Handbook of econometrics

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Bibliographic Information

Handbook of econometrics

edited by Zvi Griliches and Michael D. Intriligator

（Handbooks in economics, 2）

North-Holland , Sole distributors for the U.S.A. and Canada, Elsevier Science, 1983-

  • : set
  • v. 1
  • v. 2
  • v. 3
  • v. 4
  • v. 5
  • v. 6A
  • v. 6B

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Note

v. 4: edited by Robert F. Engle, Daniel L. McFadden

v. 5-: edited by James J. Heckman and Edward E. Leamer

v. 2 lacks series numbering

Includes bibliographies and indexes

Description and Table of Contents

Volume

v. 6A ISBN 9780444506313

Description

As conceived by the founders of the Econometric Society, econometrics is a field that uses economic theory and statistical methods to address empirical problems in economics. It is a tool for empirical discovery and policy analysis. The chapters in this volume embody this vision and either implement it directly or provide the tools for doing so. This vision is not shared by those who view econometrics as a branch of statistics rather than as a distinct field of knowledge that designs methods of inference from data based on models of human choice behavior and social interactions. All of the essays in this volume and its companion volume 6B offer guidance to the practitioner on how to apply the methods they discuss to interpret economic data. The authors of the chapters are all leading scholars in the fields they survey and extend.

Table of Contents

Nonparametric Approaches to Auctions (Susan Athey and Philip Haile) Intertemporal Substitution and Risk Aversion (Lars Hansen , John Heaton, Nikolai Roussanov and Junghoon Lee) A Practitioner's Approach to Estimating Intertemporal Relationships Using Longitudinal Data: Lessons from Applications in Wage Dynamics (Thomas MaCurdy) Econometric Tools for Analyzing Market Outcomes (Daniel Ackerberg, Lanier Benkard, Steven Berry and Ariel Pakes) Structural Econometric Modeling: Rationales and Examples from Industrial Organization (Peter Reiss and Frank Wolak) Microeconometric Models of Investment and Employment (Stephen Bond and John Van Reenen) The Measurement of Productivity for Nations (Erwin Diewert and Alice Nakamura) Linking the Theory with the Data: That's the Core Problem of International Economics (Edward Leamer) Models of Aggregate Economic Relationships that Account for Heterogeneity (Richard Blundell and Thomas Stoker) Estimation and Specification in Labor Supply and Consumption Models (Richard Blundell, Thomas MaCurdy, and Costas Meghir)
Volume

v. 6B ISBN 9780444532008

Description

As conceived by the founders of the Econometric Society, econometrics is a field that uses economic theory and statistical methods to address empirical problems in economics. It is a tool for empirical discovery and policy analysis. The chapters in this volume embody this vision and either implement it directly or provide the tools for doing so. This vision is not shared by those who view econometrics as a branch of statistics rather than as a distinct field of knowledge that designs methods of inference from data based on models of human choice behavior and social interactions. All of the essays in this volume and its companion volume 6A offer guidance to the practitioner on how to apply the methods they discuss to interpret economic data. The authors of the chapters are all leading scholars in the fields they survey and extend. Handbook of Econometrics is now available online at ScienceDirect - full-text online from volume 1 onwards.

Table of Contents

Econometric Evaluation of Social Programs, Part I: Causal Models, Structural Models and Econometric Policy Evaluation (James J. Heckman and Edward Vytlacil) Econometric Evaluation of Social Programs, Part II: Using the Marginal Treatment Effect to Organize Alternative Economic Estimators to Evaluate Social Programs and to Forecast Their Effects in New Environments (James J. Heckman and Edward Vytlacil) Econometric Evaluation of Social Programs Part III: Distributional Treatment Effects, Dynamic Treatment Effects, Dynamic Discrete Choice, and General Equilibrium Policy Evaluation (Jaap Abbring and James J. Heckman) Nonparametric Identification (Rosa Matzkin) Implementing Nonparametric and Semiparametric Estimators (Hidehiko Ichimura and Petra Todd) The Econometrics of Data Combination (Robert Moffitt and Geert Ridder) Large Sample Sieve Estimation of Semi-Nonparametric Models (Xiaohong Chen) Linear Inverse Problems and Structural Econometrics Estimation Based on Spectral Decomposition and Regularization (Marine Carrasco, Jean-Pierre Florens, and Eric Renault)
Volume

v. 5 ISBN 9780444823403

Description

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. For more information on the Handbooks in Economics series, please see our home page on http://www.elsevier.nl/locate/hes

