Recent Advances and Future Directions in Causality, Prediction, and Specification Analysis

Essays in Honor of Halbert L. White Jr

Editors: Chen, Xiaohong, Swanson, Norman R. (Eds.)

  • Contains previously unpublished chapters written by the foremost academics in their respective areas of theoretical, methodological, and applied econometrics
  • Presents new theoretical results on estimation and inference by including careful development and discussion of new empirical methodology, worked empirical examples, and carefully carried out Monte Carlo experiments
  • Pays particular emphasis on carefully outlining how to empirically implement all of the latest advances in econometrics when the objective is to build economic models for the purpose of prediction, causality, and policy analysis
see more benefits

Buy this book

eBook $139.00
price for USA (gross)
  • ISBN 978-1-4614-1653-1
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $179.00
price for USA
  • ISBN 978-1-4614-1652-4
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover n/a
  • ISBN 978-1-4899-9971-9
  • Free shipping for individuals worldwide
About this book

This book is a collection of articles that present the most recent cutting edge results on specification and estimation of economic models written by a number of the world’s foremost leaders in the fields of theoretical and methodological econometrics. Recent advances in asymptotic approximation theory, including the use of higher order asymptotics for things like estimator bias correction, and the use of various expansion and other theoretical tools for the development of bootstrap techniques designed for implementation when carrying out inference are at the forefront of theoretical development in the field of econometrics. One important feature of these advances in the theory of econometrics is that they are being seamlessly and almost immediately incorporated into the “empirical toolbox” that applied practitioners use when actually constructing models using data, for the purposes of both prediction and policy analysis and the more theoretically targeted chapters in the book will discuss these developments. Turning now to empirical methodology, chapters on prediction methodology will focus on macroeconomic and financial applications, such as the construction of diffusion index models for forecasting with very large numbers of variables, and the construction of data samples that result in optimal predictive accuracy tests when comparing alternative prediction models. Chapters carefully outline how applied practitioners can correctly implement the latest theoretical refinements in model specification in order to “build” the best models using large-scale and traditional datasets, making the book of interest to a broad readership of economists from theoretical econometricians to applied economic practitioners.

Table of contents (20 chapters)

  • Improving U.S. GDP Measurement: A Forecast Combination Perspective

    Aruoba, S. Borağan (et al.)

    Pages 1-25

  • Identification Without Exogeneity Under Equiconfounding in Linear Recursive Structural Systems

    Chalak, Karim

    Pages 27-55

  • Optimizing Robust Conditional Moment Tests: An Estimating Function Approach

    Chen, Yi-Ting (et al.)

    Pages 57-95

  • Asymptotic Properties of Penalized M Estimators with Time Series Observations

    Chen, Xiaohong (et al.)

    Pages 97-120

  • A Survey of Recent Advances in Forecast Accuracy Comparison Testing, with an Extension to Stochastic Dominance

    Corradi, Valentina (et al.)

    Pages 121-143

Buy this book

eBook $139.00
price for USA (gross)
  • ISBN 978-1-4614-1653-1
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $179.00
price for USA
  • ISBN 978-1-4614-1652-4
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover n/a
  • ISBN 978-1-4899-9971-9
  • Free shipping for individuals worldwide
Loading...

Recommended for you

Loading...

Bibliographic Information

Bibliographic Information
Book Title
Recent Advances and Future Directions in Causality, Prediction, and Specification Analysis
Book Subtitle
Essays in Honor of Halbert L. White Jr
Editors
  • Xiaohong Chen
  • Norman R. Swanson
Copyright
2013
Publisher
Springer-Verlag New York
Copyright Holder
Springer Science+Business Media New York
eBook ISBN
978-1-4614-1653-1
DOI
10.1007/978-1-4614-1653-1
Hardcover ISBN
978-1-4614-1652-4
Softcover ISBN
978-1-4899-9971-9
Edition Number
1
Number of Pages
XXXIV, 562
Topics