Handbook of Econometrics, Volume 4 (Handbooks in Economics) (Handbooks in Economics, Volume 4)

This is the fourth volume of the Handbook of Econometrics . 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 Content: Introduction to the series Page v Kenneth J. Arrow, Michael D. Intriligator Contents of the handbook Pages vii-xii Preface to the handbook Pages xiii-xiv Robert F. Engle, Daniel L. McFadden Contents of volume IV Pages xv-xxvi Chapter 36 Large sample estimation and hypothesis testing Review Article Pages 2111-2245 Whitney K. Newey, Daniel McFadden Chapter 37 Empirical process methods in econometrics Review Article Pages 2247-2294 Donald W.K. Andrews Chapter 38 Applied nonparametric methods Review Article Pages 2295-2339 Wolfgang Härdle, Oliver Linton Chapter 39 Methodology and theory for the bootstrap Review Article Pages 2341-2381 Peter Hall Chapter 40 Classical estimation methods for LDV models using simulation Review Article Pages 2383-2441 Vassilis A. Hajivassiliou, Paul A. Ruud Chapter 41 Estimation of semiparametric models Review Article Pages 2443-2521 James L. Powell Chapter 42 Restrictions of economic theory in nonparametric methods Review Article Pages 2523-2558 Rosa L. Matzkin Chapter 43 Analog estimation of econometric models Review Article Pages 2559-2582 Charles F. Manski Chapter 44 Testing non-nested hypotheses Review Article Pages 2583-2637 C. Gourieroux, A. Monfort Chapter 45 Estimation and inference for dependent processes Review Article Pages 2639-2738 Jeffrey M. Wooldridge Chapter 46 Unit roots, structural breaks and trends Review Article Pages 2739-2841 James H. Stock Chapter 47 Vector autoregressions and cointegration Review Article Pages 2843-2915 Mark W. Watson Chapter 48 Aspects of modelling nonlinear time series Review Article Pages 2917-2957 Timo Teräsvirta, Dag Tjøstheim, Clive W.J. Granger Chapter 49 Arch models Review Article Pages 2959-3038 Tim Bollerslev, Robert F. Engle, Daniel B. Nelson Chapter 50 State-space models Review Article Pages 3039-3080 James D. Hamilton Chapter 51 Structural estimation of markov decision processes Review Article Pages 3081-3143 John Rust Index Pages 3147-3155 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 Manual concebido como obra de referencia y complemento a la enseñanza de la econometría y la estadística matemática Large sample distribution theory is the cornerstone of statistical inference for econometric models.