VOLUME I
Part 1 - MATHEMATICAL AND STATISTICAL METHODS IN ECONOMETRICS
Chapter 1
Linear Algebra and Matrix Methods in Econometrics
HENRI THEIL
Chapter 2
Statistical Theory and Econometrics
ARNOLD ZELLNER
Part 2 - ECONOMETRIC MODELS
Chapter 3
Economic and Econometric Models
MICHAEL D. INTRILIGATOR
Chapter 4
Identification
CHENG HSIAO
Chapter 5
Model Choice and Specification Analysis
EDWARD E. LEAMER
Part 3 - ESTIMATION AND COMPUTATION
Chapter 6
Nonlinear Regression Models
TAKESHI AMEMIYA
Chapter 7
Specification and Estimation of Simultaneous Equation Models
JERRY A. HAUSMAN
Chapter 8
Exact Small Sample Theory in the Simultaneous Equations Model
PETER C. B. PHILLIPS
Chapter 9
Bayesian Analysis of Simultaneous Equation Systems
JACQUES H. DRUZE and JEAN-FRANCOIS RICHARD
Chapter 10
Biased Estimation
G. G. JUDGE and M. E. BOCK
Chapter 11
Estimation for Dirty Data and Flawed Models
WILLIAM S. KRASKER, EDWIN KUH, and ROY E. WELSCH
Chapter 12
Computational Problems and Methods
RICHARD E. QUANDT
VOLUME 2
Part 4 - TESTING
Chapter 13
Wald, Likelihood Ratio, and Lagrange Multiplier Tests in Econometrics
ROBERT E ENGLE
Chapter 14
Multiple Hypothesis Testing
N. E. SAVIN
Chapter 15
Approximating the Distributions of Econometric Estimators and Test Statistics
THOMAS J. ROTHENBERG
Chapter 16
Monte Carlo Experimentation in Econometrics
DAVID F. HENDRY
Part 5 - TIME SERIES TOPICS
Chapter 17
Time Series and Spectral Methods in Econometrics
C. W. J. GRANGER and MARK W. WATSON
Chapter 18
Dynamic Specification
DAVID F. HENDRY, ADRIAN R. PAGAN, and J. DENIS SARGAN
Chapter 19
Inference and Causality in Economic Time Series Models
JOHN GEWEKE
Chapter 20
Continuous Time Stochastic Models and Issues of Aggregation over Time
A. R. BERGSTROM
Chapter 21
Random and Changing Coefficient Models
GREGORY C. CHOW
Chapter 22
Panel Data
GARY CHAMBERLAIN
Part 6 - SPECIAL TOPICS IN ECONOMETRICS: 1
Chapter 23
Latent Variable Models in Econometrics
DENNIS J. AIGNER, CHENG HSIAO, ARIE KAPTEYN, and TOM WANSBEEK
Chapter 24
Econometric Analysis of Qualitative Response Models
DANIEL L. MCFADDEN
VOLUME 3
Part 7 - SPECIAL TOPICS IN ECONOMETRICS: 2
Chapter 2.5
Economic Data Issues
ZVI GRILICHES
Chapter 26
Functional Forms in Econometric Model Building
LAWRENCE J. LAU
Chapter 27
Limited Dependent Variables
PHOEBUS J. DHRYMES
Chapter 28
Disequilibrium, Self-selection, and Switching Models
G. S. MADDALA
Chapter 29
Econometric Analysis of Longitudinal Data
JAMES J. HECKMAN and BURTON SINGER
Part 8 - SELECTED APPLICATIONS AND USES OF ECONOMETRICS
Chapter 30
Demand Analysis
ANGUS DEATON
Chapter 31
Econometric Methods for Modeling Producer Behavior
DALE W. JORGENSON
Chapter 32
Labor Econometrics
JAMES J. HECKMAN and THOMAS E. MACURDY
Chapter 33
Evaluating the Predictive Accuracy of Models
RAY C. FAIR
Chapter 34
Econometric Approaches to Stabilization Policy in Stochastic Models of
Macroeconomic Fluctuations
JOHN B. TAYLOR
Chapter 35
Economic Policy Formation: Theory and Implementation
(Applied Econometrics in the Public Sector)
LAWRENCE R. KLEIN
VOLUME 4
Part 9 - ECONOMETRIC THEORY
Chapter 36
Large Sample Estimation and Hypothesis Testing
WHITNEY K. NEWEY and DANIEL MCFADDEN
Chapter 37
Empirical Process Methods in Econometrics
DONALD W. K. ANDREWS
Chapter 38
Applied Nonparametric Methods
WOLFGANG HURDLE and OLIVER LINTON
Chapter 39
Methodology and Theory for the Bootstrap
PETER HALL
Chapter 40
Classical Estimation Methods for LDV Models Using Simulation
VASSILIS A. HAJIVASSILOU and PAUL A. RUUD
Chapter 41
Estimation of Semiparametric Models
JAMES L. POWELL
Chapter 42
Restrictions of Economic Theory in Nonparametric Methods
ROSA L. MATZKIN
Chapter 43
Analog Estimation of Econometric Models
CHARLES E MANSKI
Chapter 44
Testing Non-Nested Hypotheses
C. GOURIEROUX and A. MONFORT
Part 10 - THEORY AND METHODS FOR DEPENDENT PROCESSES
Chapter 45
Estimation and Inference for Dependent Processes
JEFFREY M. WOOLDRIDGE
Chapter 46
Unit Roots, Structural Breaks and Trends
JAMES H. STOCK
Chapter 47
Vector Autoregression and Cointegration
MARK W. WATSON
Chapter 48
Aspects of Modelling Nonlinear Time Series
TIM0 TER&VIRTA, DAG TJBSTHEIM, and CLIVE W. J. GRANGER
Chapter 49
Arch Models
TIM BOLLERSLEV, ROBERT F. ENGLE, and DANIEL B. NELSON
Chapter 50
State-Space Models
JAMES D. HAMILTON
Chapter 51
Structural Estimation of Markov Decision Processes
JOHN RUST
VOLUME 5
Part 1 1 - NEW DEVELOPMENTS IN THEORETICAL ECONOMETRICS
Chapter 52
The Bootstrap
JOEL L. HOROWITZ
Chapter 53
Panel Data Models: Some Recent Developments
MANUEL ARELLANO and BO HONORE
Chapter 54
Interactions-based Models
WILLIAM A. BROCK and STEVEN N. DURLAUF
Chapter 55
Duration Models: Specification, Identification and Multiple Durations
GERARD J. VAN DEN BERG
Part 12 - COMPUTATIONAL METHODS IN ECONOMETRICS
Chapter 56
Computationally Intensive Methods for Integration in Econometrics
JOHN GEWEKE and MICHAEL KEANE
Chapter 57
Markov Chain Monte Carlo Methods: Computation and Inference
SIDDHARTHA CHIB
Part 13 - APPLIED ECONOMETRICS
Chapter 58
Calibration
CHRISTINA DAWKINS, T.N. SRINIVASAN, and JOHN WHALLEY
Chapter 59
Measurement Error in Survey Data
JOHN BOUND, CHARLES BROWN, and NANCY MATHIOWETZ | 