Contemporary Issues in Economics and Econometrics: Theory and Application by Ral

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Extensive discussion of a variety of contemporary issues in economics and econometrics follows, including:• theoretical contributions in economics: the economics of auctions; the problems caused by incomplete data for econometric modelling of the term structure of interest rates and also in models using unbalanced panel data;

FORMATHardcover LANGUAGEEnglish CONDITIONBrand New Publisher Description

This authoritative collection of papers covers a broad spectrum of topics in theoretical and applied economics and econometrics. The tone of the book is set by Paul Klemperer's contribution on using and abusing economic theory, in which academics are encouraged to widen the scope of their analyses beyond the confines of elegant models which sometimes lack 'real-world' detail. As a result, many of the chapters in this volume share a high degree of practical relevance.Extensive discussion of a variety of contemporary issues in economics and econometrics follows, including: theoretical contributions in economics: the economics of auctions; industry sunk costs and entry dynamics econometric theory: automated-model selection; conditions for weak-exogeneity in vector correction models; Bayesian inference for trended economic time series; Gibbs sampling for truncated multivariate normal distributions methodology and applications: lag-length selection in non-linear dynamic models; the relationship between intercepts, threshold and autoregressive coefficients in the two-regime self-exciting autoregressive model; the problems caused by incomplete data for econometric modelling of the term structure of interest rates and also in models using unbalanced panel data; the informational content of the term structure of interest rates with respect to future inflation.

Author Biography

Edited by Ralf Becker, School of Social Sciences, University of Manchester, UK and Stan Hurn, Professor of Finance, School of Economics and Finance, Queensland University of Technology, Australia

Table of Contents

Contents: Foreword Part I: Economic Theory 1. Using and Abusing Economic Theory 2. Industry Sunk Cost and Entry Dynamics Part II: Econometric Theory 3. Sub-Sample Model Selection Procedures in General-to-Specific Modelling 4. A Gibbs's Sampler for the Parameters of a Truncated Multivariate Normal Distribution 5. A Necessary and Sufficient Condition for Weak Exogeneity in Vector Error Correction Models 6. Bayesian Graphical Inference for Economic Time Series that may have Stochastic or Deterministic Trends Part III: Applications 7. The Impact of Monetary Policy in the UK on the Relationship between the Term Structure of Interest Rates and Future Inflation 8. Missing Data and Interpolation in Dynamic Term Structure Models 9. Choosing Lag Lengths in Nonlinear Dynamic Models 10. D-TAR versus C-TAR Models? Modelling the Dynamics of Inflation 11. Predicting Incomplete Observations in Unbalanced Panels: A Kalman Filtering-Smoothing Approach Index

Review

"'All of the papers share a high level of practical relevance and usefulness that is sometimes missing in economic research. Indeed, the reader will find that very issue taken up as the theme of Paul Klemperer's delightful essay, and all five papers under the heading of "econometric theory" will be extremely useful for most applied researchers. I hope that the reader will also share my feeling of gratitude toward Ralf Becker and Stan Hurn for putting together this outstanding permanent record of some of the conference's most important contributions.' - From the foreword by James D. Hamilton, University of California, San Diego, US"

Review Quote

'. . . this book is a collection of a number of interesting papers on various topics.'

Details ISBN1843766175 Publisher Edward Elgar Publishing Ltd Year 2004 ISBN-10 1843766175 ISBN-13 9781843766179 Format Hardcover Publication Date 2004-08-27 Imprint Edward Elgar Publishing Ltd Subtitle Theory and Application Place of Publication Cheltenham Country of Publication United Kingdom DEWEY 330 Illustrations Illustrations Author Stan Hurn Edited by Stan Hurn Edition illustrated edition Media Book Pages 256 Short Title Contemporary Issues in Economics and Econometrics Language English DOI 10.1604/9781843766179 AU Release Date 2004-08-27 NZ Release Date 2004-08-27 UK Release Date 2004-08-27 Audience Undergraduate We've got this

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