Table of Contents

1. Specification testing in dynamic models Halbert White; 2. Specification tests: an overview Alberto Holly; 3. Kernel estimators of regression functions Herman J. Bierens; 4. Identification and consistency in semi-non parametric regression A. Ronald Gallant; 5. On econometic models with rational expectations Laurence Broze and Ariane Szafarz; 6. Calculating asset prices in three example economies Lars Peter Hansen; 7. The Kalman Filter: applications to forecasting and rational expectations models Robert F. Engle and Mark W. Watson; 8. Applications of the Kalman filter in econometrics Andrew C. Harvey.

Promotional Information

With its focus on econometrics, this volume contains key papers delivered at the Fifth World Congress in 1985.

Reviews

'A very interesting collection of papers, as accessible to the general economist as to the specialist.' The Economic Journal