Palgrave Handbook of Econometrics

LUC ANSELIN University of Illinois, USA RICHARD T. BAILLIE Michigan State University, USA BADI H. BALTAGI Syracuse University, USA and University of Leicester, UK ANIL BERA University of Illinois, USA YANNIS BILIAS Associate Professor, Department of Economics, University of Cyprus, Cyprus CHRIS BROOKS Director, ISMA for Financial Markets, University of Reading, UK IN CHOI Hong Kong University of Science and Technology, Hong Kong JAMES DAVIDSON Professor of Econometrics, University of Exeter, UK RUSSELL DAVIDSON Professor, Department of Economics, McGill University, Canada GUILANO DE ROSSI University of Cambridge, UK JURGEN DOORNIK Nuffield College, Oxford University, UK RICHARD WILLIAM FAREBROTHER formerly University of Manchester, UK DENNIS FOK Professor, Econometric Institute, Erasmus University Rotterdam, The Netherlands PHILIP HANS FRANSES Professor, Econometric Institute, Erasmus University Rotterdam, The Netherlands CHRISTOPHER GILBERT Universite degli Studi di Trento, Italy JESUS GONZALO University of Madrid, Spain WILLIAM GREENE Leonard N. Stern School of Business, New York University, USA NIELS HALDRUP University of Aarhus, Denmark ANDREW HARVEY University of Cambridge, UK KEVIN HOOVER Professor and Chair of Economics, University of California at Davis, USA MICHAEL JANSSON University of Berkeley, USA SOREN JOHANSEN University of Copenhagen, Denmark GARY KOOP University of Leicester, UK LUNG-FEI LING Professor, Ohio State University, USA HELMUT LUTKEPOHL European University Institute, Italy JAMES G. MACKINNON Queens University, Canada RICHARD PAAP Professor, Econometric Institute, Erasmus University Rotterdam, The Netherlands PIERRE PERRON Professor, Department of Economics, Boston University, USA JEAN-YVES PITARAKIS University of Southampton, UK DALE J. POIRIER Professor, Department of Economics, University of California at Irvine, USA DUO QIN Senior Lecturer, Queen Mary University London, UK JEFF RACINE Associate Professor,Syracuse University, USA PRADOSH SIMLAI Department of Economics, University of Illinois, USA ARIS SPANOS Wilson Schmidt Professor and Department Head, Virginia Polytechnic Institute and State University, USA RODNEY STRACHAN Lecturer, Economics Department, University of Leicester, UK TIMO TERASVIRTA Professor, Department of Economic Statistics, Stockholm School of Economics, Sweden JUSTIN L. TOBIAS Assistant Professor of Economics, Iowa State University, USA A. R. TREMAYNE Professor, Faculty of Economics and Business, University of Sydney, Australia and University of York, UK AMAN ULLAH University of California at Riverside, USA FARSHID VAHID Associate Professor of Econometrics, Monash University, Australia HERMAN VAN DIJK Professor of Econometrics, Erasmus University Rotterdam, Holland CARLOS VELASCO ICREA and University of Madrid, Spain MATTIAS VILLANI Research Department, Sveriges Riksba and Lecturer, Department of Statistics, Stockholm University, Sweden

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 & G.de Rossi Nonparametric Econometrics; J.Racine & A.Ullah Performance of Seasonal Adjustment Procedures: Simulation and EmpiricalResults; D.Fok, P.H.Franses & R.Paap