9781403941558

Palgrave Handbook of Econometrics: Volume 1 Econometric Theory

by ;
  • ISBN13:

    9781403941558

  • ISBN10:

    1403941556

  • Format: Hardcover
  • Copyright: 2006-03-24
  • Publisher: Palgrave Macmillan
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Supplemental Materials

What is included with this book?

Summary

The Palgrave Handbooks of Econometrics comprise landmark essays by the world's leading scholars and provide authoritative guidance in key areas of econometrics. The Handbooks are an essential source of reference for professional econometricians, economists, researchers and students. Volume I covers developments in theoretical econometrics, including essays on the methodology and history of econometrics, developments in time-series and cross-section econometrics, modeling with integrated variables, Bayesian econometrics, simulation methods and a selection of special topics.

Author Biography

Kerry Patterson is Professor of Econometrics at University of Reading. Terence C. Mills is Professor of Applied Statistics and Econometrics at Loughborough University.

Table of Contents

Notes on Contributors viii
Foreword xi
Editors' Introduction xiii
Part I An Overview
Econometrics in Retrospect and Prospect
3(58)
Aris Spanos
Part II Methodology and History of Econometrics
The Methodology of Econometrics
61(27)
Kevin D. Hoover
Early Explorations in Econometrics
88(29)
Richard William Farebrother
The First Fifty Years of Modern Econometrics
117(42)
Christopher L. Gilbert
Duo Qin
Part III Asymptotic Techniques and Theorems
Asymptotic Methods and Functional Central Limit Theorems
159(56)
James Davidson
Part IV Time Series and Regression Methods
Stationary Linear Univariate Time Series Models
215(37)
Andrew Tremayne
Improving Size and Power in Unit Root Testing
252(26)
Niels Haldrup
Michael Jansson
Dealing with Structural Breaks
278(75)
Pierre Perron
Semiparametric Estimation of Long-Memory Models
353(43)
Carlos Velasco
Univariate Nonlinear Time Series Models
396(31)
Timo Terasvirta
Part V Multivariate Models
Estimating Functions and Equations: An Essay on Historical Developments with Applications to Econometrics
427(50)
Anil K. Bera
Yannis Bilins
Pradosh Simlai
Vector Autoregressive Models
477(34)
Helmut Lutkepohl
Nonstationary Panels
511(29)
In Choi
Cointegration: An Overview
540(38)
Soren Johansen
Threshold Effects in Multivariate Error Correction Models
578(32)
Jesus Gonzalo
Jean-Yves Pitarakis
Common Cycles
610(23)
Farshid Vahid
Part VI Cross-Section and Panel Data Models
Panel Data Models
633(29)
Badi H. Baltagi
Nonstandard Dependent Variables Models: Some Common Structures of Simulated Specification Tests
662(33)
Lung-fei Lee
Censored Data and Truncated Distributions
695(42)
William Greene
Part VII Stochastic Volatility
Modeling Volatility
737(28)
Richard T. Baillie
Multivariate Volatility Models
765(22)
Chris Brooks
Part VIII Computation and Econometrics
The Role of Simulation in Econometrics
787(25)
Jurgen A. Doornik
Bootstrap Methods in Econometrics
812(29)
Russell Davidson
James G. MacKinnon
Part IX Bayesian Analysis of Econometric Models
Bayesian Econometrics
841(30)
Dale J. Poiriei
Justin L. Tobias
Bayesian Approaches to Cointegration
871(30)
Gary Koop
Rodney Strachan
Herman van Dijk
Mattias Villani
Part X Special Topics
Spatial Econometrics
901(69)
Luc Anselin
Signal Extraction
970(31)
Andrew Harvey
Giuliano De Rossi
Nonparametric Econometrics
1001(34)
Jeff Racine
Aman Ullah
Performance of Seasonal Adjustment Procedures: Simulation and Empirical Results
1035(22)
Dennis Fok
Philip Hans Franses
Richard Paap
Author Index 1057(19)
Subject Index 1076

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