... Of this latter view, empirical evidence within a class of models that is capable of describin... more ... Of this latter view, empirical evidence within a class of models that is capable of describing the rich dynamic structure of the ... in this paper, section 3 contains a brief review of alternative models, and approaches to modelling, the relation ship between aggregate earnings and ...
This handbook aims to serve as a source reference and teaching supplement for the field of econom... more This handbook aims to serve as a source reference and teaching supplement for the field of econometrics the branch of economics concerned with the empirical estimation of economic relationships. It concentrates on statistical problems and economic interpretation issues associated with the modeling and estimation of economic behavioral relationships from already assembled and often badly collected data. The organization of the handbook follows in relatively systematic fashion the way an econometric study would proceed starting from basic mathematical and statistical methods and econometric models proceeding to estimation and computation through testing and ultimately to applications and uses. Part 1 summarizes some basic tools used repeatedly in econometrics including linear algebra matrix methods and statistical theory. Part 2 deals with econometric models their relationship to economic models their identification and the question of model choice and specification analysis. Part 3 takes up more advanced topics in estimation and computation theory such as non-linear regression methods biased estimation and computational algorithms in econometrics. This part also includes a series of chapters on simultaneous equations models their specification and estimation distribution theory for such models and their Bayesian analysis. Part 4 considers testing of econometric estimators including Wald likelihood ratio and LaGrange multiplier tests; multiple testing hypothesis; distribution theory for econometric estimators; and Monte Carlo experimentation in econometrics. Part 5 treats various topics in time series analysis. Parts 6 and 7 present discussions of various special topics in econometrics including latent variable limited dependent variable and discrete choice models; functional forms in econometric model building; economic data issues including longitudinal data issues; and disequilibrium self selection and switching models. Finally part 8 covers selected applications and uses of econometrics.
The relationship between wages, prices, productivity, inflation, and unemployment in Italy, Polan... more The relationship between wages, prices, productivity, inflation, and unemployment in Italy, Poland, and the UK between the 1960's and the early 1990's is modelled as a cointegrated vector autoregression subject to regime shifts. For each of these economies there is clear evidence of a change in the underlying equilibria of this sector of the economy. Hypotheses concerning the similarity of the transition from a rigid to a flexible labour market are tested. This work was done as a part of the Phare ACE Project (P95-2145-R) Inflation and Unemployment in Economies in Transition, funded by the European Commission, and the authors thank the other participants in the project for their comments. The authors are grateful to Roberto Golinelli and seminar participants at the European University Institute for valuable comments on a previous version of the paper, and to Elena Gennari for providing valuable background information on the Italian economy. Also Mizon is grateful for financial support from the EUI Research Council and the UK Economic and Social Research Council under grant L116251015.
There is a wide literature on the dynamic adjustment of employment and its relationship with the ... more There is a wide literature on the dynamic adjustment of employment and its relationship with the business cycle. Our aim is to propose a statistical model that offers a congruent representation of postwar UK labour market. We use a cointegrated vector autoregressive Markov-switching model where some parameters change according to the phase of the business cycle. Output, employment, labour supply and real earnings are found to have a common cyclical component. The long run dynamics are characterized by two cointegrating vectors: trend-adjusted labour productivity and the labour share. Despite there having been many changes affecting this sector of the UK economy, the Markov-switching vector-equilibrium-correction model with three regimes representing recession, growth and high growth provides a good characterization of the sample data over the period 1966(3)-1993(1) In an out-of-sample forecast experiment over the period 1991(2)-1993(1) it beats linear and non-linear model alternatives. The results of an impulse-response analysis highlight the dangers of using VARs when the constancy of the estimated coefficients has not been established.
