Handbook of Econometrics (Volume 2) (Handbooks in Economics, Volume 2)

The Handbook is a definitive reference source and teaching aid for econometricians. It examines models, estimation theory, data analysis and field applications in econometrics. Comprehensive surveys, written by experts, discuss recent developments at a level suitable for professional use by economists, econometricians, statisticians, and in advanced graduate econometrics courses. For more information on the Handbooks in Economics series, please see our home page on http://www.elsevier.nl/locate/hes Content: Introduction to the series Page v Kenneth J. Arrow, Michael D. Intriligator Contents of the handbook Pages vii-x Preface to the handbook Pages xi-xvii Zvi Griliches, Michael D. Intriligator Contents of volume II Pages xix-xxvi Chapter 13 Wald, likelihood ratio, and Lagrange multiplier tests in econometrics Review Article Pages 775-826 Robert F. Engle Chapter 14 Multiple hypothesis testing Review Article Pages 827-879 N.E. Savin Chapter 15 Approximating the distributions of econometric estimators and test statistics Review Article Pages 881-935 Thomas J. Rothenberg Chapter 16 Monte carlo experimentation in econometrics Review Article Pages 937-976 David F. Hendry Chapter 17 Time series and spectral methods in econometrics Review Article Pages 979-1022 C.W.J. Granger, Mark W. Watson Chapter 18 Dynamic specification Review Article Pages 1023-1100 David F. Hendry, Adrian R. Pagan, J.Denis Sargan Chapter 19 Inference and causality in economic time series models Review Article Pages 1101-1144 John Geweke Chapter 20 Continuous time stochastic models and issues of aggregation over time Review Article Pages 1145-1212 A.R. Bergstrom Chapter 21 Random and changing coefficient models Review Article Pages 1213-1245 Gregory C. Chow Chapter 22 Panel data Review Article Pages 1247-1318 Gary Chamberlain Chapter 23 Latent variable models in econometrics Review Article Pages 1321-1393 Dennis J. Aigner, Cheng Hsiao, Arie Kapteyn, Tom Wansbeek Chapter 24 Econometric analysis of qualitative response models Review Article Pages 1395-1457 Daniel L. McFadden Index Pages 1459-1461 If the confrontation of economic theories with observable phenomena is the objective of empirical research, then hypothesis testing is the primary tool of analysis. Manual concebido como obra de referencia y complemento a la enseñanza de la econometría y la estadística matemática