Bibliographic Information

Econometric theory

edited by Terence C. Mills and Kerry Patterson ; [foreword by Sir Clive Granger]

(Palgrave handbook of econometrics, v. 1)

Palgrave Macmillan, 2007

Available at  / 9 libraries

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Note

"First published in paperback 2007"--T.p.verso

Includes bibliographical references and indexes

Description and Table of Contents

Description

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.

Table of 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

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Details

  • NCID
    BA86287220
  • ISBN
    • 9781403918024
  • LCCN
    2005050049
  • Country Code
    uk
  • Title Language Code
    eng
  • Text Language Code
    eng
  • Place of Publication
    Basingstoke
  • Pages/Volumes
    xxv, 1097 p.
  • Size
    24 cm
  • Classification
  • Subject Headings
  • Parent Bibliography ID
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