Contributions to Modern Econometrics From Data Analysis to Economic
The field of econometrics has gone through remarkable changes during the last thirty-five years. Widening its earlier focus on testing macroeconomic theories, it has become a rather comprehensive discipline concemed with the development of statistical met
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Dynarnic Modeling and Econometrics in Economies and Finance VOLUME4
Series Editors Stefan Mittnik, University of Kiel. Germany Willi Semmler, University of Bielefeld. Germany and New School for Social Research. U.S.A.
Contributions to Modem Econometrics From Data Analysis to Economic Policy
Edited by
Ingo Klein University of Erlangen-Nuremberg, Germany
and
Stefan Mittnik University of Kiel and Center of Financial Studies, Frankfurt, Germany
Springer Science+Business Media, LLC
A C.I.P. Catalogue record for this book is available from the Library of Congress.
ISBN 978-1-4419-5331-5 ISBN 978-1-4757-3602-1 (eBook) DOI 10.1007/978-1-4757-3602-1
Printed an acid-free paper
AII Rights Reserved © 2002 Springer Science+Business Media New York
Originally published by Kluwer Academic Publishers in 2002 Softcover reprint ofthe hardcover Ist edition 2002 No part of this work may be reproduced, stored in a retrieval system, or transmitted in any form or by any means, electronic, mechanical, photocopying, microfilming, recording or otherwise, without written permission from the Publisher, with the exception of any material supplied specifically for the purpose of being entered and executed on a computer system, for exclusive use by the purchaser of the work.
This volume is dedicated to Gerd Hansen on the occasion 0/ his 65th Birthtlay.
Preface
The field of econometrics has gone through remarkable changes during the last thirty-five years. Widening its earlier focus on testing macroeconomic theories, it has become a rather comprehensive discipline concemed with the development of statistical methods and their application to the whole spectrum of economic data. This development becomes apparent when looking at the biography of an econometrician whose illustrious research and teaching career started about thirty-five years ago and who will retire very soon after his 65th birthday. This is Gerd Hansen, professor of econometrics at the Christian Albrechts University at Kiel and to whom this volume with contributions from colleagues and students has been dedicated. He has shaped the econometric landscape in and beyond Germany throughout these thirty-five years. At the end of the 1960s he developed one of the first econometric models for the German economy which adhered c10sely to the traditions put forth by the Cowles commission. His current research activities comprise topics such as cointegration analysis, macroeconometric models, labor econometrics, exchange rate modeling, and monetary econometrics. This list of topics reftects his modern understanding of econometrics. His work is solidly grounded on economic theories and models, but always related to empirical phenomena, and it employs state-of-the-art statistical and econometric methods or, if the need arises, further develops such methods. Throughout his career, Gerd Hansen has always been aware of the disparities that may arise when dealing with complex econometric techniques on the one hand and with insufficient and possibly error-prone data material on the
