A companion to theoretical econometrics /
Theoretical econometrics
edited by Badi H. Baltagi.
- Malden, MA : Blackwell Pub., 2003.
- 1 online resource (xvii, 709 pages) : illustrations.
- Blackwell companions to contemporary economics .
- Blackwell companions to contemporary economics. .
Originally published: Malden, Mass. : Blackwell, 2001.
Includes bibliographical references and index.
Artificial regressions / General hypothesis testing / Serial correlation / Heteroskedasticity / Seemingly unrelated regression / Simultaneous equation model estimators: statistical properties and practical implications / Identification in parametric models / Measurement error and latent variables / Diagnostic testing / Basic elements of asymptotic theory / Generalized method of moments / Collinearity / Nonnested hypothesis testing: an overview / Spatial econometrics / Essentials of count data regression / Panel data models / Qualitative response models / Self-selection / Random coefficient models / Nonparametric kernel methods of estimation and hypothesis testing / Durations / Simulation based inference for dynamic multinomial choice models / Monte Carlo test methods in econometrics / Bayesian analysis of stochastic frontier models / Parametric and nonparametric tests of limited domain and ordered hypotheses in economics / Spurious regressions in econometrics / Forecasting economic time series / Time series and dynamic models / Unit roots / Cointegration / Seasonal nonstationarity and near-nonstationarity / Vector autoregressions / Russell Davidson and James G. MacKinnon -- Anil K. Bera and Gamini Premaratne -- Maxwell L. King -- William E. Griffiths -- Denzil G. Fiebig -- Roberto S. Mariano -- Paul Bekker and Tom Wansbeek -- Tom Wansbeek and Erik Meijer -- Jeffrey M. Wooldridge -- Benedikt M. Pötscher and Ingmar R. Prucha -- Alastair R. Hall -- R. Carter Hill and Lee C. Adkins -- M. Hashem Pesaran and Melvyn Weeks -- Luc Anselin -- A. Colin Cameron and Pravin K. Trivedi -- Cheng Hsiao -- G.S. Maddala and A. Flores-Lagunes -- Lung-fei Lee -- P.A.V.B. Swamy and George S. Tavlas -- Aman Ullah -- Christian Gouriéroux and Joann Jasiak -- John Geweke, Daniel Hauser and Michael Keane -- Jean-Marie Dufour and Lydia Khalaf -- Gary Koop and Mark F.J. Steel -- Esfandiar Maasoumi -- Clive W.J. Granger -- James H. Stock -- Aris Spanos -- Herman J. Bierens -- Juan J. Dolado, Jesús Gonzalo and Francesc Marmol -- Eric Ghysels, Denise R. Osborn and Paulo M.M. Rodrigues -- Helmut Lütkepohl.
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 t.