Table of Contents

Part 11: New Developments in Theoretical Econometrics. 52. The bootstrap (J. Horowitz). 53. Panel data models: some recent developments (M. Arellano, B. Honore). 54. Interactions-based models (W.A. Brock, S.N. Durlauf). 55. Duration models: specification, identification, and multiple durations (G.J. van den Berg). Part 12: Computational Methods in Econometrics. 56. Computational intensive methods for integration in econometrics (J. Geweke, M. Keane). 57. Markov chain Monte Carlo methods: computation and inference (S. Chib). Part 13: Applied Econometrics. 58. Calibration (C. Dawkins, T.N. Srinivasan and J. Whalley). 59. Measurement error in survey data (J. Bound, C. Brown and N. Mathiowetz).
Volume

v. 1 ISBN 9780444861856

Description

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. For more information on the Handbooks in Economics series, please see our home page on http://www.elsevier.nl/locate/hes

Table of Contents

Mathematical and Statistical Methods in Econometrics. Linear algebra and matrix methods in econometrics (H. Theil). Statistical theory and econometrics (A. Zellner). Econometric Models. Economic and econometric models (M.D. Intriligator). Identification (C. Hsiao). Model choice and specification analysis (E.E. Leamer). Estimation and Computation. Non-linear regression models (T. Amemiya). Specification and estimation of simultaneous equation models (J.A. Hausman). Exact small sample theory in the simultaneous equations model (P.C.B. Philipps). Bayesian analysis of simultaneous equation systems (J.H. Dreze, J.-F. Richard). Biased estimation (G.G. Judge, M.E. Bock). Estimation for dirty data and flawed models (W.S. Krasker, E. Kuh and R.E. Welsch). Compuational problems and methods (R.E. Quandt).
Volume

v. 2 ISBN 9780444861863

Description

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. For more information on the Handbooks in Economics series, please see our home page on http://www.elsevier.nl/locate/hes

Table of Contents

Testing. Wald, likelihood ratio and Lagrange multiplier tests in econometrics (R.F. Engle). Multiple hypothesis testing (N.E. Savin). Approximating the distributions of economic estimators and test statistics (T. Rothenberg). Monte Carlo experimental in econometrics (D.F. Hendry). Time Series Topics. Time series and spectral methods in econometrics (C.W.J. Granger, M.W. Watson). Dynamic specification (D.F. Hendry, A.R. Pagan and J. Denis Sargan). Inference and causality in economic time series models (J. Geweke). Continuous time stochastic models and issues of aggregation over time (A.R. Bergstrom). Random and changing coefficient models (G.C. Chow). Panel data (G. Chamberlain). Special Topics in Econometrics - 1. Latent variable models in econometrics (D.J. Aigner et al.). Econometric analysis of qualitative response models (D. McFadden).
Volume

v. 3 ISBN 9780444861870

Description

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.

Table of Contents

Special Topics in Econometrics. Economic data issues (Z. Griliches). Functional forms in econometric model building (L.J. Lau). Limited dependent variables (P.J. Dhrymes). Disequilibrium, self-selection and switching models (G.S. Maddala). Econometric analysis of longitudinal data (J. Heckman and B. Singer). Selected Applications and the Uses of Econometrics. Demand analysis (A. Deaton). Econometric methods for modeling producer behavior (D.W. Jorgenson). Labor econometrics (J.J. Heckman and T.E. MaCurdy). Evaluating the predictive accuracy of models (R.C. Fair). New econometric approaches to stabilization policy in stochastic models of macroeconomic fluctuations (J.B. Taylor). Economic policy formation: Theory and implementation (Applied econometrics in the public sector) (L.R. Klein).
Volume

v. 4 ISBN 9780444887665

Description

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.

Table 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. Hardle, 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. Terasverta, D. Tjostheim, 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).

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