Sargan's COMFAC procedure for single equations (common factors in lag polynomials... more Sargan's COMFAC procedure for single equations (common factors in lag polynomials) is exposited. Four important conceptual clarifications arise. First, residual autocorrelation does not entail error autoregression. Secondly, autoregressive errors are common factor dynamics. Thirdly, discriminating between systematic dynamics and error dynamics can only be done in the context of a general‐to‐simple strategy, with autocorrelated errors potentially reducing the parameterization. Fourthly, differencing imposes common factors of unity. The empirical performance of COMFAC was illustrated for modelling broad money demand, and for integrating economic analysis with statistical modelling; long‐run money demand theory guided the empirical estimates of the equilibrium‐correction model.
David F. Hendry is a seminal figure in modern econometrics. He has pioneered the LSE approach to ... more David F. Hendry is a seminal figure in modern econometrics. He has pioneered the LSE approach to econometrics, and his influence is wide ranging. This book is a collection of papers dedicated to him and his work. Many internationally renowned econometricians who have collaborated with Hendry or have been influenced by his research have contributed to this volume, which provides a reflection on the recent advances in econometrics and considers the future progress for the methodology of econometrics. Central themes of the book include dynamic modelling and the properties of time series data, model selection and model evaluation, forecasting, policy analysis, exogeneity and causality, and encompassing. The book strikes a balance between econometric theory and empirical work, and demonstrates the influence that Hendry's research has had on the direction of modern econometrics.
Oxford Bulletin of Economics and Statistics, Dec 1, 2008
For the first time in the long-standing history of digital library conferences, the Joint Confere... more For the first time in the long-standing history of digital library conferences, the Joint Conference on Digital Libraries (JCDL) and the Conference on Theory and Practice of Digital Libraries (TPDL) were joined into one-the 2014 conference on Digital Libraries (DL). DL 2014 1 was held at City University in London from September 9th through September 11th. Both conferences are premiere international venues on the broadly interpreted domain of digital libraries and hence DL 2014 attracted researchers, educators, industry leaders, and students working in realm of digital libraries and associated organizational, practical, social, as well as technical issues. Its program covered a broad spectrum of topical areas such as user research, system architectures, collection policies, and specialist domains such as digital humanities, preservation, and scholarship. This International Journal on Digital Libraries (IJDL) special issue brings together extended and enhanced versions of outstanding DL 2014 publications. The authors of the six papers included here were invited to submit an extended version of their conference paper which was reviewed by three to four reviewers each. The reviewers were asked to judge not only the quality of the work but also the degree to which 1
The policy implications of estimated macro-econometric systems depend on the formulations of thei... more The policy implications of estimated macro-econometric systems depend on the formulations of their equations, the methodology of empirical model selection and evaluation, the techniques of pol- icy analysis, and their forecast performance. Drawing on recent results in the theory of forecasting, we question the role of 'rational expectations'; criticize a common approach to testing economic theories; show that impulse-response methods
The application of econometric analysis to the process of economic policy formulation is consider... more The application of econometric analysis to the process of economic policy formulation is considered. A framework is provided by the theory of reduction, specifically reductions where key information losses would invalidate policy. Consequently, model evaluation; the role of econometric models; forecasting; exogeneity; causality; constancy and invariance; unobservables; seasonality; and data integrability are considered, together with specific policy issues where econometrics can clarify the problems. * Financial support from the UK Economic and Social Research Council under grant R000233447 is gratefully acknowledged. We are indebted to Mike Clements, Jurgen Doornik, Neil Ericsson, Mark Salmon and an anonymous referee for helpful comments.
The value of selecting the best forecasting model as the basis for empirical economic policy anal... more The value of selecting the best forecasting model as the basis for empirical economic policy analysis is questioned. When no model coincides with the data generation process, non-causal statistical devices may provide the best available forecasts: examples from recent work include intercept corrections and differenced-data VARs. However, the resulting models need have no policy implications. A ‘paradox’ may result if
This paper is a contribution to the memory of A.W.H. Phillips, drawing on the authors' person... more This paper is a contribution to the memory of A.W.H. Phillips, drawing on the authors' personal recollections of Bill as a teacher and colleague, and also presenting links between Bill's research in econometrics and some more recent econometrics literature. Particular topics mentioned are : models of wage and price determination; control theory; exogeneity; moving average errors in dynamic models; and
... Of this latter view, empirical evidence within a class of models that is capable of describin... more ... Of this latter view, empirical evidence within a class of models that is capable of describing the rich dynamic structure of the ... in this paper, section 3 contains a brief review of alternative models, and approaches to modelling, the relation ship between aggregate earnings and ...
