Garry D. A. Phillips is Professor of Econometrics and Distinguished Senior Research Fellow in the Economics section of Cardiff Business School, Cardiff University. Elias Tzavalis is Professor of Financial Econometrics in the Department of Economics, Athens University of Economics and Business.

Review of the hardback: 'This volume is extremely wide ranging and has papers in the areas of interest of all econometricians. I highly commend the book. Econometricians will find it of interest both for their own areas of specialization and also for the opportunity to read well done papers in other areas.' Jerry Hausman, MacDonald Professor of Economics, MIT

• List of figures; List of tables; Contributors; Preface; Michael Magdalinos 1949–2002; Acknowledgements; Introduction Garry D. A. Phillips and Elias Tzavalis; 1. Conditional heteroscedasticity models with Pearson disturbances Michael A. Magdalinos and George P. Mitsopoulos; 2. The Instrumental Variables method revisited: on the nature and choice of optimal instruments Aris Spanos; 3. Nagar-type moment approximations in simultaneous equation models: some further results Garry D. A. Phillips; 4. Local GEL methods for conditional moment restrictions Richard J. Smith; 5. Limit theory for moderate deviations from a unit root under weak dependence Peter C. B. Phillips and Tassos Magdalinos; 6. The structure of multiparameter tests Christopher L. Cavanagh and Thomas J. Rothenberg; 7. Cornish-Fisher size corrected t and F statistics for the linear regression model with heteroscedastic errors Spyridon D. Symeonides, Hellen Kandiloriou and Elias Tzavalis; 8. Non-parametric specification testing of non-nested econometric models Qi Li and Thanasis Stengos; 9. Testing for autocorrelation in systems of equations Phoebus J. Dhrymes; 10. Alternative approaches to estimation and inference in large multifactor panels: small sample results with an application to modelling of Asset Returns G. Kapetanios and M. Hashem Pesaran; 11. Judging contending estimators by simulation: tournaments in dynamic panel data models Jan F. Kiviet; 12. A statistical proof of the transformation theorem Karim M. Abadir and Jan R. Magnus; 13. On the joint density of the sum and sum of squares of nonnegative random variables Grant Hillier; 14. Conditional Response Analysis Grayham E. Mizon and Anna Staszewska; Index.

Garry D. A. Phillips is Professor of Econometrics and Distinguished Senior Research Fellow in the Economics section of Cardiff Business School, Cardiff University. Elias Tzavalis is Professor of Financial Econometrics in the Department of Economics, Athens University of Economics and Business.

Review of the hardback: 'This volume is extremely wide ranging and has papers in the areas of interest of all econometricians. I highly commend the book. Econometricians will find it of interest both for their own areas of specialization and also for the opportunity to read well done papers in other areas.' Jerry Hausman, MacDonald Professor of Economics, MIT

• List of figures; List of tables; Contributors; Preface; Michael Magdalinos 1949–2002; Acknowledgements; Introduction Garry D. A. Phillips and Elias Tzavalis; 1. Conditional heteroscedasticity models with Pearson disturbances Michael A. Magdalinos and George P. Mitsopoulos; 2. The Instrumental Variables method revisited: on the nature and choice of optimal instruments Aris Spanos; 3. Nagar-type moment approximations in simultaneous equation models: some further results Garry D. A. Phillips; 4. Local GEL methods for conditional moment restrictions Richard J. Smith; 5. Limit theory for moderate deviations from a unit root under weak dependence Peter C. B. Phillips and Tassos Magdalinos; 6. The structure of multiparameter tests Christopher L. Cavanagh and Thomas J. Rothenberg; 7. Cornish-Fisher size corrected t and F statistics for the linear regression model with heteroscedastic errors Spyridon D. Symeonides, Hellen Kandiloriou and Elias Tzavalis; 8. Non-parametric specification testing of non-nested econometric models Qi Li and Thanasis Stengos; 9. Testing for autocorrelation in systems of equations Phoebus J. Dhrymes; 10. Alternative approaches to estimation and inference in large multifactor panels: small sample results with an application to modelling of Asset Returns G. Kapetanios and M. Hashem Pesaran; 11. Judging contending estimators by simulation: tournaments in dynamic panel data models Jan F. Kiviet; 12. A statistical proof of the transformation theorem Karim M. Abadir and Jan R. Magnus; 13. On the joint density of the sum and sum of squares of nonnegative random variables Grant Hillier; 14. Conditional Response Analysis Grayham E. Mizon and Anna Staszewska; Index.

Garry D. A. Phillips is Professor of Econometrics and Distinguished Senior Research Fellow in the Economics section of Cardiff Business School, Cardiff University. Elias Tzavalis is Professor of Financial Econometrics in the Department of Economics, Athens University of Economics and Business.

Review of the hardback: 'This volume is extremely wide ranging and has papers in the areas of interest of all econometricians. I highly commend the book. Econometricians will find it of interest both for their own areas of specialization and also for the opportunity to read well done papers in other areas.' Jerry Hausman, MacDonald Professor of Economics, MIT

• List of figures; List of tables; Contributors; Preface; Michael Magdalinos 1949–2002; Acknowledgements; Introduction Garry D. A. Phillips and Elias Tzavalis; 1. Conditional heteroscedasticity models with Pearson disturbances Michael A. Magdalinos and George P. Mitsopoulos; 2. The Instrumental Variables method revisited: on the nature and choice of optimal instruments Aris Spanos; 3. Nagar-type moment approximations in simultaneous equation models: some further results Garry D. A. Phillips; 4. Local GEL methods for conditional moment restrictions Richard J. Smith; 5. Limit theory for moderate deviations from a unit root under weak dependence Peter C. B. Phillips and Tassos Magdalinos; 6. The structure of multiparameter tests Christopher L. Cavanagh and Thomas J. Rothenberg; 7. Cornish-Fisher size corrected t and F statistics for the linear regression model with heteroscedastic errors Spyridon D. Symeonides, Hellen Kandiloriou and Elias Tzavalis; 8. Non-parametric specification testing of non-nested econometric models Qi Li and Thanasis Stengos; 9. Testing for autocorrelation in systems of equations Phoebus J. Dhrymes; 10. Alternative approaches to estimation and inference in large multifactor panels: small sample results with an application to modelling of Asset Returns G. Kapetanios and M. Hashem Pesaran; 11. Judging contending estimators by simulation: tournaments in dynamic panel data models Jan F. Kiviet; 12. A statistical proof of the transformation theorem Karim M. Abadir and Jan R. Magnus; 13. On the joint density of the sum and sum of squares of nonnegative random variables Grant Hillier; 14. Conditional Response Analysis Grayham E. Mizon and Anna Staszewska; Index.