Preface
Contributors
Introduction
1. Some Methodological Questions Arising from
Large Data Sets
Clive W.J. Granger
Applications of Simulation Methods
2. Finite-Sample Simulation-Based Tests in Seemingly
Unrelated Regressions
Jean-Marie Dufour and Lynda Khalaf
3. Finding Optimal Penalties for Model Selection
in the Linear Regression Model
Maxwell L. King and Gopal K. Bose
4. On Bootstrap Coverage Probability with
Dependent Data
Janis J. Zvingelis

5. A Comparison of Alternative Causality and
Predictive Accuracy Tests in the Presence of
Integrated and Cointegrated Economic Variables
Norman R. Swanson, Ataman Ozyildirim, and
Maria Pisu
6. Finite Sample Performance of the Empirical
Likelihood Estimator Under Endogeneity
Ron C. Mittelhammer and George G. Judge
7. Testing for Unit Roots in Semiannual Data
Sandra G. Feltham and David E. A. Giles
Bayesian and Related Inference
8. Using Simulation Methods for Bayesian
Econometric Models
John Geweke, William McCausland, and
John Stevens
9. Bayesian Inference in the Seemingly
Unrelated Regressions Model
William E. Griffiths
10. Computationally Intensive Methods for
Deriving Optimal Trimming Parameters
Marco van Akkeren
Econometric Modeling
11. Estimating and Testing Fundamental Stock Prices:
Evidence from Simulated Economies
R. Glen Donaldson and Mark J. Kamstra
12. Neural Networks: An Econometric Tool
Johan F. Kaashoek and Herman K. van Dijk

13. Real-Time Forecasting with Vector Autoregressions:
Spurious Drift, Structural Change, and
Intercept Correction
Ronald Bewley
14. Econometric Modeling Based on Pattern
Recognition via the Fuzzy C-Means Clustering
Algorithm
David E. A. Giles and Robert Draeseke
Nonparametric and Semiparametric Inference
15. Nonparametric Bootstrap Specification Testing
in Econometric Models
Tae-Hwy Lee and Aman Ullah
16. The Effect of Economic Growth on Standard
of Living: A Semiparametric Analysis
Nilanjana Roy
Contents ix