This handbook aims to serve as a source reference and teaching supplement for the field of econom... more This handbook aims to serve as a source reference and teaching supplement for the field of econometrics the branch of economics concerned with the empirical estimation of economic relationships. It concentrates on statistical problems and economic interpretation issues associated with the modeling and estimation of economic behavioral relationships from already assembled and often badly collected data. The organization of the handbook follows in relatively systematic fashion the way an econometric study would proceed starting from basic mathematical and statistical methods and econometric models proceeding to estimation and computation through testing and ultimately to applications and uses. Part 1 summarizes some basic tools used repeatedly in econometrics including linear algebra matrix methods and statistical theory. Part 2 deals with econometric models their relationship to economic models their identification and the question of model choice and specification analysis. Part 3 takes up more advanced topics in estimation and computation theory such as non-linear regression methods biased estimation and computational algorithms in econometrics. This part also includes a series of chapters on simultaneous equations models their specification and estimation distribution theory for such models and their Bayesian analysis. Part 4 considers testing of econometric estimators including Wald likelihood ratio and LaGrange multiplier tests; multiple testing hypothesis; distribution theory for econometric estimators; and Monte Carlo experimentation in econometrics. Part 5 treats various topics in time series analysis. Parts 6 and 7 present discussions of various special topics in econometrics including latent variable limited dependent variable and discrete choice models; functional forms in econometric model building; economic data issues including longitudinal data issues; and disequilibrium self selection and switching models. Finally part 8 covers selected applications and uses of econometrics.
The relationship between wages, prices, productivity, inflation, and unemployment in Italy, Polan... more The relationship between wages, prices, productivity, inflation, and unemployment in Italy, Poland, and the UK between the 1960's and the early 1990's is modelled as a cointegrated vector autoregression subject to regime shifts. For each of these economies there is clear evidence of a change in the underlying equilibria of this sector of the economy. Hypotheses concerning the similarity of the transition from a rigid to a flexible labour market are tested. This work was done as a part of the Phare ACE Project (P95-2145-R) Inflation and Unemployment in Economies in Transition, funded by the European Commission, and the authors thank the other participants in the project for their comments. The authors are grateful to Roberto Golinelli and seminar participants at the European University Institute for valuable comments on a previous version of the paper, and to Elena Gennari for providing valuable background information on the Italian economy. Also Mizon is grateful for financial support from the EUI Research Council and the UK Economic and Social Research Council under grant L116251015.
There is a wide literature on the dynamic adjustment of employment and its relationship with the ... more There is a wide literature on the dynamic adjustment of employment and its relationship with the business cycle. Our aim is to propose a statistical model that offers a congruent representation of postwar UK labour market. We use a cointegrated vector autoregressive Markov-switching model where some parameters change according to the phase of the business cycle. Output, employment, labour supply and real earnings are found to have a common cyclical component. The long run dynamics are characterized by two cointegrating vectors: trend-adjusted labour productivity and the labour share. Despite there having been many changes affecting this sector of the UK economy, the Markov-switching vector-equilibrium-correction model with three regimes representing recession, growth and high growth provides a good characterization of the sample data over the period 1966(3)-1993(1) In an out-of-sample forecast experiment over the period 1991(2)-1993(1) it beats linear and non-linear model alternatives. The results of an impulse-response analysis highlight the dangers of using VARs when the constancy of the estimated coefficients has not been established.
