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時系列計量経済学 全 4 巻 Time Series Econometrics: Critical Concepts in Economics

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時系列計量経済学 全 4 巻 Time Series Econometrics: Critical Concepts in Economics KS－4053 / October 2014 ご注文承り中!! 【計量経済学、トレンド、回帰分析】 計量経済学の時系列分析の論考を包括的に集めた重要論文集 T.ミルズ編 時系列計量経済学 全 4 巻 Time Series Econometrics: Critical Concepts in Economics. 4 vols. Mills, Terence (ed.), Time Series Econometrics: Critical Concepts in Economics. 4 vols. (Critical Concepts in Economics) 1664 pp. 2015:3 (Routledge, UK) <618-322> ISBN 978-0-415-71827-1 hard set 計量経済学会(Econometric Society)設立に尽力した、20 世紀を代表する計量経済学者の R. フリッシュの記憶すべき言葉を借りれば、計量経済学は「経済問題に対する理論・数量的アプ ローチと実証・数量的アプローチの統一(‘a unification of the theoretical-quantitative and the empirical-quantitative approach to economic problems’)」の学問となります。1930～40 年代 に形となって以降、計量経済学は、膨大な文献によって支えられる重要なディシプリンとして 認知されています。 本書は、その文献の中から特に重要な論考を集めたレファレンスです。第 1 巻「基盤を築く」 は、「相関とトレンドの除去」「疑似相関、ランダム・ショック、誘発された循環」「定常時系 列のモデリング」「推定・推測における展開」の部、第 2 巻「成熟するディシプリン」は、「時 系列関係のモデリング」「時系列の回帰モデルの検定」「因果性」の部、第 3 巻「単一方程式モ デリング」は、「動態的仕様」「単位根、タイム・トレンド、ブレイク」の部、第 4 巻「多重方 程式モデル」は、「連立方程式、ベクトル自己回帰、パネル」「疑似回帰、共和分、コモン・ト レンド、ベクトル誤差修正モデル」の部よりそれぞれ構成されています。計量経済学の研究室・ 図書室必備のレファレンスとして本書をお薦めいたします。 《内容明細》 Volume I: Laying the Foundations Part 1: Correlation and Detrending 1. Reginald H. Hooker, ‘Correlation of the marriage-rate with trade’, 1901 2. Reginald H. Hooker, ‘On the correlation of successive observations’, 1905 3. Student (W. S. Gosset), ‘The elimination of spurious correlation due to position in time and space’, 1914 4. Warren M. Persons, ‘On the variate difference correlation method and curve fitting’, 1917 5. G. Udny Yule, ‘On the time-correlation problem, with especial reference to the variate-difference correlation method’, 1921 Part 2: Spurious Correlations, Random Shocks, and Induced Cycles 6. G. Udny Yule, ‘Why do we sometimes get nonsense-correlations between time-series? A study in sampling and the nature of time series’, 1926 7. Eugen Slutzky, ‘The summation of random causes as the source of cyclic processes’, 1937 8. Holbrook Working, ‘A random difference series for use in the analysis of time series’, 1934 Part 3: Modelling Stationary Time Series 9. G. Udny Yule, ‘On a method of investigating periodicities in disturbed series, with special reference to Wolfer’s sunspot numbers’, 1927 10. Maurice G. Kendall, ‘On autoregressive time series’, 1944 11. James Durbin, ‘The fitting of time series models’, 1960 Part 4: Developments in Estimation and Inference 12. Maurice S. Bartlett, ‘On the theoretical specification and sampling properties of autocorrelated time series’, 1946 13. Richard J. Anderson, ‘Distribution of the serial correlation coefficient’, 1942 14. George S. Watson and James Durbin, ‘Exact tests of serial correlation using noncircular statistics’, 1951 15. Henry B. Mann and Abraham Wald, ‘On the statistical treatment of linear stochastic difference equations’, 1943 16. James Durbin, ‘Efficient estimation of parameters in moving-average models’, 1959 17. A. M. Walker, ‘Large-sample estimation of parameters for autoregressive processes with moving-average residuals’, 1962 Volume II: A Maturing Discipline Part 1: Modelling Relationships Between Time Series 18. Irving Fisher, ‘Our unstable dollar and the so-called business cycle’, 1925 19. Bradford B. Smith, ‘Combining the advantages of first-difference and deviation-from-trend methods