Contents
Notes on Contributors viii
Editors’ Introduction xi

Part I The Methodology and Philosophy of Applied Econometrics
1 The Methodology of Empirical Econometric Modeling: Applied
Econometrics Through the Looking Glass 3
David F. Hendry, Nuffield College, Oxford University
2 How Much Structure in Empirical Models? 68
Fabio Canova, Universitat Pompeu Fabra
3 Introductory Remarks on Metastatistics for the Practically Minded
Non-Bayesian Regression Runner 98
John DiNardo, University of Michigan

Part II Forecasting
4 Forecast Combination and Encompassing 169
Michael P. Clements, Warwick University, and David I. Harvey,
School of Economics, University of Nottingham
5 Recent Developments in Density Forecasting 199
Stephen G. Hall, University of Leicester, and James Mitchell,
National Institute of Economic and Social Research

Part III Time Series Applications
6 Investigating Economic Trends and Cycles 243
D.S.G. Pollock, University of Leicester
7 Economic Cycles: Asymmetries, Persistence, and Synchronization 308
Joe Cardinale, Air Products and Chemicals, Inc., and Larry W. Taylor,
College of Business and Economics, Lehigh University
8 The Long Swings Puzzle: What the Data Tell When Allowed to
Speak Freely 349
Katarina Juselius, University of Copenhagen
9 Structural Time Series Models for Business Cycle Analysis 385
Tommaso Proietti, University of Rome ‘Tor Vergata’
10 Fractional Integration and Cointegration: An Overview and an
Empirical Application 434

Part IV Cross-section and Panel Data Applications
11 Discrete Choice Modeling 473
William Greene, Stern School of Business, New York University
12 Panel Data Methods and Applications to Health Economics 557
Andrew M. Jones, University of York
13 Panel Methods to Test for Unit Roots and Cointegration 632
Anindya Banerjee, University of Birmingham, and Martin Wagner,
Institute forAdvanced Studies, Vienna

Part V Microeconometrics
14 Microeconometrics: Current Methods and Some Recent Developments 729
A. Colin Cameron, University of California, Davis
15 Computational Considerations in Empirical Microeconometrics:
Selected Examples 775
David T. Jacho-Chávez and Pravin K. Trivedi, Indiana University

Part VI Applications of Econometrics to Economic Policy
16 The Econometrics of Monetary Policy: An Overview 821
Carlo Favero, IGIER-Bocconi University
17 Macroeconometric Modeling for Policy 851
Gunnar Bårdsen, Norwegian University of Science and Technology,
and Ragnar Nymoen, University of Oslo
18 Monetary Policy, Beliefs, Unemployment and Inflation: Evidence
from the UK 917
S.G.B. Henry, National Institute of Economic and Social Research

Part VII Applications to Financial Econometrics
19 Estimation of Continuous-Time Stochastic Volatility Models 951
George Dotsis, Essex Business School, University of Essex,
Raphael N. Markellos, Athens University of Economics and Business,
and Terence C. Mills, Loughborough University
20 Testing the Martingale Hypothesis 972
J. Carlos Escanciano, Indiana University, and Ignacio N. Lobato,
Instituto Tecnológico Autónomo de Mexico
21 Autoregressive Conditional Duration Models 1004
Ruey S. Tsay, Booth Business School, University of Chicago
22 The Econometrics of Exchange Rates 1025
Efthymios G. Pavlidis, Ivan Paya, and David A. Peel,
Lancaster University Management School

Part VIII Growth Development Econometrics
23 The Econometrics of Convergence 1087
Steven N. Durlauf, University of Wisconsin-Madison,
Paul A. Johnson, Vassar College, New York State, and
Jonathan R.W. Temple, Bristol University
24 The Methods of Growth Econometrics 1119
Steven N. Durlauf, University of Wisconsin-Madison,
Paul A. Johnson, Vassar College, New York State, and
Jonathan R.W. Temple, Bristol University
25 The Econometrics of Finance and Growth 1180
Thorsten Beck, European Banking Center, Tilburg University, and CEPR

Part IX Spatial Econometrics
26 Spatial Hedonic Models 1213
Luc Anselin, School of Geographical Sciences and Urban Planning,
and Nancy Lozano-Gracia, GeoDa Center for Geospatial
Analysis and Computation, Arizona State University
27 Spatial Analysis of Economic Convergence 1251
Sergio J. Rey, Arizona State University, and Julie Le Gallo,
Université de Franche-Comté

Part X Applied Econometrics and Computing
28 Testing Econometric Software 1293
B.D. McCullough, Drexel University
29 Trends in Applied Econometrics Software Development 1985–2008:
An Analysis of Journal of Applied Econometrics Research Articles,
Software Reviews, Data and Code 1321
Marius Ooms, VU University Amsterdam
Author Index 1349
Subject Index 1374

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Editorial Reviews

Product Description
Following the seminal Palgrave Handbook of Econometrics: Volume I, this second volume brings together the finest academics working in econometrics today and explores applied econometrics, containing contributions on subjects including growth/development econometrics and applied econometrics and computing.

Book Description
The Palgrave Handbook of Econometrics is comprised of landmark essays by some of the world's leading academics providing authoritative and definitive guidance in key areas of econometrics
Volume I covers developments in theoretical econometrics, including essays on the methodology and history of econometrics, developments in time-series and cross-section econometrics, modelling with integrated variables, Bayesian econometrics, simulation methods and a selection of special topics.
--This text refers to the Paperback edition.

About the Author
TERENCE C. MILLS is Professor of Applied Statistics and Econometrics at Loughborough University, UK.

KERRY PATTERSON is Professor of Econometrics at University of Reading, UK.