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PALGRAVE HANDBOOK OF ECONOMETRICS: VOLUME 1
Econometric Theory
Edited by Kerry Patterson and Terence C. Mills
Availability: Not Currently In Stock
From Palgrave Macmillan
Pub date: Mar 2006
800 pages
Size 6 1/8 x 9 1/4
$210.00 - Hardcover (1-4039-4155-6)
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$60.00 - Paperback (1-4039-1802-3)

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Description
The Palgrave Handbooks of Econometrics comprise landmark essays by the world's leading scholars and provide authoritative guidance in key areas of econometrics. The Handbooks are an essential source of reference for professional econometricians, economists, researchers and students. Volume I covers developments in theoretical econometrics, including essays on the methodology and history of econometrics, developments in time-series and cross-section econometrics, modeling with integrated variables, Bayesian econometrics, simulation methods and a selection of special topics.

Author Bio
Kerry Patterson is Professor of Econometrics at University of Reading. Terence C. Mills is Professor of Applied Statistics and Econometrics at Loughborough University.

Table of contents
PART I: AN OVERVIEW * Econometrics: Theoretical Overview; A.Spanos * PART II: METHODOLOGY AND HISTORY OF ECONOMETRICS * Methodology of Econometrics; K.Hoover * Early Explorations in Econometrics; R.W.Farebrother * 20th Century Developments in Econometrics; C.Gilbert & D.Qin * PART III: ASYMPTOTIC TECHNIQUES AND THEOREMS * Asymptotic Methods and Functional Central Limit Theorems; J.Davidson * PART IV: UNIVARIATE METHODS * Estimation and Identification of Linear Univariate Models; A.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 * Nonlinear Models; T.Terasvirta * PART: V: MULTIVARIATE MODELS * Maximum Likelihood, Estimation Function, Method of Moments and Generalised Method of Moments Estimation; A.Bera * Specification and Mis-Specification Testing in Simultaneous Equation Models; R.Smith & G.Hillier * Vector Autoregressive Models; H.Lutkepohl * Nonstationarity Panels; I.Choi * Cointegration: An Overview; S.Johansen * Nonlinear Cointegration and Multivariate Threshold Models; J.Gonzalo & J-Y.Pitarakis * Common Trends and Cycles; F.Vahid * PART VI: CROSS-SECTION AND PANEL DATA MODELS * Panel Data Models: General Issues; B.Baltagi * Discreet Choice Models; L-F.Lee * Censored Data and Truncated Distributions; W.Greene * Simulation Methods in Panel Data Models; P.Ruud * PART VII: STOCHASTIC VOLATILITY * An Overview of Modelling Stochastic Volatility; R.Baillie * Multivariate Models of Stochastic Volatility; C.Brooks * PART VIII: COMPUTATION AND ECONOMETRICS * The Role of Simulation in Econometrics; J.Doornik * Bootstrap Methods in Econometrics; R.Davidson & J.MacKinnon * PART IX: BAYESIAN ANALYSIS OF ECONOMETRIC MODELS * Bayesian Analysis and Estimation in Econometrics; D.Poirier & J.Tobias * Bayesian Approaches to Cointegration Analysis; G.Koop, R.Strachan, H.Dijk & M.Villani * PART X: SPECIAL TOPICS * Forecasting Economic Time Series; G.Elliott * Spatial Econometrics; L.Anselin * Seasonality/Periodicity; R.Taylor * Signal Extraction; A.Harvey & G.de Rossi * Nonparametric Econometrics; A.Ullah

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