* 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 16Russell Davidson and James G. MacKinnon 2 General Hypothesis Testing 38Anil K. Bera and Gamini Premaratne 3 Serial Correlation 62Maxwell L. King 4 Heteroskedasticity 82William E. Griffiths 5 Seemingly Unrelated Regression 101Denzil G. Fiebig 6 Simultaneous Equation Model Estimators: Statistical Properties and Practical Implications 122Roberto S. Mariano 7 Identification in Parametric Models 144Paul Bekker and Tom Wansbeek 8 Measurement Error and Latent Variables 162Tom Wansbeek and Erik Meijer 9 Diagnostic Testing 180Jeffrey M. Wooldridge 10 Basic Elements of Asymptotic Theory 201Benedikt M. Pötscher and Ingmar R. Prucha 11 Generalized Method of Moments 230Alastair R. Hall 12 Collinearity 256R. Carter Hill and Lee C. Adkins 13 Nonnested Hypothesis Testing: An Overview 279M. Hashem Pesaran and Melvyn Weeks 14 Spatial Econometrics 310Luc Anselin 15 Essentials of Count Data Regression 331A. Colin Cameron and Pravin K. Trivedi 16 Panel Data Models 349Cheng Hsiao 17 Qualitative Response Models 366G.S. Maddala and A. Flores-Lagunes 18 Self-Selection 383Lung-fei Lee 19 Random Coefficient Models 410P.A.V.B. Swamy and George S. Tavlas 20 Nonparametric Kernel Methods of Estimation and Hypothesis Testing 429Aman Ullah 21 Durations 444Christian Gouriéroux and Joann Jasiak 22 Simulation Based Inference for Dynamic Multinomial Choice Models 466John Geweke, Daniel Houser, and Michael Keane 23 Monte Carlo Test Methods in Econometrics 494Jean-Marie Dufour and Lynda Khalaf 24 Bayesian Analysis of Stochastic Frontier Models 520Gary Koop and Mark F.J. Steel 25 Parametric and Nonparametric Tests of Limited Domain and Ordered Hypotheses in Economics 538Esfandiar Maasoumi 26 Spurious Regressions in Econometrics 557Clive W.J. Granger 27 Forecasting Economic Time Series 562James H. Stock 28 Time Series and Dynamic Models 585Aris Spanos 29 Unit Roots 610Herman J. Bierens 30 Cointegration 634Juan J. Dolado, Jesús Gonzalo, and Francesc Marmol 31 Seasonal Nonstationarity and Near-Nonstationarity 655Eric Ghysels, Denise R. Osborn, and Paulo M.M. Rodrigues 32 Vector Autoregressions 678Helmut Lütkepohl Index 700

A Companion to Theoretical Econometrics provides a comprehensive reference to the basics of econometrics. It 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. This book is an exceptional reference for readers who require quick access to the foundation theories in this field. Chapters are organized to provide clear information and to point to further readings on the subject. Important topics covered include: serial correlationheteroskedasticitynonparametric and semiparametric modelscount and panel data regression modelsspatial correlation

‘In such a rapidly expanding subject as econometrics, it becomes increasingly difficult to do full justice to every field. This book embodies the brilliant notion of having distinguished authorities in each field contribute the chapters. As a supplement to a textbook, or a source of reference in its own right, it represents a superb resource for students and research workers.’ James Davidson, Cardiff University