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Palgrave Handbook of Econometrics
 
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Palgrave Handbook of Econometrics
Volume 1: Econometric Theory
 
 
Palgrave Macmillan
 
 
 
 
 
21 Feb 2006
|
£160.00
|Hardback Print on Demand
  
9781403941558
||
 
 
09 Aug 2007
|
£41.99
|Paperback Print on Demand
  
9781403918024
||


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DescriptionReviewsContentsAuthors

Palgrave Handbooks of Econometrics comprises 'landmark' essays by the world's leading scholars and provides authoritative and definitive guidance in key areas of econometrics. With definitive contributions on the subject, the Handbook is an essential source of reference for professional econometricians, economists, researchers and students.
Volume 1 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.


Description

Palgrave Handbooks of Econometrics comprises 'landmark' essays by the world's leading scholars and provides authoritative and definitive guidance in key areas of econometrics. With definitive contributions on the subject, the Handbook is an essential source of reference for professional econometricians, economists, researchers and students.
Volume 1 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.


Reviews

'I forecast that this is a text that will be much referenced and cited in the future and certainly welcome its appearance.' - Sir Clive Granger, University of California, USA


Contents

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 Empirical Results; D.Fok, P.H.Franses & R.Paap


Authors

TERENCE C. MILLS is Professor of Applied Statistics and Econometrics at Loughborough University, UK.

KERRY PATTERSON is Professor of Econometrics at University of Reading, UK.