of correlating time series’, 1926 20. Ragnar Frisch and Frederick V. Waugh, ‘Partial time regressions as compared with individual trends’, 1933 21. Guy H. Orcutt and S. F. James, ‘Testing the significance of correlation between time series’, 1948 22. Donald Cochrane and Guy H. Orcutt, ‘Application of least squares regression to relationships containing autocorrelated error terms’, 1949 23. James Durbin, ‘Estimation of parameters in time series regression models’, 1960 Part 2: Testing Time-Series Regression Models 24. James Durbin and George S. Watson, ‘Testing for serial correlation in least squares regression: I’, 1950 25. James Durbin and George S. Watson, ‘Testing for serial correlation in least squares regression: II’, 1951 26. James Durbin, ‘Testing for serial correlation in least-squares regression when some of the regressors are lagged dependent variables’, 1970 27. George E. P. Box and David A. Pierce, ‘Distribution of the residual autocorrelations in autoregressive-moving average time series models’, 1970 28. Walter Krāmer, Werner Ploberger, and Raimund Alt, ‘Testing for structural change in dynamic models’, 1988 29. Trevor S. Breusch, ‘Testing for autocorrelation in dynamic linear models’, 1978 30. Leslie G. Godfrey, ‘Testing for higher order serial correlation in regression equations when the regressors include lagged dependent variables’, 1978 31. Whitney K. Newey and Kenneth D. West, ‘A simple positive semidefinite, heteroskedsticity consistent covariance matrix’, 1987 Part 3: Causality 32. Clive W. J. Granger, ‘Investigating causal relations by econometric methods and cross-spectral methods’, 1969 33. Christopher A. Sims, ‘Money, income and causality’, 1972 (株)極東書店 2 KS－4053 / 時系列計量経済学 34. Richard Ashley, Clive W. J. Granger, and Richard W. Schmalensee, ‘Advertising and aggregate consumption: an analysis of causality’, 1980 35. Helmut Lütkepohl, ‘Non-causality due to omitted variables’, 1982 36. John Geweke, ‘Measurement of linear dependence and feedback between time series’, 1982 37. Charles R. Nelson and G. William Schwert, ‘Tests for predictive relationships between time series variables: a Monte Carlo investigation’, 1982 38. Hiro Y. Toda and Peter C. B. Phillips, ‘Vector autoregressions and causality’, 1993 Volume III: Single-Equation Modelling Part 1: Dynamic Specification 39. David F. Hendry and Grayham E. Mizon, ‘Serial correlation as a convenient simplification, not a nuisance: a comment on a study of the demand for money by the Bank of England’, 1978 40. James E. H. Davidson, David F. Hendry, Frank Srba, and Stephen Yeo, ‘Econometric modeling of the aggregate time-series relationship between consumer expenditure and income in the United Kingdom’, 1978 41. J. Denis Sargan, ‘Some tests of dynamic specification for a single equation’, 1980 42. David F. Hendry and Jean-François Richard, ‘On the formulation of empirical models in dynamic econometrics’, 1982 Part 2: Unit Roots, Time Trends, and Breaks 43. David A. Dickey and Wayne A. Fuller, ‘Distribution of the estimators for autoregressive time series with a unit root’, 1979 44. Said E. Said and David A. Dickey, ‘Testing for unit roots in autoregressive-moving average models of unknown order’, 1984 45. Peter C. B. Phillips and Pierre Perron, ‘Testing for a unit root in time series regression’, 1988 46. Charles R. Nelson and Charles I. Plosser, ‘Trends and random walks in macroeconomic time series’, 1982 47. Charles R. Nelson and