Handbook of Econometrics Volume 4

Hardbound. This is the fourth volume of the Handbook of Econometrics. The Handbook is a definitive reference source and teaching aid for econometricians. It examines models, estimation theory, data analysis and field applications in econometrics. Comprehensive surveys, written by experts, discuss recent developments at a level suitable for professional use by economists, econometricians, statisticians, and in advanced graduate econometrics courses.

List of contents

Econometric Theory. Large sample estimation and hypothesis testing (W.K. Newey, D. McFadden). Empirical process methods in econometrics (D.W.K. Andrews). Applied nonparametric methods (W. Härdle, O. Linton). Methodology and theory for the bootstrap (P. Hall). Classical estimation methods for LDV models using simulation (V.A. Hajivassiliou, P.A. Ruud). Estimation of semiparametric models (J.L. Powell). Restrictions of economic theory in nonparametric methods (R.L. Matzkin). Analog estimation of econometric models (C.F. Manski). Testing non-nested hypotheses (C. Goureirorux, A. Monfort). Theory and Methods for Dependent Processes. Estimation and inference for dependent processes (J.M. Wooldridge). Unit roots, structural breaks and trends (J.H. Stock). Vector autoregressions and cointegration (M.W. Watson). Aspects of modelling nonlinear time series (T. Teräsverta, D. Tjøstheim, C.W.J. Granger). ARCH models (T. Bollerslev, R.F. Engle, D.B. Nelson). State-space models (J.D. Hamilton). Structural estimation of Markov decision processes (J. Rust).

Summary

A reference source and teaching aid for econometricians which examines models, estimation theory, data analysis and field applications in econometrics. Surveys discuss recent developments at a level suitable for professional use or in graduate courses.

Product details

• Authors: Robert F. Mcfadden Engle
• Assisted by: Robert Engle (Editor), Robert F. Engle (Editor), Engle Robert (Editor), Dan McFadden (Editor), Daniel L. McFadden (Editor), Daniel L. (University of California) McFadden (Editor)
• Publisher: ELSEVIER SCIENCE BV
• Languages: English
• Product format: Hardback
• Released: 13.12.1994
• EAN: 9780444887665
• ISBN: 978-0-444-88766-5
• No. of pages: 1078
• Dimensions: 175 mm x 250 mm x 50 mm
• Series: Handbook of Econometrics; Handbooks in Economics; Handbook of Econometrics
• Subjects: Education and learning > Teaching preparation > Vocational needs; Social sciences, law, business > Sociology > Sociological theories; BUSINESS & ECONOMICS / Econometrics, BUSINESS & ECONOMICS / Reference, Reference works, Econometrics, Econometrics and economic statistics