SPECIAL ISSUE OFECONOMETRIC THEORY ONBOOTSTRAP AND NUMERICALMETHODS IN TIME SERIES:GUEST EDITORS' INTRODUCTION

摘要

This special issue of Econometric Theory collects papers presented at the Second Annual Conference of the Granger Centre for Time Series Econometrics, held at the University of Nottingham on September 10 and 11, 2008. Reflecting the fact that bootstrap and other numerical methods, including Monte Carlo simulation and simulation-based inference, are fast becoming essential tools in modern-day time series analysis the conference was run under the theme "Bootstrap and Numerical Methods in Time Series." Eighteen papers were presented at the conference, 10 of which were in contributed sessions and eight in keynote invited sessions. The keynote speakers at the conference were Peter Boswijk (Universiteit van Amsterdam), Jorg Breitung (University of Bonn), Valentina Corradi (University of Warwick), Russell Davidson (McGill University), Silvia Goncalves (Universite de Montreal), Patrik Guggenberger (UCLA), Javier Hidalgo (LSE), and Tim Vogelsang (Michigan State University). The conference program can be obtained from the conference Web site at http://www.nottingham.ac.uk/economics/grangercentre/ conf2008. An invitation was made to all speakers at the conference to contribute their papers. A total of 10 submissions were received. As special issue editors we adopted the usual editorial procedures and standards of Econometric Theory. Six papers survived the reviewing and revision process. These appear in this issue in the order of their final acceptance dates.