Lex Oxley is a Lecturer in Economics at the University of Edinburgh. He has held visiting positions at the Australian National University, Monash University and the University of Wester Australia. He has published widely on applied econometrics and macroeconomic dynamics and is a joint founding editor of the Journal of Economic Surveys.Donald A. R. George is a Lecturer in Economics at the University of Edinburgh. He has held visiting positions at the Copenhagen School of Economics, The European University Institute (Florence) and Queens University (Canada). He has published extensively on the economics of worker participation and on economic social theory and is joint founding of the Journal of Economic Surveys.Colin J. Roberts is a Lecturer in Economics at the University of Edinburgh. He has taught theoretical and applied econometrics at all levels and has conducted major research into the application of econometric techniques to issues including innovation and patents. He is a joint founding editor of the Journal of Economic Surveys.Stuart Sayer is a Lecturer in Economics at the University of Edinburgh. He has published widely in his current research areas which are macroeconomics and monetary theory and policy and the interface between economics and politics. He is a joint founding editor of the Journal of Economic Surveys.

• Preface vi 1 Introduction 1 Les Oxley and Colin Roberts2 Three Econometric Methodologies: A Critical Appraisal 9 Adrian PaganThree Econometric Methodologies: An Update 30 Adrian Pagan 4 Pre-Test Estimation and Testing in Econometrics: Recent Developments 42 Judith Giles and David Giles 5 Sherlock Holmes and the Search for Truth: A Diagnostic Tale 91 Michael McAleer6 On Error Correction Models: Specification, Interpretation, Estimation 139 George Alogoskoufis and Ron Smith 7 Econometric Modelling using Cointegrated Time Series 171 Vito Antonio Muscatelli and Stan Hurn 8 On ARCH Models: Properties, Estimation and Testing 215 Anil Bera and Matthew Higgins 9 Nonlinear Time Series Models in Economics 273 Terence Mills 10 Testing the Rational Expectations Hypothesis in Macroeconometric Models with Unobserved Variables 299Les Oxley and Michael McAleer 11 Nonparametric and Semiparametric Methods for Economic Research 350 Miguel Delgado and Peter Robinson Author Index 397Subject Index 408

Lex Oxley is a Lecturer in Economics at the University of Edinburgh. He has held visiting positions at the Australian National University, Monash University and the University of Wester Australia. He has published widely on applied econometrics and macroeconomic dynamics and is a joint founding editor of the Journal of Economic Surveys.Donald A. R. George is a Lecturer in Economics at the University of Edinburgh. He has held visiting positions at the Copenhagen School of Economics, The European University Institute (Florence) and Queens University (Canada). He has published extensively on the economics of worker participation and on economic social theory and is joint founding of the Journal of Economic Surveys.Colin J. Roberts is a Lecturer in Economics at the University of Edinburgh. He has taught theoretical and applied econometrics at all levels and has conducted major research into the application of econometric techniques to issues including innovation and patents. He is a joint founding editor of the Journal of Economic Surveys.Stuart Sayer is a Lecturer in Economics at the University of Edinburgh. He has published widely in his current research areas which are macroeconomics and monetary theory and policy and the interface between economics and politics. He is a joint founding editor of the Journal of Economic Surveys.

• Preface vi 1 Introduction 1 Les Oxley and Colin Roberts2 Three Econometric Methodologies: A Critical Appraisal 9 Adrian PaganThree Econometric Methodologies: An Update 30 Adrian Pagan 4 Pre-Test Estimation and Testing in Econometrics: Recent Developments 42 Judith Giles and David Giles 5 Sherlock Holmes and the Search for Truth: A Diagnostic Tale 91 Michael McAleer6 On Error Correction Models: Specification, Interpretation, Estimation 139 George Alogoskoufis and Ron Smith 7 Econometric Modelling using Cointegrated Time Series 171 Vito Antonio Muscatelli and Stan Hurn 8 On ARCH Models: Properties, Estimation and Testing 215 Anil Bera and Matthew Higgins 9 Nonlinear Time Series Models in Economics 273 Terence Mills 10 Testing the Rational Expectations Hypothesis in Macroeconometric Models with Unobserved Variables 299Les Oxley and Michael McAleer 11 Nonparametric and Semiparametric Methods for Economic Research 350 Miguel Delgado and Peter Robinson Author Index 397Subject Index 408

Lex Oxley is a Lecturer in Economics at the University of Edinburgh. He has held visiting positions at the Australian National University, Monash University and the University of Wester Australia. He has published widely on applied econometrics and macroeconomic dynamics and is a joint founding editor of the Journal of Economic Surveys.Donald A. R. George is a Lecturer in Economics at the University of Edinburgh. He has held visiting positions at the Copenhagen School of Economics, The European University Institute (Florence) and Queens University (Canada). He has published extensively on the economics of worker participation and on economic social theory and is joint founding of the Journal of Economic Surveys.Colin J. Roberts is a Lecturer in Economics at the University of Edinburgh. He has taught theoretical and applied econometrics at all levels and has conducted major research into the application of econometric techniques to issues including innovation and patents. He is a joint founding editor of the Journal of Economic Surveys.Stuart Sayer is a Lecturer in Economics at the University of Edinburgh. He has published widely in his current research areas which are macroeconomics and monetary theory and policy and the interface between economics and politics. He is a joint founding editor of the Journal of Economic Surveys.

• Preface vi 1 Introduction 1 Les Oxley and Colin Roberts2 Three Econometric Methodologies: A Critical Appraisal 9 Adrian PaganThree Econometric Methodologies: An Update 30 Adrian Pagan 4 Pre-Test Estimation and Testing in Econometrics: Recent Developments 42 Judith Giles and David Giles 5 Sherlock Holmes and the Search for Truth: A Diagnostic Tale 91 Michael McAleer6 On Error Correction Models: Specification, Interpretation, Estimation 139 George Alogoskoufis and Ron Smith 7 Econometric Modelling using Cointegrated Time Series 171 Vito Antonio Muscatelli and Stan Hurn 8 On ARCH Models: Properties, Estimation and Testing 215 Anil Bera and Matthew Higgins 9 Nonlinear Time Series Models in Economics 273 Terence Mills 10 Testing the Rational Expectations Hypothesis in Macroeconometric Models with Unobserved Variables 299Les Oxley and Michael McAleer 11 Nonparametric and Semiparametric Methods for Economic Research 350 Miguel Delgado and Peter Robinson Author Index 397Subject Index 408