Overview
Contains previously unpublished chapters written by the foremost academics in their respective areas of theoretical, methodological, and applied econometrics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
Includes supplementary material: sn.pub/extras
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Table of contents (20 chapters)
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Front Matter
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.
Editors and Affiliations
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
DOI: https://doi.org/10.1007/978-1-4614-1653-1
Publisher: Springer New York, NY
eBook Packages: Business and Economics, Economics and Finance (R0)
Copyright Information: Springer Science+Business Media New York 2013
Hardcover ISBN: 978-1-4614-1652-4Published: 01 August 2012
Softcover ISBN: 978-1-4899-9971-9Published: 19 September 2014
eBook ISBN: 978-1-4614-1653-1Published: 01 August 2012
Edition Number: 1
Number of Pages: XXXIV, 562
Topics: Economic Theory/Quantitative Economics/Mathematical Methods, Economic Policy