The Methodology and Practice of Econometrics

By Jennifer L. Castle, N. Shephard. 2009

190 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Management Science and Operations Research, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/e68bd6bb42b60479d73256bdb778c84cf301370d

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Citations in the corpus

Multivariate Rotated ARCH Models (2014, unknown): “See also the review in Engle (2009b) and its use by Hafner and Franses (2009).”
Estimation of large dimensional factor models with an unknown number of breaks (2018, methodology): “The year of 1984 was considered as a potential break date by Stock and Watson (2009).”
On Time-Varying Factor Models: Estimation and Testing ∗ (2017, methodology): “Stock and Watson (2002, 2009) argue that when the factor loadings undergo small instabilities, the estimated factors obtained via the conventional principal component analysis (PCA) are still consistent.”
Fitting Vast Dimensional Time-Varying Covariance Models (2020, background): “The literature on models for Ht is vast; for surveys, see Bauwens, Laurent, and Rombouts (2006), Silvennoinen and Teräsvirta (2009), and Engle (2009).”
Do high-frequency stock market data help forecast crude oil prices? Evidence from the MIDAS models (2019, methodology): “Therefore, with reference to the multivariate combined forecast concept of Timmermann, we use the weighting schemes proposed by Stock and Watson (2004, 2008) and Andreou et al. (2013) to combine several models with high forecast accuracy.”
Climate change awareness: Empirical evidence for the European Union (2020, methodology): “Fixed effects can however be accounted for, also when time-invariant regressors are included in the model, by following a general to specific procedure, implemented through an autometrics/saturation algorithm (Hendry et al., 2008; Johansen and Nielsen, 2009; Doornik, 2009).”
Forecasting: theory and practice (2020, methodology): “This can be achieved through selection (such as Autometrics, Doornik, 2018), shrinkage (including ridge regression: Hoerl and Kennard, 1970; Lasso: Tibshirani, 1996; Zou, 2006; and Elastic Nets: Zou and Hastie, 2005), variable combination (such as Principal Components Analysis and Partial Least Squa”
Self-reinforcing effects between housing prices and credit: an extended version (2013, methodology): “26See Doornik (2009) for a description of the automatic specification search in the case of a singleequation.”