The purpose of this book is to establish a connection between the traditional field of empirical economic research and the emerging area of empirical financial research and to build a bridge between theoretical developments in these areas and their application in practice. Accordingly, it covers broad topics in the theory and application of both empirical economic and financial research, including analysis of time series and the business cycle; different forecasting methods; new models for volatility, correlation and of high-frequency financial data and new approaches to panel regression, as well as a number of case studies. Most of the contributions reflect the state-of-art on the respective subject. The book offers a valuable reference work for researchers, university instructors, practitioners, government officials and graduate and post-graduate students, as well as an important resource for advanced seminars in empirical economic and financial research.
Foreword.- Editorial.- Introduction.- Part I Empirical Economic
Research.- Hebbel, Steuer: Decomposition of Time Series Using the Generalised
Berlin Method (VBV).- Badagián, Kaiser, Peña: Time Series Segmentation
Procedures to Detect, Locate and Estimate Change-Points.- Schauberger, Tutz:
Regularization Methods in Economic Forecasting.- Bruckner, Jeske:
Investigating Bavarian Beer Consumption.- McElroy, Pang: The Algebraic
Structure of Transformed Time Series.- Maravall, López Pavón, Pérez Cañete:
Reliability of the Automatic Identification of ARIMA Models in Program
TRAMO.- Schneeweiss, Ronning, Schmid: Panel Model with Multiplicative
Measurement Errors.- Hartung, Elpelt-Hartung, Knapp: A Modified Gauss Test
for Correlated Samples with Application to Combining Dependent Tests or
P-Values.- Michels: Panel Research on the Demand of Organic Food in Germany:
Challenges and Practical Solutions.- Ng, Smith: The Elasticity of Demand for
Gasoline: A Semi-Parametric Analysis.- Dehon, Desbordes, Verardi: The
Pitfalls of Ignoring Outliers in Instrumental Variables Estimations: An
Application to the Deep Determinants of Development.- Schlittgen: Evaluation
of Job Centre Schemes - Ideal Types Versus Statistical Twins.- Wilrich: The
Precision of Binary Measurement Methods.- Part II Empirical Financial
Research.- Beran, Feng, Ghosh: On EFARIMA and ESEMIFAR Models.- Allende,
Ulloa, Allende-Cid: Prediction Intervals in Linear and non-Linear Time Series
with Sieve Bootstrap Methodology.- Assenmacher, Czudaj: Do Industrial Metals
Prices exhibit Bubble Behavior?.- Lütkepohl: Forecasting Unpredictable
Variables.- Hamerle, Scherr: Dynamic Modeling of the Correlation Smile.-
Abberger, Nierhaus: Findings of the Signal Approach - A Case Study for
Kazakhstan.- Peitz, Feng: Double Conditional Smoothing of High-Frequency
Volatility Surface under a Spatial model.- Pflaumer: Zillmers Population
Model: Theory and Application.- Part III New Econometric Approaches.-
Koenker:Adaptive Estimation of Regression Parameters for the Gaussian Scale
Mixture Model.- Deistler, Scherrer, Anderson: The Structure of Generalized
Linear Dynamic Factor Models.- Giraitis, Kapetanios, Mansur, Price:
Forecasting under Structural Change.- Hassler, Hosseinkouchack: Distribution
of the Durbin-Watson Statistic in Near Integrated Processes.- Grote,
Sibbertsen: Testing for Cointegration in a Double-LSTR Framework.- McElroy,
Findley: Fitting Constrained Vector Autoregression Models.- Krumbholz,
Starke: Minimax Versions of the Two-Step Two-Sample-Gauß- and t-Test.-
Samarov: Dimensionality Reduction Models in Density Estimation and
Classification.- Baksalary, Trenkler: On a CraigSakamoto Theorem for
Orthogonal Projectors.- A Note of Appreciation.
Jan Beran is a Professor of Statistics at the University of Konstanz (Department of Mathematics and Statistics). After completing his PhD in Mathematics at the ETH Zurich, he worked at several U.S. universities and the University of Zurich. He has a broad range of interests, from long-memory processes and asymptotic theory to applications in finance, biology and musicology.
Yuanhua Feng is a Professor of Econometrics at the University of Paderborns Department of Economics. He previously worked at the Heriot-Watt University, UK, after completing his PhD and postdoctoral studies at the University of Konstanz. His research interests include financial econometrics, time series and semiparametric modeling.
Hartmut Hebbel is a Professor (emeritus) of Empirical Economic Research at the University of the Federal Armed Forces in Hamburg, Germany. He studied Mathematics at the Technische Universität Berlin and previously worked at different German universities after receiving his PhD and German PD in Statistics from the University of Dortmund. His research interests include space and time series analysis and applications of statistical methods in the natural and environmental sciences.
