Companion to Theoretical Econometrics

Badi H. Baltagi is George Summey, Jr. Professor of Liberal Arts and Professor of Economics at Texas A & M University. He is a fellow and associate editor of the Journal of Econometrics, associate editor of Econometric Reviews, co-editor of Empirical Economics, and a recipient of the Multa Scripsit Award for Econometric Theory. Baltagi has published more than seventy articles in internationally recognized journals, and is the author of three books: Panel Data Analysis (1992), Econometric Analysis of Panel Data (1995), and Econometrics (second edition, 1999).

‘In such a rapidly expanding subject as econometrics, it becomes increasingly difficult to do full justice to every field. This book embodies the brilliant notion of having distinguished authorities in each field contribute the chapters. As a supplement to a textbook, or a source of reference in its own right, it represents a superb resource for students and research workers.’ James Davidson, Cardiff University

• List of Figures viiiList of Tables ixList of Contributors xPreface xiiList of Abbreviations xivIntroduction 11 Artificial Regressions 16Russell Davidson and James G. MacKinnon2 General Hypothesis Testing 38Anil K. Bera and Gamini Premaratne3 Serial Correlation 62Maxwell L. King4 Heteroskedasticity 82William E. Griffiths5 Seemingly Unrelated Regression 101Denzil G. Fiebig6 Simultaneous Equation Model Estimators: Statistical Properties and Practical Implications 122Roberto S. Mariano7 Identification in Parametric Models 144Paul Bekker and Tom Wansbeek8 Measurement Error and Latent Variables 162Tom Wansbeek and Erik Meijer9 Diagnostic Testing 180Jeffrey M. Wooldridge10 Basic Elements of Asymptotic Theory 201Benedikt M. Pötscher and Ingmar R. Prucha11 Generalized Method of Moments 230Alastair R. Hall12 Collinearity 256R. Carter Hill and Lee C. Adkins13 Nonnested Hypothesis Testing: An Overview 279M. Hashem Pesaran and Melvyn Weeks14 Spatial Econometrics 310Luc Anselin15 Essentials of Count Data Regression 331A. Colin Cameron and Pravin K. Trivedi16 Panel Data Models 349Cheng Hsiao17 Qualitative Response Models 366G.S. Maddala and A. Flores-Lagunes18 Self-Selection 383Lung-fei Lee19 Random Coefficient Models 410P.A.V.B. Swamy and George S. Tavlas20 Nonparametric Kernel Methods of Estimation and Hypothesis Testing 429Aman Ullah21 Durations 444Christian Gouriéroux and Joann Jasiak22 Simulation Based Inference for Dynamic Multinomial Choice Models 466John Geweke, Daniel Houser, and Michael Keane23 Monte Carlo Test Methods in Econometrics 494Jean-Marie Dufour and Lynda Khalaf24 Bayesian Analysis of Stochastic Frontier Models 520Gary Koop and Mark F.J. Steel25 Parametric and Nonparametric Tests of Limited Domain and Ordered Hypotheses in Economics 538Esfandiar Maasoumi26 Spurious Regressions in Econometrics 557Clive W.J. Granger27 Forecasting Economic Time Series 562James H. Stock28 Time Series and Dynamic Models 585Aris Spanos29 Unit Roots 610Herman J. Bierens30 Cointegration 634Juan J. Dolado, Jesús Gonzalo, and Francesc Marmol31 Seasonal Nonstationarity and Near-Nonstationarity 655Eric Ghysels, Denise R. Osborn, and Paulo M.M. Rodrigues32 Vector Autoregressions 678Helmut LütkepohlIndex 700