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Volume 1

Edited by: Zvi Griliches and Michael D. Intriligator

Preface - Zvi Griliches and Michael D. Intriligator

Part 1 - Mathematical and Statistical Methods in Econometrics

Chapters

1. Linear Algebra and Matrix Methods in Econometrics - Henri Theil

2. Statistical Theory and Econometrics - Arnold Zellner

Part 2 - Econometric Models

Chapters

3. Economic and Econometric Models - Michael D. Intriligator

4. Identification - Cheng Hsiao

5. Model Choice and Specification Analysis - Edward E. Leamer

Part 3 - Estimation and Computation

Chapters

6. Non-linear Regression Models - Takeshi Amemiya

7. Specification and Estimation of Simultaneous Equation Models - Jerry A. Hausman

8. Exact Small Sample Theory in the Simultaneous Equations Model - P. C. B. Phillips

9. Bayesian Analysis of Simultaneous Equation Systems - Jacques H. Drèze and Jean-François Richard

10. Biased Estimation - G. G. Judge and M. E. Bock

11. Estimation for Dirty Data and Flawed Models - William S. Krasker, Edwin Kuh and Roy E. Welsch

12. Computational Problems and Methods - Richard E. Quandt

Volume 2

Part 4 - Testing

Chapters

13. Wald, Likelihood Ratio, and Lagrange Multiplier Tests in Econometrics - Robert F. Engle

14. Multiple Hypothesis Testing - N. E. Savin

15. Approximating the Distributions of Econometric Estimators and Test Statistics - Thomas J. Rothenberg

16. Monte Carlo Experimentation in Econometrics - David F. Hendry

Part 5 - Time Series Topics

Chapters

17. Time Series and Spectral Methods in Econometrics - C. W. J. Granger and Mark W. Watson

18. Dynamic Specification - David F. Hendry, Adrian R. Pagan and J. Denis Sargan

19. Inference and Causality in Economic Time Series Models - John Geweke

20. Continuous Time Stochastic Models and Issues of Aggregation Over Time - A. R. Bergstrom

21. Random and Changing Coefficient Models - Gregory C. Chow

22. Panel Data - Gary Chamberlain

Part 6 - Special Topics in Econometrics: 1

Chapters

23. Latent Variable Models in Econometrics - Dennis J. Aigner, Cheng Hsiao, Arie Kapteyn and Tom Wansbeek

24. Econometric Analysis of Qualitative Response Models - Daniel L. McFadden

Volume 3

Part 7 - Special Topics in Econometrics: 2

Chapters

25. Economic Data Issues - Zvi Griliches

26. Functional Forms in Econometric Model Building - Lawrence J. Lau

27. Limited Dependent Variables - Phoebus J. Dhrymes

28. Disequilibrium, Self-selection, and Switching Models - G. S. Maddala

29. Econometric Analysis of Longitudinal Data - J. J. Heckman and B. Singer

Part 8 - Selected Applications and Uses of Econometrics

Chapters

30. Demand Analysis - Angus Deaton

31. Econometric Methods for Modeling Producer Behavior - Dale W. Jorgenson

32. Labor Econometrics - James J. Heckman and Thomas E. Macurdy

33. Evaluating the Predictive Accuracy of Models - Ray C. Fair

34. New Econometric Approaches to Stabilization Policy in Stochastic Models of Macroeconomic Fluctuations - John B.

Taylor

35. Economic Policy Formation: Theory and Implementation (Applied Econometrics in the Public Sector) - Lawrence R.

Klein

Volume 4

Edited by: Robert F. Engle and Daniel L. McFadden

Preface - Robert F. Engle and Daniel L. McFadden

Part 9 - Econometric Theory

Chapters

36. Large Sample Estimation and Hypothesis Testing - Whitney K. Newey and Daniel McFadden

37. Empirical Process Methods in Econometrics - Donald W. K. Andrews

38. Applied Nonparametric Methods - Wolfgang Härdle and Oliver Linton

39. Methodology and Theory for the Bootstrap - Peter Hall

40. Classical Estimation Methods for LDV Models Using Simulation - Vassilis A. Hajivassiliou and Paul A. Ruud

41. Estimation of Semiparametric Models - James L. Powell

42. Restrictions of Economic Theory in Nonparametric Methods - Rosa L. Matzkin

43. Analog Estimation of Econometric Models - Charles F. Manski

44. Testing Non-Nested Hypotheses - C. Gourieroux and A. Monfort

Part 10 - Theory and Methods for Dependent Processes

Chapters

45. Estimation and Inference for Dependent Processes - Jeffrey M. Wooldridge

46. Unit Roots, Structural Breaks and Trends - James H. Stock

47. Vector Autoregressions and Cointegration - Mark W. Watson

48. Aspects of Modelling Nonlinear Time Series - Timo Teräsvirta, Dag Tjøstheim and Clive W. J. Granger

49. ARCH Models - Tim Bollerslev, Robert F. Engle and Daniel B. Nelson

50. State-Space Models - James D. Hamilton

51. Structural Estimation of Markov Decision Processes - John Rust

Volume 5

Edited by: James J. Heckman and Edward Leamer

Preface - James J. Heckman and Edward Leamer

Part 11 - New Developments in Theoretical Econometrics

Chapters

52. The Bootstrap - Joel L. Horowitz

53. Panel Data Models: Some Recent Developments - Manuel Arellano and Bo Honoré

54. Interactions-based Models - William A. Brock and Steven N. Durlauf

55. Duration Models: Specification, Identification and Multiple Durations - Gerard J. van den Berg

Part 12 - Computational Methods in Econometrics

Chapters

56. Computationally Intensive Methods for Integration in Econometrics - John Geweke and Michael Keane

57. Markov Chain Monte Carlo Methods: Computation and Inference - Siddhartha Chib

Part 13 - Applied Econometrics

Chapters

58. Calibration - Christina Dawkins, T.N. Srinivasan, and John Whalley

59. Measurement Error in Survey Data - John Bound, Charles Brown, and Nancy Mathiowetz