Handbook of Statistics 11: Econometrics

Preface......Page 1
Contributors......Page 5
1. Estimation from Endogenously Stratified Samples......Page 7
2. Semiparametric and Nonparametric Estimation of Quantal Response Models......Page 50
3. The Selection Problem in Econometrics and Statistics......Page 78
4. General Nonparametric Regression Estimation and Testing in Econometrics......Page 90
5. Simultaneous Microeconometric Models with Censored or Qualitative Dependent Variables......Page 122
6. Multivariate Tobit Models in Econometrics......Page 149
7. Estimation of Limited Dependent Variable Models under Rational Expectations......Page 178
8. Nonlinear Time Series and Macroeconometrics......Page 198
9. Estimation, Inference and Forecasting of Time Series Subject to Changes in Regime......Page 233
10. Structural Time Series Models......Page 263
11. Bayesian Testing and Testing Bayesians......Page 305
12. Pseudo-Likelihood Methods......Page 337
13. Rao's Score Test: Recent Asymptotic Results......Page 365
14. On the Strong Consistency of M-Estimates in Linear Models under a General Discrepancy Function......Page 382
15. Some Aspects of Generalized Method of Moments Estimation......Page 393
16. Efficient Estimation of Models with Conditional Moment Restrictions......Page 418
17. Generalized Method of Moments: Econometric Applications......Page 454
18. Testing for Heteroskedasticity......Page 488
19. Simulation Estimation Methods for Limited Dependent Variable Models......Page 518
20. Simulation Estimation for Panel Data Models with Limited Dependent Variables......Page 543
21. A Perspective on Application of Bootstrap Methods in Econometrics......Page 570
22. Stochastic Simulations for Inference in Nonlinear Errors-in-Variables Models......Page 608
23. Bootstrap Methods: Applications in Econometrics......Page 625
24. Identifying Outliers and Influential Observations in Econometric Models......Page 658
25. Statistical Aspects of Calibration in Macroeconomics......Page 697
26. Panel Data Models with Rational Expectations......Page 714
27. Continuous Time Financial Models: Statistical Applications of Stochastic Processes......Page 731
Subject Index......Page 757
Handbook of Statistics: Contents of Previous Volumes......Page 764