Incluye referencias bibliográficas (páginas 212-216) e índice

Preface -- Chapter one: Introduction: 1.1 Same process- different statistics ; 1.2 Stationary versus nonstationary versus nonstationary ; 1.3 Ergodicity – Chapter two: Analysis of a single time series: 2.1 Series that are almost random walks ; 2.2 Dangers of fitting deterministic trends ; 2.3 The use of a scale variable ; 2.4 Long-term exponential growth? ; 2.5 Official forecasts of growth and inflation ; 2.6 The pooling of forecasts – Chapter three: Analysis of multivariate time series: 3.1 A first example of linear regressiom ; 3.2 Reading the computer output of a linear regression ; 3.3 Additional issues in multivariate linear regression ; 3.4 Issues of specification ; 3.5 Formal requirements for linear regression ; Appendix 1: Robust estimation ; Appendix 2: Dummy variables – Chapter four: Introducing the multivariate kalman filter: 4.1 Recursive least squares ; 4.2 Form recursive least squares to the kalman filter ; 4.3 General discrete-time kalman filter specification ; 4.4 Estimating the hyperparameters in the kalman filter ; 4.5 An illustration of the Kalman filter – Chapter five: forecasting economic growth: 5.1 The three decompositions of economic growth ; 5.2 Forecasts from large-scale econometric ; 5.3 Theoretical models for the business cycle ; 5.4 Monetary influences on the business cycle ; 5.5 Short-term economic growth in the US, Japan and Germany – Chapter six: forecasting with the term structure of interest rates: 6.1 Forecasting in efficient markets ; 6.2 Dynamics of interest rates ; 6.3 The term structure of interest rates ; 6.4 Using the term structure to forecast economic growth ; 6.5 Interest rate patterns and the economy – Chapter seven: forecasting returns on the stock market index: 7.1 Rationality in the stock market ; 7.2 Expected sotck market returns –the fama- French study ; 7.3 Predicting returns on the US stock market ; 7.4 Dynamics of the Us stock market – Chapter eight: forecasting exchange rates: 8.1 The dynamics of exchange rates ; 8.2 Floating rates and purschasing power parity ; 8.3 Forecasting floationg exchange rates ; 8.4 Real interest rates and exchange rates ; 8.5 Exchange rates in the European Monetary System – Chapter nine: four econometric fashions and the kalman filter alternative: 9.1 Introduction ; 9.2 Experiments with artificial random walks ; 9.3 A multivariate kalman filter ; 9.4 Results for pairs of nonstationary time series ; 9.5 Artificial experiments with cyclical data ; 9.6 Analysis of cyclical data ; 9.7 Four fashions in econometrics revisited – Bibliography ; Index.