By Takeshi Amemiya, Dongseok Kim (auth.), Ingo Klein, Stefan Mittnik (eds.)
The box of econometrics has passed through notable alterations over the last thirty-five years. Widening its past concentrate on trying out macroeconomic theories, it has develop into a slightly complete self-discipline concemed with the improvement of statistical tools and their software to the total spectrum of financial information. This improvement turns into obvious while taking a look at the biography of an econometrician whose illustrious study and instructing profession begun approximately thirty-five years in the past and who will retire very quickly after his sixty fifth birthday. this is often Gerd Hansen, professor of econometrics on the Christian Albrechts college at Kiel and to whom this quantity with contributions from colleagues and scholars has been committed. He has formed the econometric panorama in and past Germany all through those thirty-five years. on the finish of the Nineteen Sixties he built one of many first econometric types for the German econ omy which adhered c10sely to the traditions placed forth by means of the Cowles commission.
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Extra info for Contributions to Modern Econometrics: From Data Analysis to Economic Policy
Confidence Intervals on Variance Components. Marcel Dekker, New York. Butler, R. and Paolella, M. S. (2002a). Calculating the Density and Distribution Functionfor the Singly and Doubly Noncentral F. Statistics and Computing, 12:9-16. Butler, R. and Paolella, M. S. (2002b). Saddlepoint Approximation and Bootstrap Inference for the Satterthwaite Class ofRatios. Forthcoming in Journal of the American Statistical Association. Carstensen, K. and Hansen, G. (2000). Cointegration and Common Trends on the West German Labour Market.
In addition to exhibiting excellent accuracy which should be more than adequate in practice, the proposed method is far simpler to numerically implement and is calculated in a fraction of the time required by the Imhof procedure. A final benefit is that the latter method is actually itself only an approximation in the sense that it requires numerical integration. For small sampie sizes, this calculation can be hampered by the extreme oscillatory nature of the associated integrand. The saddlepoint method, on the other hand, is not subject to this problem.
Duncker und Humblot, Berlin. Hansen, G. (2000). The German Labour Market and the Unijication Shock. Economic Modelling, 17:439-454. Hansen, G. -R. (1995). The Stability of German Money Demand: Tests of the Cointegration Relation. Weltwirtschaftliches Archiv, 131 :286301. Hansen, G. -R. (1996). Money and Inflation in Germany: a Cointegration Analysis. Empirical Economics, 21:606-616. 38 Hansen, G. -R. (1998). Dynamic Simultaneous Equations and Johansen's ML Estimator: Some Monte Carlo Results. Allgemeines Statistisches Archiv, 82: 133-148.