A Companion to Theoretical Econometrics [Paperback]

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.

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• 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.
  
• Organized to provide clear, accessible information and point to further readings.

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