Advanced econometric methods. Corr. 2nd printing.

*(English)*Zbl 0668.62075
New York etc.: Springer-Verlag. xix, 624 p. DM 78.00 (1988).

This textbook on advanced econometric methods is written for students who already have some background in econometric theory, e.g. G. S. Maddala, Econometrics. (1977; Zbl 0385.62083). The material in the book is intended for a two-semester graduate course in econometrics and paced to admit a deeper treatment of areas of specific interest. Time-consuming proofs are omitted and referenced. Each of the 25 chapters includes exercises, references and a guide to further reading. The literature worked up in this book lasts in 1983. This thoroughly written book helps fruitfully in the process of understanding special topics in econometrics. The authors restrict themselves to econometric issues only. This implies that the growing link between econometrics and time-series analysis is ignored in the book.

The book is divided into five major parts: Fundamental methodology, violations of the basic assumptions, special topics, simultaneous equations models, and frontiers. The first part reviews ordinary and generalized least squares theory, point estimation and hypotheses testing in small and large samples, the problem of stochastic regressors, the use of prior information, pretest and Stein-rule estimators.

Violations of the basic assumptions, (part 2), contains the topics: feasible GLS estimation, heteroscedasticity, autocorrelation, lagged dependent variables and autocorrelation, and unobservable variables. As special topics the authors consider multicollinearity, varying parameter models, cross-section time-series models, models with qualitative or censored dependent variables, distributed lags, and uncertainty in model specification and selection.

The part on simultaneous equations models is concerned with the identification problem, limited- and full-information estimation, reduced form estimation, predictions in simultaneous equations models, and properties of dynamic simultaneous equations models. The final part, labelled “Frontiers”, discusses special topics in simultaneous equations such as disequilibrium econometric models, rational expectations, updating, vector autoregressive error processes as well as simultaneous equations Tobit and Probit models. In an appendix the reader finds a brief review of estimation and inference in nonlinear statistical models.

The book is divided into five major parts: Fundamental methodology, violations of the basic assumptions, special topics, simultaneous equations models, and frontiers. The first part reviews ordinary and generalized least squares theory, point estimation and hypotheses testing in small and large samples, the problem of stochastic regressors, the use of prior information, pretest and Stein-rule estimators.

Violations of the basic assumptions, (part 2), contains the topics: feasible GLS estimation, heteroscedasticity, autocorrelation, lagged dependent variables and autocorrelation, and unobservable variables. As special topics the authors consider multicollinearity, varying parameter models, cross-section time-series models, models with qualitative or censored dependent variables, distributed lags, and uncertainty in model specification and selection.

The part on simultaneous equations models is concerned with the identification problem, limited- and full-information estimation, reduced form estimation, predictions in simultaneous equations models, and properties of dynamic simultaneous equations models. The final part, labelled “Frontiers”, discusses special topics in simultaneous equations such as disequilibrium econometric models, rational expectations, updating, vector autoregressive error processes as well as simultaneous equations Tobit and Probit models. In an appendix the reader finds a brief review of estimation and inference in nonlinear statistical models.

Reviewer: H.S.Buscher

##### MSC:

62P20 | Applications of statistics to economics |

62-02 | Research exposition (monographs, survey articles) pertaining to statistics |