A Companion to Theoretical Econometrics provides a comprehensive reference to the basics of econometrics. This companion focuses on the foundations of the field and at the same time integrates popular topics often encountered by practitioners. The chapters are written by international experts and provide up-to-date research in areas not usually covered by standard econometric texts. Focuses on the foundations of econometrics. Integrates real-world topics encountered by professionals and practitioners. Draws on up-to-date research in areas not covered by standard econometrics texts.

Table of Contents

• List of Contributors
• Preface
• List of Abbreviations
• Introduction
• 1 Artificial Regressions - Russell Davidson and James G. MacKinnon
• 2 General Hypothesis Testing - Anil K. Bera and Gamini Premaratne
• 3 Serial Correlation - Maxwell L. King
• 4 Heteroskedasticity - William E. Griffiths
• 5 Seemingly Unrelated Regression - Denzil G. Fiebig
• 6 Simultaneous Equation Model Estimators: Statistical Properties and Practical Implications - Roberto S. Mariano
• 7 Identification in Parametric Models - Paul Bekker and Tom Wansbeek
• 8 Measurement Error and Latent Variables - Tom Wansbeek and Erik Meijer
• 9 Diagnostic Testing - Jeffrey M. Wooldridge
• 10 Basic Elements of Asymptotic Theory - Benedikt M. Pötscher and Ingmar R. Prucha
• 11 Generalized Method of Moments - Alastair R. Hall
• 12 Collinearity - R. Carter Hill and Lee C. Adkins
• 13 Nonnested Hypothesis Testing: An Overview - M. Hashem Pesaran and Melvyn Weeks
• 14 Spatial Econometrics - Luc Anselin
• 15 Essentials of Count Data Regression - A. Colin Cameron and Pravin K. Trivedi
• 16 Panel Data Models - Cheng Hsiao
• 17 Qualitative Response Models - G.S. Maddala and A. Flores-Lagunes
• 18 Self-Selection - Lung-fei Lee
• 19 Random Coefficient Models - P.A.V.B. Swamy and George S. Tavlas
• 20 Nonparametric Kernel Methods of Estimation and Hypothesis Testing - Aman Ullah
• 21 Durations - Christian Gouriéroux and Joann Jasiak
• 22 Simulation Based Inference for Dynamic Multinomial Choice Models - John Geweke, Daniel Houser, and Michael Keane
• 23 Monte Carlo Test Methods in Econometrics - Jean-Marie Dufour and Lynda Khalaf
• 24 Bayesian Analysis of Stochastic Frontier Models - Gary Koop and Mark F.J. Steel
• 25 Parametric and Nonparametric Tests of Limited Domain and Ordered Hypotheses in Economics - Esfandiar Maasoumi
• 26 Spurious Regressions in Econometrics - Clive W.J. Granger
• 27 Forecasting Economic Time Series - James H. Stock
• 28 Time Series and Dynamic Models - Aris Spanos
• 29 Unit Roots - Herman J. Bierens
• 30 Cointegration - Juan J. Dolado, Jesús Gonzalo, and Francesc Marmol
• 31 Seasonal Nonstationarity and Near-Nonstationarity - Eric Ghysels, Denise R. Osborn, and Paulo M.M. Rodrigues
• 32 Vector Autoregressions - Helmut Lütkepohl