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Palgrave Handbook of Econometrics


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Table of Contents

PART I: AN OVERVIEW Econometrics in Retrospect and Prospect; A.Spanos PART II: METHODOLOGY AND HISTORY OF ECONOMETRICS The Methodology of Econometrics; K.Hoover Early Explorations in Econometrics; R.W.Farebrother The First Fifty Years of Modern Econometrics; C.Gilbert & D.Qin PART III: ASYMPTOTIC TECHNIQUES AND THEOREMS Asymptotic Methods and Functional Central Limit Theorems; J.Davidson PART IV: TIME SERIES AND REGRESSION METHODS Stationary Linear Univariate Time Series Models; A.R.Tremayne Improving Size and Power in Unit Root Testing; N.Haldrup & M.Jansson Dealing with Structural Breaks; P.Perron Semi-parametric Estimation of Long Memory Models; C.Velasco Univariate Nonlinear Time Series Models; T.Terasvirta PART: V: MULTIVARIATE MODELS Estimating Functions and Equations: An Essay on Historical Developments with Applications to Econometrics; A.Bera, Y.Bilias & P.Simlai Vector Autoregressive Models; H.Lutkepohl Nonstationarity Panels; I.Choi Cointegration: An Overview; S.Johansen Threshold Effects in Multivariate Error Correction Models; J.Gonzalo & J-Y.Pitarakis Common Cycles; F.Vahid PART VI: CROSS-SECTION AND PANAL DATA MODELS Panel Data Models; B.H.Baltagi Nonstandard Dependent Variables Models: Some Common Structures of Simulated Specification Tests; L-F.Ling Censored Data and Truncated Distributions; W.Greene PART VII: STOCHASTIC VOLATILITY Modeling Volatility; R.T.Baillie Multivariate Stochastic Volatility Model; C.Brooks PART VIII: COMPUTATION AND ECONOMETRICS The Role of Simulation in Econometrics; J.Doornik Bootstrap Methods in Econometrics; R.Davidson & J.G.MacKinnon PART IX: BAYESIAN ANALYSIS OF ECONOMETRIC MODELS Bayesian Econometrics; D.J.Poirier & J.L.Tobias Bayesian Approaches to Cointegration; G.Koop, R.Strachan, H.van Dijk & M.Villani PART X: SPECIAL TOPICS Spatial Econometrics; L.Anselin Signal Extraction; A.Harvey & Rossi Nonparametric Econometrics; J.Racine & A.Ullah Performance of Seasonal Adjustment Procedures: Simulation and Empirical Results; D.Fok, P.H.Franses & R.Paap

About the Author

TERENCE C. MILLS is Professor of Applied Statistics and Econometrics at Loughborough University, UK. KERRY PATTERSON is Professor of Econometrics at University of Reading, UK.


'I forecast that this is a text that will be much referenced and cited in the future and certainly welcome its appearance.' - Sir Clive Granger, University of California, USA

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