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The fourth special issue on Computational Econometrics
Computational Statistics and Data Analysis 53 (2009) 1923–1924
Contents lists available at ScienceDirect
Computational Statistics and Data Analysis journal homepage: www.elsevier.com/locate/csda
Editorial
The fourth special issue on Computational Econometrics David A. Belsley a , Russell Davidson b , Erricos John Kontoghiorghes c,∗ , James G. MacKinnon d , Herman K. van Dijk e a
Department of Economics, Boston College, Chestnut Hill, MA 02467, USA
b
Department of Economics, McGill University, Quebec, Canada
c
Department of Public and Business Administration, University of Cyprus, Cyprus
d
Department of Economics, Queen’s University, Ontario, Canada
e
Econometric and Tinbergen Institutes, Erasmus University Rotterdam, Netherlands
article
info
Article history: Available online 30 January 2009
The journal ’Computational Statistics and Data Analysis’ aims to have regular issues on computational econometrics (Amendola et al., 2006a,b; Belsley and Kontoghiorghes, 2003, 2005; Belsley et al., 2007). Of particular interest are papers in important areas of econometric applications where both computational techniques and numerical methods have a major impact. The goal is to provide sources of information about the most recent developments in computational econometrics that are currently scattered throughout publications in specialized areas. Applied econometric practice is inherently computational, often substantially so. Existing algorithms, however, do not always embody the best of computational techniques, either for efficiency, stability, or conditioning. Likewise, environments for doing econometrics are inherently computer-based. Integrated packages for conducting econometrics have grown well over the years, but still leave much room for further development. The first special issue dealing with computational econometrics (Belsley and Kontoghiorghes, 2003) featured articles examining filters, heuristic methods for estimation, MCMC, computational and numerical aspects for estimating largescale models, and simulation methods, among other topics, indicated the importance of computing in econometrics, and highlighted research opportunities that exist in this discipline. The second special issue on computational econometrics (Belsley and Kontoghiorghes, 2005) considered papers addressing computational and numerical methods used in solving theoretical and practical issues associated with econometric algorithms, the impact of computing on econometrics, and specific applications involving computing and econometrics. The third special issue (Belsley et al., 2007) contained studies that examined aspects of prediction, estimation and testing, applications of Monte Carlo and bootstrapping, and determinations of estimator distributions in numerous economic and financial contexts. This fourth special issue comprises 35 studies in the general areas of Testing and Diagnostics, Estimation, Finance, Economics and Econometrics, and Distribution Theory and Practice. References Amendola, A., Francq, C., Koopman, S.J., 2006a. Special issue on nonlinear modeling and financial econometrics. Computational Statistics and Data Analysis 51 (4), 2115–2117. Amendola, A., Belsley, D.A., Kontoghiorghes, E.J., van Dijk, H.K., Omori, Y., Zivot, E., 2006b. Special issue on statistical and computational methods in finance. Computational Statistics and Data Analysis 51 (4), 2115–2117.
∗
Corresponding address: Department of Public and Business Administration, University of Cyprus, P.O. Box 20537, 1678 Nicosia, Cyprus. E-mail addresses: [email protected] (D.A. Belsley), [email protected] (R. Davidson), [email protected] (E.J. Kontoghiorghes), [email protected] (J.G. MacKinnon), [email protected] (H.K. van Dijk). 0167-9473/$ – see front matter © 2009 Elsevier B.V. All rights reserved. doi:10.1016/j.csda.2009.01.012
1924
Editorial / Computational Statistics and Data Analysis 53 (2009) 1923–1924
Belsley, D.A., Kontoghiorghes, E.J., 2003. Special issue on computational econometrics. Computational Statistics and Data Analysis 42 (3), 277–278. Belsley, D.A., Kontoghiorghes, E.J., 2005. Second special issue on computational econometrics. Computational Statistics and Data Analysis 49 (2), 283–285. Belsley, D.A., Kontoghiorghes, E.J, Magnus, J.R., 2007. The third special issue on computational econometrics. Computational Statistics and Data Analysis 51 (7), 3258.
