A Companion to Theoretical Econometrics

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).

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