A Companion to Theoretical Econometrics

by Baltagi, Badi H.

• ISBN13: 9781405106764
• ISBN10: 140510676X
• Edition: 1st
• Format: Paperback
• Copyright: 2003-10-10
• Publisher: Wiley-Blackwell

Summary

A Companion to Theoretical Econometrics provides a comprehensive reference to the basics of econometrics. This companion 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. Focuses on the foundations of econometrics. Integrates real-world topics encountered by professionals and practitioners. Draws on up-to-date research in areas not covered by standard econometrics texts. Organized to provide clear, accessible information and point to further readings.

Author Biography

Badi H. Baltagi 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: Panel Data Analysis (1992), Econometric Analysis of Panel Data (1995), and Econometrics (second edition, 1999).

Table of Contents

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