Handbook of Econometrics
Handbook of Econometrics
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DOI：
10.2307/2233046
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发表时间：
1985-09
期刊：
影响因子：
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通讯作者：
J. Heckman;Edward E. Leamer
中科院分区：
文献类型：
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作者：
J. Heckman;Edward E. Leamer
本手册旨在作为计量经济学领域的参考资料和教学补充，计量经济学的分支关注经济关系的经验估计。它专注于统计问题和经济解释问题，这些问题与从已经收集的数据中对经济行为关系进行建模和估计有关。该手册的组织以相对系统的方式遵循计量经济学研究的方式进行，从基本的数学和统计方法和计量经济学模型开始，通过测试进行估计和计算，最终应用和使用。第一部分总结了计量经济学中反复使用的一些基本工具，包括线性代数、矩阵方法和统计理论。第二部分涉及经济计量模型、它们与经济模型的关系、它们的识别以及模型选择和规格分析的问题。第三部分讨论了估计和计算理论中的一些高级问题，如非线性回归方法、有偏估计和计量经济学中的计算算法。这一部分还包括一系列章节的联立方程模型，他们的规格和估计分布理论，这样的模型和他们的贝叶斯分析。第4部分考虑了计量经济学估计量的检验，包括Wald似然比和拉格朗日乘数检验;多重检验假设;计量经济学估计量的分布理论;计量经济学中的蒙特卡罗实验。第5部分介绍了时间序列分析中的各种主题。第6部分和第7部分讨论了计量经济学中的各种专题，包括潜在变量、有限因变量和离散选择模型;计量经济学模型构建中的函数形式;经济数据问题，包括纵向数据问题;非均衡自我选择和转换模型。最后，第8部分涵盖了计量经济学的一些应用和使用。
This handbook aims to serve as a source reference and teaching supplement for the field of econometrics the branch of economics concerned with the empirical estimation of economic relationships. It concentrates on statistical problems and economic interpretation issues associated with the modeling and estimation of economic behavioral relationships from already assembled and often badly collected data. The organization of the handbook follows in relatively systematic fashion the way an econometric study would proceed starting from basic mathematical and statistical methods and econometric models proceeding to estimation and computation through testing and ultimately to applications and uses. Part 1 summarizes some basic tools used repeatedly in econometrics including linear algebra matrix methods and statistical theory. Part 2 deals with econometric models their relationship to economic models their identification and the question of model choice and specification analysis. Part 3 takes up more advanced topics in estimation and computation theory such as non-linear regression methods biased estimation and computational algorithms in econometrics. This part also includes a series of chapters on simultaneous equations models their specification and estimation distribution theory for such models and their Bayesian analysis. Part 4 considers testing of econometric estimators including Wald likelihood ratio and LaGrange multiplier tests; multiple testing hypothesis; distribution theory for econometric estimators; and Monte Carlo experimentation in econometrics. Part 5 treats various topics in time series analysis. Parts 6 and 7 present discussions of various special topics in econometrics including latent variable limited dependent variable and discrete choice models; functional forms in econometric model building; economic data issues including longitudinal data issues; and disequilibrium self selection and switching models. Finally part 8 covers selected applications and uses of econometrics.