Handbook of Empirical Economics and Finance

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  • Edition: 1st
  • Format: Hardcover
  • Copyright: 2010-12-20
  • Publisher: Chapman & Hall/

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Handbook of Empirical Economics and Financeexplores the latest developments in the analysis and modeling of economic and financial data. Well-recognized econometric experts discuss the rapidly growing research in economics and finance and offer insight on the future direction of these fields. Focusing on micro models, the first group of chapters describes the statistical issues involved in the analysis of econometric models with cross-sectional data often arising in microeconomics. The book then illustrates time series models that are extensively used in empirical macroeconomics and finance. The last set of chapters explores the types of panel data and spatial models that are becoming increasingly significant in analyzing complex economic behavior and policy evaluations. This handbook brings together both background material and new methodological and applied results that are extremely important to the current and future frontiers in empirical economics and finance. It emphasizes inferential issues that transpire in the analysis of cross-sectional, time series, and panel data-based empirical models in economics, finance, and related disciplines.

Table of Contents

Prefacep. ix
About the Editorsp. xv
List of Contributorsp. xvii
Robust Inference with Clustered Datap. 1
Efficient Inference with Poor Instruments: A General Frameworkp. 29
An Information Theoretic Estimator for the Mixed Discrete Choice Modelp. 71
Recent Developments in Cross Section and Panel Count Modelsp. 87
An Introduction to Textual Econometricsp. 133
Large Deviations Theory and Econometric Information Recoveryp. 155
Nonparametric Kernel Methods for Qualitative and Quantitative Datap. 183
The Unconventional Dynamics of Economic and Financial Aggregatesp. 205
Structural Macroeconometric Modeling in a Policy Environmentp. 215
Forecasting with Interval and Histogram Data: Some Financial Applicationsp. 247
Predictability of Asset Returns and the Efficient Market Hypothesisp. 281
A Factor Analysis of Bond Risk Premiap. 315
Dynamic Panel Data Modelsp. 373
A Unified Estimation Approach for Spatial Dynamic Panel Data Models: Stability, Spatial Co-integration, and Explosive Rootsp. 397
Spatial Panelsp. 435
Nonparametric and Semiparametric Panel Econometric Models: Estimation and Testingp. 455
Indexp. 499
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