Sargan's COMFAC procedure for single equations (common factors in lag polynomials... more Sargan's COMFAC procedure for single equations (common factors in lag polynomials) is exposited. Four important conceptual clarifications arise. First, residual autocorrelation does not entail error autoregression. Secondly, autoregressive errors are common factor dynamics. Thirdly, discriminating between systematic dynamics and error dynamics can only be done in the context of a general‐to‐simple strategy, with autocorrelated errors potentially reducing the parameterization. Fourthly, differencing imposes common factors of unity. The empirical performance of COMFAC was illustrated for modelling broad money demand, and for integrating economic analysis with statistical modelling; long‐run money demand theory guided the empirical estimates of the equilibrium‐correction model.
David F. Hendry is a seminal figure in modern econometrics. He has pioneered the LSE approach to ... more David F. Hendry is a seminal figure in modern econometrics. He has pioneered the LSE approach to econometrics, and his influence is wide ranging. This book is a collection of papers dedicated to him and his work. Many internationally renowned econometricians who have collaborated with Hendry or have been influenced by his research have contributed to this volume, which provides a reflection on the recent advances in econometrics and considers the future progress for the methodology of econometrics. Central themes of the book include dynamic modelling and the properties of time series data, model selection and model evaluation, forecasting, policy analysis, exogeneity and causality, and encompassing. The book strikes a balance between econometric theory and empirical work, and demonstrates the influence that Hendry's research has had on the direction of modern econometrics.
Oxford Bulletin of Economics and Statistics, Dec 1, 2008
For the first time in the long-standing history of digital library conferences, the Joint Confere... more For the first time in the long-standing history of digital library conferences, the Joint Conference on Digital Libraries (JCDL) and the Conference on Theory and Practice of Digital Libraries (TPDL) were joined into one-the 2014 conference on Digital Libraries (DL). DL 2014 1 was held at City University in London from September 9th through September 11th. Both conferences are premiere international venues on the broadly interpreted domain of digital libraries and hence DL 2014 attracted researchers, educators, industry leaders, and students working in realm of digital libraries and associated organizational, practical, social, as well as technical issues. Its program covered a broad spectrum of topical areas such as user research, system architectures, collection policies, and specialist domains such as digital humanities, preservation, and scholarship. This International Journal on Digital Libraries (IJDL) special issue brings together extended and enhanced versions of outstanding DL 2014 publications. The authors of the six papers included here were invited to submit an extended version of their conference paper which was reviewed by three to four reviewers each. The reviewers were asked to judge not only the quality of the work but also the degree to which 1
The policy implications of estimated macro-econometric systems depend on the formulations of thei... more The policy implications of estimated macro-econometric systems depend on the formulations of their equations, the methodology of empirical model selection and evaluation, the techniques of pol- icy analysis, and their forecast performance. Drawing on recent results in the theory of forecasting, we question the role of 'rational expectations'; criticize a common approach to testing economic theories; show that impulse-response methods
The application of econometric analysis to the process of economic policy formulation is consider... more The application of econometric analysis to the process of economic policy formulation is considered. A framework is provided by the theory of reduction, specifically reductions where key information losses would invalidate policy. Consequently, model evaluation; the role of econometric models; forecasting; exogeneity; causality; constancy and invariance; unobservables; seasonality; and data integrability are considered, together with specific policy issues where econometrics can clarify the problems. * Financial support from the UK Economic and Social Research Council under grant R000233447 is gratefully acknowledged. We are indebted to Mike Clements, Jurgen Doornik, Neil Ericsson, Mark Salmon and an anonymous referee for helpful comments.
The value of selecting the best forecasting model as the basis for empirical economic policy anal... more The value of selecting the best forecasting model as the basis for empirical economic policy analysis is questioned. When no model coincides with the data generation process, non-causal statistical devices may provide the best available forecasts: examples from recent work include intercept corrections and differenced-data VARs. However, the resulting models need have no policy implications. A ‘paradox’ may result if
This paper is a contribution to the memory of A.W.H. Phillips, drawing on the authors' person... more This paper is a contribution to the memory of A.W.H. Phillips, drawing on the authors' personal recollections of Bill as a teacher and colleague, and also presenting links between Bill's research in econometrics and some more recent econometrics literature. Particular topics mentioned are : models of wage and price determination; control theory; exogeneity; moving average errors in dynamic models; and
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