A Comparison of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time Series

Norman R. Swanson, Eric Ghysels, and Myles Callan: Chapter 2:

A Multivariate Time Series Analysis of the Data Revision Process for Industrial Production and the Composite Leading Indicator

Francis X. Diebold, Anthony S. Tay, and Kenneth F. Wallis: Chapter 3:

Evaluating Density Forecasts: The Survey of Professional Forecasters

Paul Newbold, David I. Harvey, and Stephen J. Leybourne: Chapter 4:

Ranking Competing Multi-step Forecasts

David F. Hendry and Grayham E. Mizon: Chapter 5:

The Pervasiveness of Granger Causality in Econometrics

James H. Stock: Chapter 6:

A Class for Tests for Integration and Cointegration

Helmut Lütkepohl and Pentti Saikkonen: Chapter 7:

Order Selection in Testing for the Cointegration Rank of a VAR Process

Tom Engsted and Søren Johansen: Chapter 8:

Granger's Representation Theorem and Multicointegration

Jesús Gonzalo and Jean-Yves Pitarakis: Chapter 9:

Dimensionality Effect in Cointegration Analysis

Luigi Ermini: Chapter 10:

Testing DHSY as a Restricted Conditional Model of a Trivariate Seasonally Integrated System

Michio Hatanaka and Kazuo Yamada: Chapter 11:

A Unit Root Test in the Presence of Structural Changes in I(1) and I(0) Models

Tae-Hwy Lee and Stuart Scott: Chapter 12:

Investigating Inflation Transmission by Stages of Processing

Katarina Juselius: Chapter 13:

Price Convergence in the Medium and Long Run: an I(2) Analysis of Six Price Indices

Halbert White and Yongmiao Hong: Chapter 14:

M-testing using Finite and Infinite Dimensional Parameter Estimators

Jeffrey M. Wooldridge: Chapter 15:

Asymptotic Properties of Some Specification Tests in Linear Models with Integrated Processes

Vidar Kjellvik and Dag Tjøstheim: Chapter 16:

Residual Variance Estimates and Order Determination in Panels of Intercorrelated Autoregressive Time Series

Farshid Vahid: Chapter 17:

Partial Pooling: a Possible Answer to 'To Pool or not to Pool'

Andrew A. Weiss: Chapter 18:

A Simultaneous Binary Choice/Count Model with an Application to Credit Card Approvals

Timo Teräsvirta and Changli He: Chapter 19:

Statistical Properties of the Asymmetric Power ARCH Process

Robert F. Engle and Gary G. J. Lee: Chapter 20:

A Long-run and Short-run Component Model of Stock Return Volatility