Advances in Econometrics: Fifth World Congress

doi:10.1017/CCOL0521344301

The Econometric Society holds a World Congress every five years. The programme of these congresses has traditionally included a series of invited symposia, where speakers survey important recent advances in economic theory and econometrics. These two volumes, with their focus on econometrics, and their companion volume on economic theory, contain papers delivered at the Fifth World Congress held in 1985. Designed to make material accessible to a general audience of economists, these papers should be helpful to anyone with training in economics who wishes to follow new ideas and tendencies in the subject. Advances in Econometrics: Fifth World Congress, Volumes I & II, edited by Professor Truman F. Bewley of Yale University, include a wide variety of topics, comprising empirical and policy oriented subjects as well as theoretical and methodological ones.

‘A very interesting collection of papers, as accessible to the general economist as to the specialist.’

Source: The Economic Journal

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Contents

Frontmatter
pp i-viii
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1 - Specification testing in dynamic models
pp 1-58
- By Halbert White
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2 - Specification tests: an overview
pp 59-98
- By Alberto Holly
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3 - Kernel estimators of regression functions
pp 99-144
- By Herman J. Bierens
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4 - Identification and consistency in semi-nonparametric regression
pp 145-170
- By A. Ronald Gallant
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5 - On econometric models with rational expectations
pp 171-206
- By Laurence Broze, Ariane Szafarz
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6 - Calculating asset prices in three example economies
pp 207-244
- By Lars Peter Hansen
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7 - The Kalman filter: applications to forecasting and rational-expectations models
pp 245-284
- By Robert F. Engle, Mark W. Watson
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8 - Applications of the Kalman filter in econometrics
pp 285-312
- By Andrew C. Harvey
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Advances in Econometrics

Fifth World Congress

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Contents

Frontmatter
pp i-viii

1 - Specification testing in dynamic models
pp 1-58

2 - Specification tests: an overview
pp 59-98

3 - Kernel estimators of regression functions
pp 99-144

4 - Identification and consistency in semi-nonparametric regression
pp 145-170

5 - On econometric models with rational expectations
pp 171-206

6 - Calculating asset prices in three example economies
pp 207-244

7 - The Kalman filter: applications to forecasting and rational-expectations models
pp 245-284

8 - Applications of the Kalman filter in econometrics
pp 285-312

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Advances in Econometrics

Fifth World Congress

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Contents

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