Palgrave Handbook of Econometrics Volume 1

Econometric Theory
2006. Auflage 2006
ISBN: 978-1-4039-1802-4
Verlag: Palgrave MacMillan UK

Buch, Englisch, 1097 Seiten, Format (B × H): 161 mm x 234 mm, Gewicht: 1461 g

Volume I of the Palgrave Handbook of Econometrics covers developments in theoretical econometrics, including essays on the methodology and history of econometrics, developments in time-series and cross-section econometrics, modelling with integrated variables, Bayesian econometrics, simulation methods and a selection of special topics.

Zielgruppe

Research

Autoren/Hrsg.

Mills, Terence C

Patterson, Kerry

Inhaltsverzeichnis

PART I: AN OVERVIEW Econometrics in Retrospect and Prospect; A.Spanos PART II: METHODOLOGY AND HISTORY OF ECONOMETRICS The Methodology of Econometrics; K.Hoover Early Explorations in Econometrics; R.W.Farebrother The First Fifty Years of Modern Econometrics; C.Gilbert & D.Qin PART III: ASYMPTOTIC TECHNIQUES AND THEOREMS Asymptotic Methods and Functional Central Limit Theorems; J.Davidson PART IV: TIME SERIES AND REGRESSION METHODS Stationary Linear Univariate Time Series Models; A.R.Tremayne Improving Size and Power in Unit Root Testing; N.Haldrup & M.Jansson Dealing with Structural Breaks; P.Perron Semi-parametric Estimation of Long Memory Models; C.Velasco Univariate Nonlinear Time Series Models; T.Terasvirta PART: V: MULTIVARIATE MODELS Estimating Functions and Equations: An Essay on Historical Developments with Applications to Econometrics; A.Bera, Y.Bilias & P.Simlai Vector Autoregressive Models; H.Lutkepohl Nonstationarity Panels; I.Choi Cointegration: An Overview; S.Johansen Threshold Effects in Multivariate Error Correction Models; J.Gonzalo & J-Y.Pitarakis Common Cycles; F.Vahid PART VI: CROSS-SECTION AND PANAL DATA MODELS Panel Data Models; B.H.Baltagi Nonstandard Dependent Variables Models: Some Common Structures of Simulated Specification Tests; L-F.Ling Censored Data and Truncated Distributions; W.Greene PART VII: STOCHASTIC VOLATILITY Modeling Volatility; R.T.Baillie Multivariate Stochastic Volatility Model; C.Brooks PART VIII: COMPUTATION AND ECONOMETRICS The Role of Simulation in Econometrics; J.Doornik Bootstrap Methods in Econometrics; R.Davidson & J.G.MacKinnon PART IX: BAYESIAN ANALYSIS OF ECONOMETRIC MODELS Bayesian Econometrics; D.J.Poirier & J.L.Tobias Bayesian Approaches to Cointegration; G.Koop, R.Strachan, H.van Dijk & M.Villani PART X: SPECIAL TOPICS Spatial Econometrics; L.Anselin Signal Extraction; A.Harvey & G.de Rossi Nonparametric Econometrics; J.Racine & A.Ullah Performance of Seasonal Adjustment Procedures: Simulation and EmpiricalResults; D.Fok, P.H.Franses & R.Paap

Über Autor(innen)

LUC ANSELIN University of Illinois, USA
RICHARD T. BAILLIE Michigan State University, USA
BADI H. BALTAGI Syracuse University, USA and University of Leicester, UK
ANIL BERA University of Illinois, USA
YANNIS BILIAS Associate Professor, Department of Economics, University of Cyprus, Cyprus
CHRIS BROOKS Director, ISMA for Financial Markets, University of Reading, UK
IN CHOI Hong Kong University of Science and Technology, Hong Kong
JAMES DAVIDSON Professor of Econometrics, University of Exeter, UK
RUSSELL DAVIDSON Professor, Department of Economics, McGill University, Canada
GUILANO DE ROSSI University of Cambridge, UK
JURGEN DOORNIK Nuffield College, Oxford University, UK
RICHARD WILLIAM FAREBROTHER formerly University of Manchester, UK
DENNIS FOK Professor, Econometric Institute, Erasmus University Rotterdam, The Netherlands
PHILIP HANS FRANSES Professor, Econometric Institute, Erasmus University Rotterdam, The Netherlands
CHRISTOPHER GILBERT Universite degli Studi di Trento, Italy
JESUS GONZALO University of Madrid, Spain
WILLIAM GREENE Leonard N. Stern School of Business, New York University, USA
NIELS HALDRUP University of Aarhus, Denmark
ANDREW HARVEY University of Cambridge, UK
KEVIN HOOVER Professor and Chair of Economics, University of California at Davis, USA
MICHAEL JANSSON University of Berkeley, USA
SOREN JOHANSEN University of Copenhagen, Denmark
GARY KOOP University of Leicester, UK
LUNG-FEI LING Professor, Ohio State University, USA
HELMUT LUTKEPOHL European University Institute, Italy
JAMES G. MACKINNON Queens University, Canada
RICHARD PAAP Professor, Econometric Institute, Erasmus University Rotterdam, The Netherlands
PIERRE PERRON Professor, Department of Economics, Boston University, USA
JEAN-YVES PITARAKIS University of Southampton, UK
DALE J. POIRIER Professor, Department of Economics, University of California at Irvine, USA
DUO QIN Senior Lecturer, Queen Mary University London, UK
JEFF RACINE Associate Professor,Syracuse University, USA
PRADOSH SIMLAI Department of Economics, University of Illinois, USA
ARIS SPANOS Wilson Schmidt Professor and Department Head, Virginia Polytechnic Institute and State University, USA
RODNEY STRACHAN Lecturer, Economics Department, University of Leicester, UK
TIMO TERASVIRTA Professor, Department of Economic Statistics, Stockholm School of Economics, Sweden
JUSTIN L. TOBIAS Assistant Professor of Economics, Iowa State University, USA
A. R. TREMAYNE Professor, Faculty of Economics and Business, University of Sydney, Australia and University of York, UK
AMAN ULLAH University of California at Riverside, USA
FARSHID VAHID Associate Professor of Econometrics, Monash University, Australia
HERMAN VAN DIJK Professor of Econometrics, Erasmus University Rotterdam, Holland
CARLOS VELASCO ICREA and University of Madrid, Spain
MATTIAS VILLANI Research Department, Sveriges Riksba and Lecturer, Department of Statistics, Stockholm University, Sweden