Contents lists available at ScienceDirect
Computational Statistics and Data Analysis journal homepage: www.elsevier.com/locate/csda
Editorial
The fourth special issue on Computational Econometrics David A. Belsley a , Russell Davidson b , Erricos John Kontoghiorghes c,∗ , James G. MacKinnon d , Herman K. van Dijk e a
Department of Economics, Boston College, Chestnut Hill, MA 02467, USA
b
Department of Economics, McGill University, Quebec, Canada
c
Department of Public and Business Administration, University of Cyprus, Cyprus
d
Department of Economics, Queen’s University, Ontario, Canada
e
Econometric and Tinbergen Institutes, Erasmus University Rotterdam, Netherlands
article
info
Article history: Available online 30 January 2009
The journal ’Computational Statistics and Data Analysis’ aims to have regular issues on computational econometrics (Amendola et al., 2006a,b; Belsley and Kontoghiorghes, 2003, 2005; Belsley et al., 2007). Of particular interest are papers in important areas of econometric applications where both computational techniques and numerical methods have a major impact. The goal is to provide sources of information about the most recent developments in computational econometrics that are currently scattered throughout publications in specialized areas. Applied econometric practice is inherently computational, often substantially so. Existing algorithms, however, do not always embody the best of computational techniques, either for efficiency, stability, or conditioning. Likewise, environments for doing econometrics are inherently computer-based. Integrated packages for conducting econometrics have grown well over the years, but still leave much room for further development. The first special issue dealing with computational econometrics (Belsley and Kontoghiorghes, 2003) featured articles examining filters, heuristic methods for estimation, MCMC, computational and numerical aspects for estimating largescale models, and simulation methods, among other topics, indicated the importance of computing in econometrics, and highlighted research opportunities that exist in this discipline. The second special issue on computational econometrics (Belsley and Kontoghiorghes, 2005) considered papers addressing computational and numerical methods used in solving theoretical and practical issues associated with econometric algorithms, the impact of computing on econometrics, and specific applications involving computing and econometrics. The third special issue (Belsley et al., 2007) contained studies that examined aspects of prediction, estimation and testing, applications of Monte Carlo and bootstrapping, and determinations of estimator distributions in numerous economic and financial contexts. This fourth special issue comprises 35 studies in the general areas of Testing and Diagnostics, Estimation, Finance, Economics and Econometrics, and Distribution Theory and Practice. References Amendola, A., Francq, C., Koopman, S.J., 2006a. Special issue on nonlinear modeling and financial econometrics. Computational Statistics and Data Analysis 51 (4), 2115–2117. Amendola, A., Belsley, D.A., Kontoghiorghes, E.J., van Dijk, H.K., Omori, Y., Zivot, E., 2006b. Special issue on statistical and computational methods in finance. Computational Statistics and Data Analysis 51 (4), 2115–2117.
∗
Corresponding address: Department of Public and Business Administration, University of Cyprus, P.O. Box 20537, 1678 Nicosia, Cyprus. E-mail addresses: [email protected] (D.A. Belsley), [email protected] (R. Davidson), [email protected] (E.J. Kontoghiorghes), [email protected] (J.G. MacKinnon), [email protected] (H.K. van Dijk). 0167-9473/$ – see front matter © 2009 Elsevier B.V. All rights reserved. doi:10.1016/j.csda.2009.01.012
1924
Editorial / Computational Statistics and Data Analysis 53 (2009) 1923–1924
Belsley, D.A., Kontoghiorghes, E.J., 2003. Special issue on computational econometrics. Computational Statistics and Data Analysis 42 (3), 277–278. Belsley, D.A., Kontoghiorghes, E.J., 2005. Second special issue on computational econometrics. Computational Statistics and Data Analysis 49 (2), 283–285. Belsley, D.A., Kontoghiorghes, E.J, Magnus, J.R., 2007. The third special issue on computational econometrics. Computational Statistics and Data Analysis 51 (7), 3258.