Handbook of econometrics. Vol. 5
This fifth volume of the ``Handbook of Econometrics is concerned with new developments in theoretical econometrics. Divided into three parts, eight different topics are presented by authors which are known to be specialists in these fields. The primary objective of the volume is to collate in one place a body of research tools useful in applied econometrics and in empirical research in economics. Another objective of the series is to update the essays on theoretical econometrics presented in the previous volumes of the series to include improvements in methods previously surveyed and methods not previously surveyed.NEWLINENEWLINENEWLINEThe first part contains four essays on developments in econometric theory. In a comprehensive survey, \textit{J. Horowitz} reviews recent developments on the bootstrap in econometrics and statistics with special emphasis on the application of the bootstrap to econometric models. The second essay, by \textit{M. Arellano} and \textit{Bo Honoré}, is an update of the essay by \textit{G. Chamberlain} on panel data in Volume 2 of this series, see Zbl 0585.62185, to reflect developments in panel data methods in the past decade and a half. After this chapter, \textit{W. Brock} and \textit{S. Durlauf} present a first rigorous econometric analysis of models of social interactions. This field has been an active area of research in economic theory, but formal econometric analysis was still outstanding up to now. \textit{G. van den Berg} updates the essay by \textit{J.J. Heckman} and \textit{B. Singer} in Volume 3 of the Handbook, see Zbl 0604.62114, to consider developments in econometric duration analysis.NEWLINENEWLINENEWLINEThe essays in the second part (Part 12 of the series) present comprehensive surveys of new computational methods in econometrics. Special interest is devoted to Bayesian methods in econometrics, which offer an attractive alternative to classical methods given that computational costs are very low nowadays.NEWLINENEWLINENEWLINEIn Part 13 two main topics are covered. The first topic deals with calibration as an econometric method and is written by \textit{C. Dawkins}, \textit{T.N. Srinivasan} and \textit{J. Whalley}. Measurement errors and its consequences in economic data are the second topic surveyed by \textit{J. Bound}, \textit{C. Brown} and \textit{N. Mathiowetz}. Focusing primarily on data from labor markets, the authors document that the model of classical measurement errors finds little support in the data. New patterns of measurement errors are found that provide suggestions on what an empirically concordant model of measurement errors would look like.
- Comparison of two treatments and inconsistency of bootstrap
- Assessing model mimicry using the parametric bootstrap.
- Testing for unit roots in short panels allowing for a structural break
- Confidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewness
- Joint hypothesis tests for multidimensional inequality indices
- Nonparametric estimates of the clean and dirty energy substitutability
- Multiple groups identification in the linear-in-means model
- The small sample performance of the Wald test in the sample selection model under the multicollinearity problem
- Inference on functionals under first order degeneracy
- Evidences from survey data and fiscal data: nonresponse and measurement errors in annual incomes
- The inextricable association of measurement errors and tax evasion as examined through a microanalysis of survey data matched with fiscal data: a case study
- Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models
- Hypothesis testing based on a vector of statistics
- On the bootstrap for Moran's \(I\) test for spatial dependence
- Joint asymptotics for semi-nonparametric regression models with partially linear structure
- A variable addition test for exogeneity in structural threshold models
- Estimation of sample selection models with two selection mechanisms
- Inference of bidders' risk attitudes in ascending auctions with endogenous entry
- Nonparametric and semiparametric regressions subject to monotonicity constraints: estimation and forecasting
- Measurement error in imputation procedures
- Estimating a semi-parametric duration model without specifying heterogeneity
- Bootstrapping cointegrating regressions
- Comparison of inferential methods in partially identified models in terms of error in coverage probability
- Semiparametric estimation of partially linear transformation models under conditional quantile restriction
- Identification of binary choice models with social interactions
- Inference in a synchronization game with social interactions
- Bootstrap validity for the score test when instruments may be weak
- Model uncertainty and energy technology policy: the example of induced technical change
- Estimating a bivariate tail: a copula based approach
- Selection of regressors in econometrics: parametric and nonparametric methods selection of regressors in econometrics
- A structural model of firm and industry evolution: evidence from Chile
- Nonparametric bootstrap tests of conditional independence in two-way contingency tables
- scientific article; zbMATH DE number 1521551 (Why is no real title available?)
- Estimation of tobit-type models with individual specific effects
- An introduction to hypergeometric functions for economists
- Bayesian inference for random coefficient dynamic panel data models
- Handbook of econometrics. Volume 7A
- Robustifying multivariate trend tests to nonstationary volatility
- Simultaneous equations with binary outcomes and social interactions
- Bootstrap tests for time varying cointegration
- A life-cycle model with ambiguous survival beliefs
- Latent local-to-unity models
- Multiple imputation regression discontinuity designs: Alternative to regression discontinuity designs to estimate the local average treatment effect at the cutoff
- Nonparametric estimation of additive models with errors-in-variables
- Financial events risk assessment based on historical data analysis
- Are private schools better than public schools? Appraisal for Ireland by methods for observational studies
- Econometric causality: the central role of thought experiments
- Heterogeneity and Unemployment Dynamics
- Partial Identification of Economic Mobility: With an Application to the United States
- Addressing the estimation of standard errors in fixed effects meta-analysis
- Bootstrapping I(1) data
- Estimating features of a distribution from binomial data
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