Handbook of Statistics 11: Econometrics

Edited by

  • G.S. Maddala, Ohio State University, Columbus, OH, USA
  • C.R. Rao, Pennsylvania State University, University Park, PA, USA
  • H.D. Vinod, Fordham University, Bronx, NY, USA

This volume serves as a source, reference and teaching supplement in econometrics, the branch of economics which is concerned with statistical methods applied to the empirical study of economic relationships. The chapters comprise comprehensive and up-to-date surveys of developments in various aspects of econometrics. A wide variety of applications of statistical methodology to econometric problems are covered and written at a level intended for professional econometricians and statisticians, as well as advanced graduate students in econometrics.
View full description


Book information

  • Published: November 1993
  • Imprint: NORTH-HOLLAND
  • ISBN: 978-0-444-89577-6


An excellent econometrics reference volume which provides a compilation of papers giving comprehensive and up-to-date surveys of recent developments.
ASLIB Book Guide

... this is an indispensable volume, especially for graduate students of econometrics and applied economists who wish to be aware of the latest developments and possibilities with econometric inference.
Mathematical Reviews
Summing up, the topics presented in this Handbook are up to date and allow the reader to refresh his present knowledge of the state of econometrics in a very understandable way.
Zentralblatt für Mathematik

Table of Contents

Endogenous Stratification, Semiparametric and Non-Parametric Estimation. Estimation from Endogenously Stratified Samples (S.R. Cosslett). Semi-Parametric and Non-Parametric Estimation of Quantal Response Models (J.L. Horowitz). The Selection Problem in Econometrics and Statistics (C.F. Manski). General Nonparametric Regression Estimation and Testing in Econometrics (A. Ullah, H.D. Vinod). Limited-Dependent Variables. Simultaneous Microeconometric Models with Censored or Qualitative Dependent Variables (R. Blundell, R.J. Smith). Multivariate Tobit Models in Econometrics (L.-F. Lee). Estimation of Limited Dependent Variable Models Under Rational Expectations (G.S. Maddala). Time-Series. Nonlinear Time Series and Macroeconometrics (W.A. Brock, S.M. Potter). Estimation, Inference, and Forecasting of Time Series Subject to Changes in Regime (J.D. Hamilton). Structural Time Series Models (A. Harvey, N. Shephard). Likelihood Methods and Bayesian Inference. Bayesian Testing and Testing Bayesians (J.-P. Florens, M. Mouchart). Pseudo-Likelihood Methods (C. Gourieroux, A. Monfort). Rao's Score Test: Recent Asymptotic Results (R. Mukerjee). On the Strong Consistency of M-Estimates in Linear Models Under a General Discrepancy Function (Z.D. Bai, Z.J. Liu, C.R. Rao). Some Aspects of Generalized Method of Moments Estimation (A. Hall). Efficient Estimation of Models with Conditional Moment Restrictions (W.K. Newey). Generalized Method of Moments: Econometric Applications (M. Ogaki). Testing for Heteroskedasticity (A.R. Pagan, Y. Pak). Computer-Intensive Methods. Simulation Estimation Methods for Limited Dependent Variable Models (V.A. Hajivassiliou). Simulation Estimation for Panel Data Limited Dependent Variable Models (M.P. Keane). A Perspective on Applications of Bootstrap Methods in Econometrics (J. Jeong, G.S. Maddala). Stochastic Simulations for Inference in Nonlinear Errors-in-Variables Models (R.S. Mariano, B.W. Brown). Bootstrap Methods: Applications in Econometrics (H.D. Vinod). Other Problems. Identifying Outliers and Influential Observations in Econometric Models (S.G. Donald, G.S. Maddala). Statistical Aspects of Calibration in Macroeconomics (A.W. Gregory, G.W. Smith). Panel Data Models with Rational Expectations (K. Lahiri). Continuous Time Financial Models: Statistical Applications of Stochastic Processes (K.R. Sawyer). Index.