List of Figures viii
List of Tables ix
List of Contributors x
Preface xii
List of Abbreviations xiv
Introduction 1
1 Artificial Regressions 16
Russell Davidson and James G. MacKinnon
2 General Hypothesis Testing 38
Anil K. Bera and Gamini Premaratne
3 Serial Correlation 62
Maxwell L. King
4 Heteroskedasticity 82
William E. Griffiths
5 Seemingly Unrelated Regression 101
Denzil G. Fiebig
6 Simultaneous Equation Model Estimators: Statistical Properties
and Practical Implications 122
Roberto S. Mariano
7 Identification in Parametric Models 144
Paul Bekker and Tom Wansbeek
8 Measurement Error and Latent Variables 162
Tom Wansbeek and Erik Meijer
9 Diagnostic Testing 180
Jeffrey M. Wooldridge
10 Basic Elements of Asymptotic Theory 201
Benedikt M. Pötscher and Ingmar R. Prucha
11 Generalized Method of Moments 230
Alastair R. Hall
12 Collinearity 256
R. Carter Hill and Lee C. Adkins
13 Nonnested Hypothesis Testing: An Overview 279
M. Hashem Pesaran and Melvyn Weeks
14 Spatial Econometrics 310
Luc Anselin
15 Essentials of Count Data Regression 331
A. Colin Cameron and Pravin K. Trivedi
16 Panel Data Models 349
Cheng Hsiao
17 Qualitative Response Models 366
G.S. Maddala and A. Flores-Lagunes
18 Self-Selection 383
Lung-fei Lee
19 Random Coefficient Models 410
P.A.V.B. Swamy and George S. Tavlas
20 Nonparametric Kernel Methods of Estimation and Hypothesis
Testing 429
Aman Ullah
21 Durations 444
Christian Gouriéroux and Joann Jasiak
22 Simulation Based Inference for Dynamic Multinomial Choice
Models 466
John Geweke, Daniel Houser, and Michael Keane
23 Monte Carlo Test Methods in Econometrics 494
Jean-Marie Dufour and Lynda Khalaf
24 Bayesian Analysis of Stochastic Frontier Models 520
Gary Koop and Mark F.J. Steel
25 Parametric and Nonparametric Tests of Limited Domain and
Ordered Hypotheses in Economics 538
Esfandiar Maasoumi
26 Spurious Regressions in Econometrics 557
Clive W.J. Granger
27 Forecasting Economic Time Series 562
James H. Stock
28 Time Series and Dynamic Models 585
Aris Spanos
29 Unit Roots 610
Herman J. Bierens
30 Cointegration 634
Juan J. Dolado, Jesús Gonzalo, and Francesc Marmol
31 Seasonal Nonstationarity and Near-Nonstationarity 655
Eric Ghysels, Denise R. Osborn, and Paulo M.M. Rodrigues
32 Vector Autoregressions 678
Helmut Lütkepohl
Index 700
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
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