Contents
Notes on Contributors viii
Editors’ Introduction xi
Part I The Methodology and Philosophy of Applied Econometrics
1 The Methodology of Empirical Econometric Modeling: Applied
Econometrics Through the Looking Glass 3
David F. Hendry, Nuffield College, Oxford University
2 How Much Structure in Empirical Models? 68
Fabio Canova, Universitat Pompeu Fabra
3 Introductory Remarks on Metastatistics for the Practically Minded
Non-Bayesian Regression Runner 98
John DiNardo, University of Michigan
Part II Forecasting
4 Forecast Combination and Encompassing 169
Michael P. Clements, Warwick University, and David I. Harvey,
School of Economics, University of Nottingham
5 Recent Developments in Density Forecasting 199
Stephen G. Hall, University of Leicester, and James Mitchell,
National Institute of Economic and Social Research
Part III Time Series Applications
6 Investigating Economic Trends and Cycles 243
D.S.G. Pollock, University of Leicester
7 Economic Cycles: Asymmetries, Persistence, and Synchronization 308
Joe Cardinale, Air Products and Chemicals, Inc., and Larry W. Taylor,
College of Business and Economics, Lehigh University
8 The Long Swings Puzzle: What the Data Tell When Allowed to
Speak Freely 349
Katarina Juselius, University of Copenhagen
9 Structural Time Series Models for Business Cycle Analysis 385
Tommaso Proietti, University of Rome ‘Tor Vergata’
10 Fractional Integration and Cointegration: An Overview and an
Empirical Application 434
Luis A. Gil-Alana and Javier Hualde, Universidad de Navarra
v