Editors Durlauf and Blume have selected key articles from the original 8-volume
edition of The New Palgrave Dictionary of Economics and collected them into one handy
volume. Each article in this compendium covers the fundamental themes within the
discipline and is written by a leading practitioner in the field.
STEVEN N. DURLAUF is the Kenneth J. Arrow Professor of Economics at
the University of Wisconsin at Madison, USA. He has served as Co-Director of the Economics
Program of the Santa Fe Institute and is currently a Research Associate of the National
Bureau of Economic Research. A Fellow of the Econometric Society, Durlauf's research
covers a range of topics in macroeconomics, econometrics, and income inequality. He
received a BA in Economics from Harvard in 1980 and his PhD in Economics from Yale in
1986.
LAWRENCE E BLUME is Goldwin Smith Professor of Economics at Cornell
University, USA. He is a member of the external faculty at the Santa Fe Institute, where
he has served as Co-Director of the Economics Program and on the Institute's steering
committee. He teaches and conducts research in general equilibrium theory and game theory,
and also has research projects on natural resource management and network design. A Fellow
of the Econometric Society, he received an AB in Economics from Washington University and
a PhD in Economics from Berkeley.
Table of Contents
List of Contributors vii
General Preface ix
Introduction x
Aggregation (econometrics) Thomas M. Stoker 1
ARCH models Oliver B. Linton 15
Bayesian methods in macroeconometrics Frank Schorfheide 28
Bayesian time series analysis Mark F.J. Steel 35
Central limit theorems Werner Ploberger 46
Cointegration Mark W. Watson 53
Continuous and discrete time models Christopher A. Sims 60
Data filters Timothy Cogley 68
Equilibrium-correction models David F. Hendry 76
Forecasting Clive W.J. Granger 90
Fractals Laurent E. Calvet 94
Functional central limit theorems Werner Ploberger 99
Generalized method of moments estimation Lars Peter Hansen 105
Granger-Sims causality G.M. Kuersteiner 119
Heteroskedasticity and autocorrelation corrections Kenneth D. West 135
Impulse response function Helmut Lütkepohl 145
Kalman and particle filtering Jesús Fernández-Villaverde 151
Law(s) of large numbers Werner Ploberger 158
Long memory models P.M. Robinson 163
Nonlinear time series analysis Bruce Mizrach 169
Prediction formulas Charles H. Whiteman Kurt F. Lewis 178
Rational expectations Thomas J. Sargent 193
Regime switching models James D. Hamilton 202
Seasonal adjustment Svend Hylleberg 210
Serial correlation and serial dependence Yongmiao Hong 227
SNP: nonparametric time series analysis A. Ronald Gallant 245
Spectral analysis Timothy J. Vogelsang 250
Spline functions Dale J. Poirier 260
Spurious regressions Clive W.J. Granger 265
State space models Andrew Harvey 269
Stochastic volatility models Neil Shephard 276
Structrual change, econometrics of Pierre Perron 288
Structural vector autoregressions JesúsFernández-Villaverde Juan F. Rubio-Ramírez 303
Threshold models Timo Teräsvirta 308
Time series analysis Francis X. Diebold Lutz Kilian Marc Nerlove 317
Trend/cycle decomposition Charles R. Nelson 343
Unit roots Peter C.B. Phillips 347
Variance decomposition Helmut Lütkepohl 369
Varying coefficient models Andros Kourtellos Thanasis Stengos 372
Vector autoregressions Tao Zha 378
Wavelets James B. Ramsey 391
Index 399
368 pages, Hardcover
