Contributions to Modern Econometrics

1. Front Matter

   Pages i-x

   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

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.

• Analysis
• Euro
• Investment
• Median
• Statistical Methods
• best fit
• data analysis
• econometrics
• modeling

• University of Erlangen-Nuremberg, Germany

  Ingo Klein

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

  Stefan Mittnik

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