Details

<p>List of Figures viii</p> <p>List of Tables ix</p> <p>List of Contributors x</p> <p>Preface xii</p> <p>List of Abbreviations xiv</p> <p>Introduction 1</p> <p>1 Artificial Regressions 16<br /><i>Russell Davidson and James G. MacKinnon</i></p> <p>2 General Hypothesis Testing 38<br /><i>Anil K. Bera and Gamini Premaratne</i></p> <p>3 Serial Correlation 62<br /><i>Maxwell L. King</i></p> <p>4 Heteroskedasticity 82<br /><i>William E. Griffiths</i></p> <p>5 Seemingly Unrelated Regression 101<br /><i>Denzil G. Fiebig</i></p> <p>6 Simultaneous Equation Model Estimators: Statistical Properties and Practical Implications 122<br /><i>Roberto S. Mariano</i></p> <p>7 Identification in Parametric Models 144<br /><i>Paul Bekker and Tom Wansbeek</i></p> <p>8 Measurement Error and Latent Variables 162<br /><i>Tom Wansbeek and Erik Meijer</i></p> <p>9 Diagnostic Testing 180<br /><i>Jeffrey M. Wooldridge</i></p> <p>10 Basic Elements of Asymptotic Theory 201<br /><i>Benedikt M. Pötscher and Ingmar R. Prucha</i></p> <p>11 Generalized Method of Moments 230<br /><i>Alastair R. Hall</i></p> <p>12 Collinearity 256<br /><i>R. Carter Hill and Lee C. Adkins</i></p> <p>13 Nonnested Hypothesis Testing: An Overview 279<br /><i>M. Hashem Pesaran and Melvyn Weeks</i></p> <p>14 Spatial Econometrics 310<br /><i>Luc Anselin</i></p> <p>15 Essentials of Count Data Regression 331<br /><i>A. Colin Cameron and Pravin K. Trivedi</i></p> <p>16 Panel Data Models 349<br /><i>Cheng Hsiao</i></p> <p>17 Qualitative Response Models 366<br /><i>G.S. Maddala and A. Flores-Lagunes</i></p> <p>18 Self-Selection 383<br /><i>Lung-fei Lee</i></p> <p>19 Random Coefficient Models 410<br /><i>P.A.V.B. Swamy and George S. Tavlas</i></p> <p>20 Nonparametric Kernel Methods of Estimation and Hypothesis Testing 429<br /><i>Aman Ullah</i></p> <p>21 Durations 444<br /><i>Christian Gouriéroux and Joann Jasiak</i></p> <p>22 Simulation Based Inference for Dynamic Multinomial Choice Models 466<br /><i>John Geweke, Daniel Houser, and Michael Keane</i></p> <p>23 Monte Carlo Test Methods in Econometrics 494<br /><i>Jean-Marie Dufour and Lynda Khalaf</i></p> <p>24 Bayesian Analysis of Stochastic Frontier Models 520<br /><i>Gary Koop and Mark F.J. Steel</i></p> <p>25 Parametric and Nonparametric Tests of Limited Domain and Ordered Hypotheses in Economics 538<br /><i>Esfandiar Maasoumi</i></p> <p>26 Spurious Regressions in Econometrics 557<br /><i>Clive W.J. Granger</i></p> <p>27 Forecasting Economic Time Series 562<br /><i>James H. Stock</i></p> <p>28 Time Series and Dynamic Models 585<br /><i>Aris Spanos</i></p> <p>29 Unit Roots 610<br /><i>Herman J. Bierens</i></p> <p>30 Cointegration 634<br /><i>Juan J. Dolado, Jesús Gonzalo, and Francesc Marmol</i></p> <p>31 Seasonal Nonstationarity and Near-Nonstationarity 655<br /><i>Eric Ghysels, Denise R. Osborn, and Paulo M.M. Rodrigues</i></p> <p>32 Vector Autoregressions 678<br /><i>Helmut Lütkepohl</i></p> <p>Index 700</p>

‘In such a rapidly expanding subject as econometrics, it becomes increasingly difficult to do full justice to every field. This book embodies the brilliant notion of having distinguished authorities in each field contribute the chapters. As a supplement to a textbook, or a source of reference in its own right, it represents a superb resource for students and research workers.’ <i>James Davidson, Cardiff University</i>

<b>Badi H. Baltagi</b> is George Summey, Jr. Professor of Liberal Arts and Professor of Economics at Texas A & M University. He is a fellow and associate editor of the Journal of Econometrics, associate editor of Econometric Reviews, co-editor of Empirical Economics, and a recipient of the Multa Scripsit Award for Econometric Theory. Baltagi has published more than seventy articles in internationally recognized journals, and is the author of three books: <i>Panel Data Analysis</i> (1992), <i>Econometric Analysis of Panel Data</i> (1995), and <i>Econometrics</i> (second edition, 1999).

<p><i>A Companion to Theoretical Econometrics</i> provides a comprehensive reference to the basics of econometrics. It focuses on the foundations of the field and at the same time integrates popular topics often encountered by practitioners. The chapters are written by international experts and provide up-to-date research in areas not usually covered by standard econometric texts.</p> <p>This book is an exceptional reference for readers who require quick access to the foundation theories in this field. Chapters are organized to provide clear information and to point to further readings on the subject. Important topics covered include:</p> <ul> <li>serial correlation</li> <li>heteroskedasticity</li> <li>nonparametric and semiparametric models</li> <li>count and panel data regression models</li> <li>spatial correlation</li> </ul>

‘In such a rapidly expanding subject as econometrics, it becomes increasingly difficult to do full justice to every field. This book embodies the brilliant notion of having distinguished authorities in each field contribute the chapters. As a supplement to a textbook, or a source of reference in its own right, it represents a superb resource for students and research workers.’ <i>James Davidson, Cardiff University</i>

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