Dynamic Econometric Modeling: Proceedings of the Third International Symposium in Economic Theory and Econometrics

doi:10.1017/CBO9780511664342

This book brings together presentations of some of the fundamental new research that has begun to appear in the areas of dynamic structural modeling, nonlinear structural modeling, time series modeling, nonparametric inference, and chaotic attractor inference. The contents of this volume comprise the proceedings of the third of a conference series entitled International Symposia in Economic Theory and Econometrics. This conference was held at the IC;s2 (Innovation, Creativity and Capital) Institute at the University of Texas at Austin on May 22–23, l986.

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Contents

Frontmatter
pp i-iv
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Contents
pp v-vi
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Editors' introduction
pp vii-viii
- By William A. Barnett, University of Texas at Austin and Duke University, Ernst R. Berndt, Massachusetts Institute of Technology, Halbert White, University of California at San Diego
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List of contributors
pp ix-x
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Part I - Dynamic structural modeling
pp 1-2
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1 - Efficient instrumental variables estimation of systems of implicit heterogeneous nonlinear dynamic equations with nonspherical errors
pp 3-26
- By Charles Bates, Halbert White
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2 - Envelope consistent functional separability
pp 27-42
- By Ernst R. Berndt
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3 - Flexible functional forms for profit functions and global curvature conditions
pp 43-52
- By W. Erwin Diewert, Lawrence Ostensoe
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4 - Likelihood inference in the nonlinear regression model with explosive linear dynamics
pp 53-72
- By Ian Domowitz, Lars Muus
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5 - Exact inference in models with autoregressive conditional heteroscedasticity
pp 73-104
- By John Geweke
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6 - Control of a linear regression process with unknown parameters
pp 105-120
- By Nicholas M. Kiefer, Yaw Nyarko
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7 - Some tests of nonparametric regression models
pp 121-136
- By Adonis John Yatchew
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Part II - Linear time series modeling
pp 137-138
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8 - A central-limit result for instrumental variables estimators of linear time series models
pp 139-156
- By Lars Peter Hansen
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9 - Exact and approximate distribution of the t ratio test statistic in an AR(1) model
pp 157-170
- By Alberto Holly, Georg Michael Rockinger
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10 - The use of ARIMA models in unobserved-components estimation: an application to Spanish monetary control
pp 171-196
- By Agustín Maravall
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Part III - Chaotic attractor modeling
pp 197-198
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11 - The aggregation-theoretic monetary aggregates are chaotic and have strange attractors: an econometric application of mathematical chaos
pp 199-246
- By William A. Barnett, Ping Chen
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12 - Theorems on distinguishing deterministic from random systems
pp 247-266
- By W. A. Brock, W. D. Dechert
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Part IV - Applications
pp 267-268
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13 - Investment and sales: some empirical evidence
pp 269-296
- By Andrew B. Abel, Olivier J. Blanchard
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14 - Me and my shadow: estimating the size of the U.S. hidden economy from time series data
pp 297-334
- By Dennis J. Aigner, Friedrich Schneider, Damayanti Ghosh
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15 - Estimating structural models of unemployment and job duration
pp 335-356
- By Dale T. Mortensen, George R. Neumann
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16 - Comparison of dynamic factor demand models
pp 357-376
- By Peter E. Rossi
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Dynamic Econometric Modeling

Proceedings of the Third International Symposium in Economic Theory and Econometrics

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Contents

Frontmatter
pp i-iv

Contents
pp v-vi

Editors' introduction
pp vii-viii

List of contributors
pp ix-x

Part I - Dynamic structural modeling
pp 1-2

1 - Efficient instrumental variables estimation of systems of implicit heterogeneous nonlinear dynamic equations with nonspherical errors
pp 3-26

2 - Envelope consistent functional separability
pp 27-42

3 - Flexible functional forms for profit functions and global curvature conditions
pp 43-52

4 - Likelihood inference in the nonlinear regression model with explosive linear dynamics
pp 53-72

5 - Exact inference in models with autoregressive conditional heteroscedasticity
pp 73-104

6 - Control of a linear regression process with unknown parameters
pp 105-120

7 - Some tests of nonparametric regression models
pp 121-136

Part II - Linear time series modeling
pp 137-138

8 - A central-limit result for instrumental variables estimators of linear time series models
pp 139-156

9 - Exact and approximate distribution of the t ratio test statistic in an AR(1) model
pp 157-170

10 - The use of ARIMA models in unobserved-components estimation: an application to Spanish monetary control
pp 171-196

Part III - Chaotic attractor modeling
pp 197-198

11 - The aggregation-theoretic monetary aggregates are chaotic and have strange attractors: an econometric application of mathematical chaos
pp 199-246

12 - Theorems on distinguishing deterministic from random systems
pp 247-266

Part IV - Applications
pp 267-268

13 - Investment and sales: some empirical evidence
pp 269-296

14 - Me and my shadow: estimating the size of the U.S. hidden economy from time series data
pp 297-334

15 - Estimating structural models of unemployment and job duration
pp 335-356

16 - Comparison of dynamic factor demand models
pp 357-376

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Dynamic Econometric Modeling

Proceedings of the Third International Symposium in Economic Theory and Econometrics

Book description

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