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Handbook of Econometrics: In 5 vol.

Опубликовано на портале: 15-10-2003
Amsterdam: North-Holland, 1983, cерия "Handbooks in Economics"
Тематический раздел:
Perfect Econometrics, the offspring of Statistics and Economics, is a science which investigates methods for analyzing economic data and drawing economic inferences from those data. This science is taught in almost every graduate program as it is fundamental to the way economists measure economies and evaluate policies. Fortunately for those now studying econometrics as well as those teaching and using it, the field is very rapidly changing with many exciting new developments. Unfortunately, many of these are not yet integrated into textbooks and therefore must be culled from conflicting Journal articles and discussion papers.

The Handbook of Econometrics was designed to give up-to-date surveys of the leading areas of econometrics in a form which could be used for teaching advanced graduate students and as research tools for faculty outside of their specialization.

Volumes I, II and III were published starting in 1983 and effectively surveyed the state of the art including much work of the sixties as well as the seventies.

Volume IV is designed to focus on new developments which have attracted much attention over the last ten years. The field has changed dramatically and it is our hope that this volume will enable many to absorb these new ideas from leaders in the field who have taken this opportunity to synthesize their view of the best current research. The chapters are designed to be accessible to a graduate student studying econometrics and in many cases also to students without such a specialization.

In putting this volume together the Editors sought to identify both areas in need of coverage and leading researchers in these areas with exceptional expository skills.

"...We endeavored to bring into this volume authors who had not participated in the first three volumes although there is some overlap through coauthorship. The focus of this volume has been on theoretical and methodological developments; a separate volume dealing with empirical developments is being prepared separately.

The areas we viewed as having developed rapidly since the origins of the previous three volumes are Large Sample Theory, Non-parametric and Semi-parametric Estimation, Model Selection and Testing, Computer Intensive Estimation and Inference Methods, Time Series Analysis of Unit Roots and Structural Breaks, and Time Varying Variances. These topics are all represented by one or more chapters which deal with particular aspects or points of view. Clearly there are additional topics which are omitted from this list and we hope these omissions will be corrected in future volumes.

We are very pleased with the papers collected together and would like to thank the authors for putting their carefully considered work into this volume and for meeting the sometimes stringent deadlines we set. In several cases, the chapters represent the teaching experience of many years in the particular area and are offered here instead of in a graduate level textbook. We hope the readers will be pleased..."

    Volume 1
    Edited by: Zvi Griliches and Michael D. Intriligator

    Preface - Zvi Griliches and Michael D. Intriligator

    Part 1 - Mathematical and Statistical Methods in Econometrics

    Chapters

  1. Linear Algebra and Matrix Methods in Econometrics - Henri Theil
  2. Statistical Theory and Econometrics - Arnold Zellner

    Part 2 - Econometric Models

    Chapters

  3. Economic and Econometric Models - Michael D. Intriligator
  4. Identification - Cheng Hsiao
  5. Model Choice and Specification Analysis - Edward E. Leamer

    Part 3 - Estimation and Computation

    Chapters

  6. Non-linear Regression Models - Takeshi Amemiya
  7. Specification and Estimation of Simultaneous Equation Models - Jerry A. Hausman
  8. Exact Small Sample Theory in the Simultaneous Equations Model - P. C. B. Phillips
  9. Bayesian Analysis of Simultaneous Equation Systems - Jacques H. Dreze and Jean-Francois Richard
  10. Biased Estimation - G. G. Judge and M. E. Bock
  11. Estimation for Dirty Data and Flawed Models - William S. Krasker, Edwin Kuh and Roy E. Welsch
  12. Computational Problems and Methods - Richard E. Quandt

    Volume 2

    Part 4 - Testing

    Chapters

  13. Wald, Likelihood Ratio, and Lagrange Multiplier Tests in Econometrics - Robert F. Engle
  14. Multiple Hypothesis Testing - N. E. Savin
  15. Approximating the Distributions of Econometric Estimators and Test Statistics - Thomas J. Rothenberg
  16. Monte Carlo Experimentation in Econometrics - David F. Hendry

    Part 5 - Time Series Topics

    Chapters

  17. Time Series and Spectral Methods in Econometrics - C. W. J. Granger and Mark W. Watson
  18. Dynamic Specification - David F. Hendry, Adrian R. Pagan and J. Denis Sargan
  19. Inference and Causality in Economic Time Series Models - John Geweke
  20. Continuous Time Stochastic Models and Issues of Aggregation Over Time - A. R. Bergstrom
  21. Random and Changing Coefficient Models - Gregory C. Chow
  22. Panel Data - Gary Chamberlain

