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Contributions to Modern Econometrics

From Data Analysis to Economic Policy

  • Book
  • © 2002

Overview

Editors:
  1. Ingo Klein

    1. University of Erlangen-Nuremberg, Germany

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    You can also search for this editor in PubMed   Google Scholar

  2. Stefan Mittnik

    1. University of Kiel and Center of Financial Studies, Frankfurt, Germany

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    You can also search for this editor in PubMed   Google Scholar

Part of the book series: Dynamic Modeling and Econometrics in Economics and Finance (DMEF, volume 4)

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Table of contents (18 chapters)

  1. Front Matter

    Pages i-x
    Download chapter PDF

  2. A Generalization of the Nested Logit Model

    • Takeshi Amemiya, Dongseok Kim
    Pages 1-8

  3. Measurement Problems and Uncertainty in Monetary Policy

    • Karen Cabos, Hans-Jürgen Krupp
    Pages 9-22

  4. On Median Unbiased Inference for First Order Autoregressive Models

    • Kai Carstensen, Marc S. Paolella
    Pages 23-38

  5. Goodness of Fit Measures and Model Selection in Qualitative Response Models

    • Pu Chen, Joachim Frohn
    Pages 39-50

  6. Portfolio Selection in the Presence of Heavy-Tailed Asset Returns

    • Toker Doganoglu, Stefan Mittnik, Svetlozar Rachev
    Pages 51-64

  7. Employment and Technological Change

    • Reinhard Hujer, Dubravko Radić
    Pages 65-86

  8. Outlier Robust Estimation of an Euler Equation Investment Model with German Firm Level Panel Data

    • Norbert Janz
    Pages 87-103

  9. Which Feeling is Stronger: Jealousy or Laziness?

    • Uwe Jensen
    Pages 105-118

  10. gh-Transformation of Symmetrical Distributions

    • Ingo Klein, Matthias Fischer
    Pages 119-134

  11. Household Budget Data and Welfare Comparisons — A Reconciliation

    • Karsten Kohn, Martin Missong
    Pages 135-150

  12. Unit Root Tests in the Presence of Innovational Outliers

    • Markku Lanne, Helmut Lütkepohl, Pentti Saikkonen
    Pages 151-167

  13. Comparison of M3 and Divisia M3 Aggregates for the Euro Area

    • Hans-Eggert Reimers
    Pages 169-183

  14. Linear and Nonlinear Dirichlet Share Equations Models

    • Gerd Ronning
    Pages 185-207

  15. On the Bias of Structural Estimation Methods in a Polynomial Regression with Measurement Error When the Distribution of the Latent Covariate is Misspecified

    • Hans Schneeweiss, Chi-Lun Cheng, Roland Wolf
    Pages 209-222

  16. Exponential Smoothing as an Alternative to the Hodrick-Prescott Filter?

    • Karl-Heinz Tödter
    Pages 223-237

  17. Long-Run Relationships in the Transition Economy of Poland: An Application of SVEqCM

    • Aleksander Welfe
    Pages 239-253

  18. Growth Determinants of Poland’s Economic Potential

    • Wladyslaw Welfe
    Pages 255-270

  19. Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure: Empirical Results for the US and Europe

    • Jürgen Wolters
    Pages 271-282
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Keywords

About this book

The field of econometrics has gone through remarkable changes during the last thirty-five years. Widening its earlier focus on testing macroeconomic theories, it has become a rather comprehensive discipline concemed with the development of statistical methods and their application to the whole spectrum of economic data. This development becomes apparent when looking at the biography of an econometrician whose illustrious research and teaching career started about thirty-five years ago and who will retire very soon after his 65th birthday. This is Gerd Hansen, professor of econometrics at the Christian Albrechts University at Kiel and to whom this volume with contributions from colleagues and students has been dedicated. He has shaped the econometric landscape in and beyond Germany throughout these thirty-five years. At the end of the 1960s he developed one of the first econometric models for the German econ­ omy which adhered c10sely to the traditions put forth by the Cowles commission.

Editors and Affiliations

  • University of Erlangen-Nuremberg, Germany

    Ingo Klein

  • University of Kiel and Center of Financial Studies, Frankfurt, Germany

    Stefan Mittnik

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