The Methodology and Practice of Econometrics

Jennifer L. Castle is a British Academy Post-doctoral Research Fellow at Nuffield College, Oxford. Neil Shephard is Professor of Economics at Oxford University and Research Director of the University's Oxford-Man Institute. He is fellow of the British Academy, Econometric Society and Nuffield College, Oxford.

• 1. An analysis of the indicator saturation estimator as a robust regression estimator ; 2. Empirical Identification of the Vector Autoregression: The Causes and Effects of U.S. M2 ; 3. Retrospective Estimation of Causal Effects Through Time ; 4. Autometrics ; 5. High Dimenson Dynamic Correlations ; 6. Pitfalls in Modeling Dependence Structures: Explorations with Copulas ; 7. Forecasting in Dynamic Factor Models Subject to Structural Instability ; 8. Internal consistency of survey respondents forecasts: Evidence based on the Survey of Professional Forecasters ; 9. Factor-augmented Error Correction Models ; 10. In Praise Of Pragmatic In Econometrics ; 11. On Efficient Simulations In Dynamic Models ; 12. Simple Wald Tests of the Fractional Integration Parameter: An Overview of New Results ; 13. When is a Time Series I(0)? ; 14. Model Identification and Non-unique Structure ; 15. Does it matter how to measure aggregates? The case of monetary transmission mechanisms in the Euro area ; 16. U.S. natural rate dynamics reconsidered ; 17. Constructive Data Mining: Modeling Argentine Broad Money Demand