Ebook: Contributions to Modern Econometrics: From Data Analysis to Economic Policy

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.

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The field of econometrics has gone through remarkable changes during the last decades. The earlier focus on testing macroeconomic theories has been widened considerably. It has turned into a discipline concerned with the development and application of statistical methods for any kind of economic data.
Contributions to Modern Econometrics represents a collection of recent economic applications of modern econometrics and methodological developments.

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The field of econometrics has gone through remarkable changes during the last decades. The earlier focus on testing macroeconomic theories has been widened considerably. It has turned into a discipline concerned with the development and application of statistical methods for any kind of economic data.
Contributions to Modern Econometrics represents a collection of recent economic applications of modern econometrics and methodological developments.
Content:
Front Matter....Pages i-x
A Generalization of the Nested Logit Model....Pages 1-8
Measurement Problems and Uncertainty in Monetary Policy....Pages 9-22
On Median Unbiased Inference for First Order Autoregressive Models....Pages 23-38
Goodness of Fit Measures and Model Selection in Qualitative Response Models....Pages 39-50
Portfolio Selection in the Presence of Heavy-Tailed Asset Returns....Pages 51-64
Employment and Technological Change....Pages 65-86
Outlier Robust Estimation of an Euler Equation Investment Model with German Firm Level Panel Data....Pages 87-103
Which Feeling is Stronger: Jealousy or Laziness?....Pages 105-118
gh-Transformation of Symmetrical Distributions....Pages 119-134
Household Budget Data and Welfare Comparisons — A Reconciliation....Pages 135-150
Unit Root Tests in the Presence of Innovational Outliers....Pages 151-167
Comparison of M3 and Divisia M3 Aggregates for the Euro Area....Pages 169-183
Linear and Nonlinear Dirichlet Share Equations Models....Pages 185-207
On the Bias of Structural Estimation Methods in a Polynomial Regression with Measurement Error When the Distribution of the Latent Covariate is Misspecified....Pages 209-222
Exponential Smoothing as an Alternative to the Hodrick-Prescott Filter?....Pages 223-237
Long-Run Relationships in the Transition Economy of Poland: An Application of SVEqCM....Pages 239-253
Growth Determinants of Poland’s Economic Potential....Pages 255-270
Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure: Empirical Results for the US and Europe....Pages 271-282

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The field of econometrics has gone through remarkable changes during the last decades. The earlier focus on testing macroeconomic theories has been widened considerably. It has turned into a discipline concerned with the development and application of statistical methods for any kind of economic data.
Contributions to Modern Econometrics represents a collection of recent economic applications of modern econometrics and methodological developments.
Content:
Front Matter....Pages i-x
A Generalization of the Nested Logit Model....Pages 1-8
Measurement Problems and Uncertainty in Monetary Policy....Pages 9-22
On Median Unbiased Inference for First Order Autoregressive Models....Pages 23-38
Goodness of Fit Measures and Model Selection in Qualitative Response Models....Pages 39-50
Portfolio Selection in the Presence of Heavy-Tailed Asset Returns....Pages 51-64
Employment and Technological Change....Pages 65-86
Outlier Robust Estimation of an Euler Equation Investment Model with German Firm Level Panel Data....Pages 87-103
Which Feeling is Stronger: Jealousy or Laziness?....Pages 105-118
gh-Transformation of Symmetrical Distributions....Pages 119-134
Household Budget Data and Welfare Comparisons — A Reconciliation....Pages 135-150
Unit Root Tests in the Presence of Innovational Outliers....Pages 151-167
Comparison of M3 and Divisia M3 Aggregates for the Euro Area....Pages 169-183
Linear and Nonlinear Dirichlet Share Equations Models....Pages 185-207
On the Bias of Structural Estimation Methods in a Polynomial Regression with Measurement Error When the Distribution of the Latent Covariate is Misspecified....Pages 209-222
Exponential Smoothing as an Alternative to the Hodrick-Prescott Filter?....Pages 223-237
Long-Run Relationships in the Transition Economy of Poland: An Application of SVEqCM....Pages 239-253
Growth Determinants of Poland’s Economic Potential....Pages 255-270
Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure: Empirical Results for the US and Europe....Pages 271-282
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