Handbook of Econometrics.

Abstract

This handbook aims to serve as a source reference and teaching supplement for the field of econometrics the branch of economics concerned with the empirical estimation of economic relationships. It concentrates on statistical problems and economic interpretation issues associated with the modeling and estimation of economic behavioral relationships from already assembled and often badly collected data. The organization of the handbook follows in relatively systematic fashion the way an econometric study would proceed starting from basic mathematical and statistical methods and econometric models proceeding to estimation and computation through testing and ultimately to applications and uses. Part 1 summarizes some basic tools used repeatedly in econometrics including linear algebra matrix methods and statistical theory. Part 2 deals with econometric models their relationship to economic models their identification and the question of model choice and specification analysis. Part 3 takes up more advanced topics in estimation and computation theory such as non-linear regression methods biased estimation and computational algorithms in econometrics. This part also includes a series of chapters on simultaneous equations models their specification and estimation distribution theory for such models and their Bayesian analysis. Part 4 considers testing of econometric estimators including Wald likelihood ratio and LaGrange multiplier tests; multiple testing hypothesis; distribution theory for econometric estimators; and Monte Carlo experimentation in econometrics. Part 5 treats various topics in time series analysis. Parts 6 and 7 present discussions of various special topics in econometrics including latent variable limited dependent variable and discrete choice models; functional forms in econometric model building; economic data issues including longitudinal data issues; and disequilibrium self selection and switching models. Finally part 8 covers selected applications and uses of econometrics.