
Impulse response function / Helmut Lütkepohl
Kalman and particle filtering / Jesús Fernández-Villaverde
Law(s) of large numbers / Werner Ploberger
Long memory models / P.M. Robinson
Nonlinear time series analysis / Bruce Mizrach
Prediction formulas / Charles H. Whiteman and Kurt F. Lewis
Rational expectations / Thomas J. Sargent
Regime switching models / James D. Hamilton
Seasonal adjustment / Svend Hylleberg
Serial correlation and serial dependence / Yongmiao Hong
SNP : nonparametric time series analysis / A. Ronald Gallant
Spectral analysis / Timothy J. Vogelsang
Spline functions / Dale J. Poirier
Spurious regressions / Clive W.J. Granger
State space models / Andrew Harvey
Stochastic volatility models / Neil Shepard
Structural change, econometrics of / Pierre Perron
Structural vector autoregressions / Jesús Fernández-Villaverde and Juan F. Rubio-Ramírez
Threshold models / Timo Teräsvirta
Time series analysis / Francis X. Diebold, Lutz Kilian and Marc Nerlove
Trend/cycle decomposition / Charles R. Nelson
Unit roots / Peter C.B. Phillips
Variance decomposition / Helmut Lütkepohl
Varying coefficient models / Andros Kourtellos and Thanasis Stengos
Vector autoregressions / Tao Zha
Wavelets / James B. Ramsey.
Edition Notes
"All articles first published in The new Palgrave dictionary of economics, 2nd ed., 2008"--T.p. verso.
Includes bibliographical references and index.
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