    Part 6 - Special Topics in Econometrics: 1

    Chapters

  23. Latent Variable Models in Econometrics - Dennis J. Aigner, Cheng Hsiao, Arie Kapteyn and Tom Wansbeek
  24. Econometric Analysis of Qualitative Response Models - Daniel L. McFadden

    Volume 3

    Part 7 - Special Topics in Econometrics: 2

    Chapters

  25. Economic Data Issues - Zvi Griliches
  26. Functional Forms in Econometric Model Building - Lawrence J. Lau
  27. Limited Dependent Variables - Phoebus J. Dhrymes
  28. Disequilibrium, Self-selection, and Switching Models - G. S. Maddala
  29. Econometric Analysis of Longitudinal Data - J. J. Heckman and B. Singer

    Part 8 - Selected Applications and Uses of Econometrics

    Chapters

  30. Demand Analysis - Angus Deaton
  31. Econometric Methods for Modeling Producer Behavior - Dale W. Jorgenson
  32. Labor Econometrics - James J. Heckman and Thomas E. Macurdy
  33. Evaluating the Predictive Accuracy of Models - Ray C. Fair
  34. . New Econometric Approaches to Stabilization Policy in Stochastic Models of Macroeconomic Fluctuations - John B. Taylor
  35. Economic Policy Formation: Theory and Implementation (Applied Econometrics in the Public Sector) - Lawrence R. Klein

    Volume 4
    Edited by: Robert F. Engle and Daniel L. McFadden

    Preface - Robert F. Engle and Daniel L. McFadden

    Part 9 - Econometric Theory

    Chapters

  36. Large Sample Estimation and Hypothesis Testing - Whitney K. Newey and Daniel McFadden
  37. Empirical Process Methods in Econometrics - Donald W. K. Andrews
  38. Applied Nonparametric Methods - Wolfgang Hardle and Oliver Linton
  39. . Methodology and Theory for the Bootstrap - Peter Hall
  40. Classical Estimation Methods for LDV Models Using Simulation - Vassilis A. Hajivassiliou and Paul A. Ruud
  41. . Estimation of Semiparametric Models - James L. Powell
  42. Restrictions of Economic Theory in Nonparametric Methods - Rosa L. Matzkin
  43. Analog Estimation of Econometric Models - Charles F. Manski
  44. Testing Non-Nested Hypotheses - C. Gourieroux and A. Monfort

    Part 10 - Theory and Methods for Dependent Processes

    Chapters

  45. Estimation and Inference for Dependent Processes - Jeffrey M. Wooldridge
  46. Unit Roots, Structural Breaks and Trends - James H. Stock
  47. Vector Autoregressions and Cointegration - Mark W. Watson
  48. Aspects of Modelling Nonlinear Time Series - Timo Terasvirta, Dag Tjostheim and Clive W. J. Granger
  49. ARCH Models - Tim Bollerslev, Robert F. Engle and Daniel B. Nelson
  50. State-Space Models - James D. Hamilton
  51. Structural Estimation of Markov Decision Processes - John Rust

    Volume 5
    Edited by: James J. Heckman and Edward Leamer

    Preface - James J. Heckman and Edward Leamer

    Part 11 - New Developments in Theoretical Econometrics

    Chapters

  52. The Bootstrap - Joel L. Horowitz
  53. Panel Data Models: Some Recent Developments - Manuel Arellano and Bo Honore
  54. Interactions-based Models - William A. Brock and Steven N. Durlauf
  55. Duration Models: Specification, Identification and Multiple Durations - Gerard J. van den Berg

    Part 12 - Computational Methods in Econometrics

    Chapters

  56. Computationally Intensive Methods for Integration in Econometrics - John Geweke and Michael Keane
  57. Markov Chain Monte Carlo Methods: Computation and Inference - Siddhartha Chib

    Part 13 - Applied Econometrics

    Chapters

  58. Calibration - Christina Dawkins, T.N. Srinivasan, and John Whalley
  59. Measurement Error in Survey Data - John Bound, Charles Brown, and Nancy Mathiowetz

Ключевые слова

См. также:
Jerry Hausman
Econometrica. 1978.  Vol. 46. No. 6. P. 1251-1272. 
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Randolph B. Cohen, Christopher Polk, Tuomo Vuolteenaho
Journal of Finance. 2003.  Vol. 58. No. 1. P. 609-641. 
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Richard Ashley
[Компьютерная программа]
M. Hashem Pesaran, Yongcheol Shin
Economics Letters. 1998.  Vol. 58. No. 1. P. 17-29. 
[Статья]
Christian Gourieroux, Joann Jasiak
[Книга]
John Y. Campbell, Pierre Perron
NBER Working Paper Series. 1991.  Vol. 6.
[Статья]