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Forecasting in the presence of structural breaks and policy regime Shifts

Forecasting in the presence of structural breaks and policy regime Shifts
Forecasting in the presence of structural breaks and policy regime Shifts
Part I. Identification and Efficient Estimation: 1. Incredible structural inference Thomas J. Rothenberg; 2. Structural equation models in human behavior genetics Arthur S. Goldberger; 3. Unobserved heterogeneity and estimation of average partial effects Jeffrey M. Wooldridge; 4. On specifying graphical models for causation and the identification problem David A. Freedman; 5. Testing for weak instruments in linear IV regression James H. Stock and Motohiro Yogo; 6. Asymptotic distributions of instrumental variables statistics with many instruments James H. Stock and Motohiro Yogo; 7. Identifying a source of financial volatility Douglas G. Steigerwald and Richard J. Vagnoni; Part II. Asymptotic Approximations: 8. Asymptotic expansions for some semiparametric program evaluation estimators Hidehiko Ichimura and Oliver Linton; 9. Higher-order improvements of the parametric bootstrap for Markov processes Donald W. K. Andrews; 10. The performance of empirical likelihood and its generalizations Guido W. Imbens and Richard H. Spady; 11. Asymptotic bias for GMM and GEL estimators with estimated nuisance parameters Whitney K. Newey, Joaquim J. S. Ramalho and Richard J. Smith; 12. Empirical evidence concerning the finite sample performance of EL-type structural equation estimation and inference methods Ron C. Mittelhammer, George G. Judge and Ron Schoenberg; 13. How accurate is the asymptotic approximation to the distribution of realised variance? Ole E. Barndorff-Nielsen and Neil Shephard; 14. Testing the semiparametric Box-Cox model with the bootstrap N. E. Savin and Allan H. Wurtz; Part III. Inference Involving Potentially Nonstationary Time Series: 15. Tests of the null hypothesis of cointegration based on efficient tests for a unit MA root Michael Jansson; 16. Robust confidence intervals for autoregressive coefficients near one Samuel B. Thompson; 17. A unified approach to testing for stationarity and unit roots Andrew C. Harvey; 18. A new look at panel testing of stationarity and the PPP hypothesis Jushan Bai and Serena Ng; 19. Testing for unit roots in panel data: an exploration using real and simulated data Brownwyn H. Hall and Jacques Mairesse; 20. Forecasting in the presence of structural breaks and policy regime shifts David F. Hendry and Grayham E. Mizon; Part IV. Nonparametric and Semiparametric Inference: 21. Nonparametric testing of an exclusion restriction Peter J. Bickel, Y. Ritov and James L. Powell; 23. Density weighted linear least squares Whitney K. Newey and Paul A. Ruud.
10052184441X
480-502
Cambridge University Press
Hendry, David F.
9c76f1f4-5773-4a45-9778-6ea40af72958
Mizon, Grayham E.
2b8353b4-0af4-48db-b552-6867dc1f4583
Andrews, Donald W.
Stock, James H.
Hendry, David F.
9c76f1f4-5773-4a45-9778-6ea40af72958
Mizon, Grayham E.
2b8353b4-0af4-48db-b552-6867dc1f4583
Andrews, Donald W.
Stock, James H.

Hendry, David F. and Mizon, Grayham E. (2005) Forecasting in the presence of structural breaks and policy regime Shifts. In, Andrews, Donald W. and Stock, James H. (eds.) Identification and Inference for Econometric Models: Essays in Honor of Thomas Rothenberg. Cambridge, UK. Cambridge University Press, pp. 480-502.

Record type: Book Section

Abstract

Part I. Identification and Efficient Estimation: 1. Incredible structural inference Thomas J. Rothenberg; 2. Structural equation models in human behavior genetics Arthur S. Goldberger; 3. Unobserved heterogeneity and estimation of average partial effects Jeffrey M. Wooldridge; 4. On specifying graphical models for causation and the identification problem David A. Freedman; 5. Testing for weak instruments in linear IV regression James H. Stock and Motohiro Yogo; 6. Asymptotic distributions of instrumental variables statistics with many instruments James H. Stock and Motohiro Yogo; 7. Identifying a source of financial volatility Douglas G. Steigerwald and Richard J. Vagnoni; Part II. Asymptotic Approximations: 8. Asymptotic expansions for some semiparametric program evaluation estimators Hidehiko Ichimura and Oliver Linton; 9. Higher-order improvements of the parametric bootstrap for Markov processes Donald W. K. Andrews; 10. The performance of empirical likelihood and its generalizations Guido W. Imbens and Richard H. Spady; 11. Asymptotic bias for GMM and GEL estimators with estimated nuisance parameters Whitney K. Newey, Joaquim J. S. Ramalho and Richard J. Smith; 12. Empirical evidence concerning the finite sample performance of EL-type structural equation estimation and inference methods Ron C. Mittelhammer, George G. Judge and Ron Schoenberg; 13. How accurate is the asymptotic approximation to the distribution of realised variance? Ole E. Barndorff-Nielsen and Neil Shephard; 14. Testing the semiparametric Box-Cox model with the bootstrap N. E. Savin and Allan H. Wurtz; Part III. Inference Involving Potentially Nonstationary Time Series: 15. Tests of the null hypothesis of cointegration based on efficient tests for a unit MA root Michael Jansson; 16. Robust confidence intervals for autoregressive coefficients near one Samuel B. Thompson; 17. A unified approach to testing for stationarity and unit roots Andrew C. Harvey; 18. A new look at panel testing of stationarity and the PPP hypothesis Jushan Bai and Serena Ng; 19. Testing for unit roots in panel data: an exploration using real and simulated data Brownwyn H. Hall and Jacques Mairesse; 20. Forecasting in the presence of structural breaks and policy regime shifts David F. Hendry and Grayham E. Mizon; Part IV. Nonparametric and Semiparametric Inference: 21. Nonparametric testing of an exclusion restriction Peter J. Bickel, Y. Ritov and James L. Powell; 23. Density weighted linear least squares Whitney K. Newey and Paul A. Ruud.

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Published date: 2005

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Local EPrints ID: 35035
URI: http://eprints.soton.ac.uk/id/eprint/35035
ISBN: 10052184441X
PURE UUID: 2b8c1967-a075-4bd7-9a26-a55f2ebe6a63

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Date deposited: 16 May 2006
Last modified: 08 Jan 2022 15:54

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Contributors

Author: David F. Hendry
Author: Grayham E. Mizon
Editor: Donald W. Andrews
Editor: James H. Stock

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