A Companion to Theoretical Econometrics

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.

List of Figures viii List of Tables ix List of Contributors x Preface xii List of Abbreviations xiv Introduction 1 1 Artificial Regressions 16 Russell Davidson and James G. MacKinnon 2 General Hypothesis Testing 38 Anil K. Bera and Gamini Premaratne 3 Serial Correlation 62 Maxwell L. King 4 Heteroskedasticity 82 William E. Griffiths 5 Seemingly Unrelated Regression 101 Denzil G. Fiebig 6 Simultaneous Equation Model Estimators: Statistical Properties and Practical Implications 122 Roberto S. Mariano 7 Identification in Parametric Models 144 Paul Bekker and Tom Wansbeek 8 Measurement Error and Latent Variables 162 Tom Wansbeek and Erik Meijer 9 Diagnostic Testing 180 Jeffrey M. Wooldridge 10 Basic Elements of Asymptotic Theory 201 Benedikt M. Pötscher and Ingmar R. Prucha 11 Generalized Method of Moments 230 Alastair R. Hall 12 Collinearity 256 R. Carter Hill and Lee C. Adkins 13 Nonnested Hypothesis Testing: An Overview 279 M. Hashem Pesaran and Melvyn Weeks 14 Spatial Econometrics 310 Luc Anselin 15 Essentials of Count Data Regression 331 A. Colin Cameron and Pravin K. Trivedi 16 Panel Data Models 349 Cheng Hsiao 17 Qualitative Response Models 366 G.S. Maddala and A. Flores-Lagunes 18 Self-Selection 383 Lung-fei Lee 19 Random Coefficient Models 410 P.A.V.B. Swamy and George S. Tavlas 20 Nonparametric Kernel Methods of Estimation and Hypothesis Testing 429 Aman Ullah 21 Durations 444 Christian Gouriéroux and Joann Jasiak 22 Simulation Based Inference for Dynamic Multinomial Choice Models 466 John Geweke, Daniel Houser, and Michael Keane 23 Monte Carlo Test Methods in Econometrics 494 Jean-Marie Dufour and Lynda Khalaf 24 Bayesian Analysis of Stochastic Frontier Models 520 Gary Koop and Mark F.J. Steel 25 Parametric and Nonparametric Tests of Limited Domain and Ordered Hypotheses in Economics 538 Esfandiar Maasoumi 26 Spurious Regressions in Econometrics 557 Clive W.J. Granger 27 Forecasting Economic Time Series 562 James H. Stock 28 Time Series and Dynamic Models 585 Aris Spanos 29 Unit Roots 610 Herman J. Bierens 30 Cointegration 634 Juan J. Dolado, Jesús Gonzalo, and Francesc Marmol 31 Seasonal Nonstationarity and Near-Nonstationarity 655 Eric Ghysels, Denise R. Osborn, and Paulo M.M. Rodrigues 32 Vector Autoregressions 678 Helmut Lütkepohl Index 700