Handbook of Empirical Economics and Finance

by Ullah; Aman

• ISBN13: 9781420070354
• ISBN10: 1420070355
• Edition: 1st
• Format: Hardcover
• Copyright: 2010-12-20
• Publisher: Chapman & Hall/

Summary

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

Preface	p. ix
About the Editors	p. xv
List of Contributors	p. xvii
Robust Inference with Clustered Data	p. 1
Efficient Inference with Poor Instruments: A General Framework	p. 29
An Information Theoretic Estimator for the Mixed Discrete Choice Model	p. 71
Recent Developments in Cross Section and Panel Count Models	p. 87
An Introduction to Textual Econometrics	p. 133
Large Deviations Theory and Econometric Information Recovery	p. 155
Nonparametric Kernel Methods for Qualitative and Quantitative Data	p. 183
The Unconventional Dynamics of Economic and Financial Aggregates	p. 205
Structural Macroeconometric Modeling in a Policy Environment	p. 215
Forecasting with Interval and Histogram Data: Some Financial Applications	p. 247
Predictability of Asset Returns and the Efficient Market Hypothesis	p. 281
A Factor Analysis of Bond Risk Premia	p. 315
Dynamic Panel Data Models	p. 373
A Unified Estimation Approach for Spatial Dynamic Panel Data Models: Stability, Spatial Co-integration, and Explosive Roots	p. 397
Spatial Panels	p. 435
Nonparametric and Semiparametric Panel Econometric Models: Estimation and Testing	p. 455
Index	p. 499
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