Heejoon Kang, ‘Pitfalls in the use of time as an explanatory variable in regression’, 1984 48. Steven N. Durlauf and Peter C. B. Phillips, ‘Trends versus random walks in time series analysis’, 1988 49. Pierre Perron, ‘The Great Crash, the oil price shock and the unit root hypothesis’, 1989 50. Denis Kwiatkowski, Peter C. B. Phillips, Peter Schmidt, and Yongcheol Shin, ‘Testing the null hypothesis of stationarity against the alternative of a unit root: how sure are we that economic time series have a unit root?’, 1992 51. David DeJong, John Nankervis, N. Eugene Savin, and Charles Whiteman, ‘The power problems of unit root tests for time series with autoregressive errors’, 1992 52. Graham Elliott, Thomas J. Rothenberg, and James H. Stock, ‘Efficient tests for an autoregressive unit root’, 1996 53. Graham Elliott and James H. Stock, ‘Confidence intervals for autoregressive coefficients near one’, 2001 54. Serena Ng and Pierre Perron, ‘Lag length selection and the construction of unit root tests with good size and power’, November, 2001 55. David Harris, David I. Harvey, Stephen J. Leybourne, and A. M. Robert Taylor, ‘Testing for a unit root in the presence of a possible break in trend’, 2009 56. Dukpa Kim and Pierre Perron, ‘Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses’, 2009 Volume IV: Multiple-Equation Modelling Part 1: Simultaneous Equations, VARs, and Panels 57. John Geweke, ‘Testing the exogeneity specification in the complete dynamic simultaneous equations model’, 1978 58. Christopher A. Sims, ‘Macroeconomics and reality’, 1980 (株)極東書店 3 KS－4053 / 時系列計量経済学 59. Helmut Lütkepohl, ‘Comparison of criteria for estimating the order of a vector autoregressive process’, 1985 60. Olivier J. Blanchard and Danny Quah, ‘Dynamic effects of aggregate demand and aggregate supply disturbances’, 1989 61. M. Hashem Pesaran and Yongcheol Shin, ‘Generalized impulse response analysis in linear multivariate models’, 1998 62. Andrew Levin, Chien-Fu Lin, and Chia-Shang James Chu, ‘Unit root tests in panel data: asymptotic and finite sample properties’, 2002 63. Kyung So Im, M. Hashem Pesaran and Yongcheol Shin, ‘Testing for unit roots in heterogeneous panels’, 2003 Part 2: Spurious Regression, Cointegration, Common Trends, and VECMs 64. George E. P. Box and Paul Newbold, ‘Some comments on a paper of Coen, Gomme and Kendall’, 1971 65. Clive W. J. Granger and Paul Newbold, ‘Spurious regressions in econometrics’, 1974 66. J. Denis Sargan and Alok Bhargava, ‘Testing for residuals from least-squares regression being generated by a random walk’, 1983 67. Peter C. B. Phillips, ‘Understanding spurious regressions in econometrics’, 1986 68. Robert F. Engle and Clive W. J. Granger, ‘Co-integration and error correction: representation, estimation and testing’, 1987 69. James H. Stock, ‘Asymptotic properties of least squares estimators of cointegrating vectors’, 1987 70. James H. Stock and Mark W. Watson, ‘Testing for common trends’, 1988 71. Soren Johansen, ‘Estimation and hypothesis testing of cointegrating vectors in Gaussian vector autoregressive models’, 1991 72. Peter C.B. Phillips, ‘Optimal inference in co-integrated systems’, 1991 73. Farshid Vahid and Robert F. Engle, ‘Common trends and common cycles’, 1993 74. Pentti Saikkonen and Helmut Lütkepohl, ‘Testing for cointegrating rank of a VAR process with structural shifts’, 2000 (株)極東書店 4 KS－4053 / 時系列計量経済学 .
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