Palgrave Handbook of Econometrics Volume 1 Econometric Theory [Hardcover]

Volume I of the Palgrave Handbook of Econometrics covers developments in theoretical econometrics, including essays on the methodology and history of econometrics, developments in time-series and cross-section econometrics, modelling with integrated variables, Bayesian econometrics, simulation methods and a selection of special topics.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 ECONOMl³"