Handbook of Empirical Economics and Finance explores the latest developments in the analysis and modeling of economic and financial data. Well-recognized econometric experts discuss the rapidly growing research in economics and finance and offer insight on the future direction of these fields. Focusing on micro models, the first group of chapters describes the statistical issues involved in the analysis of econometric models with cross-sectional data often arising in microeconomics. The book then illustrates time series models that are extensively used in empirical macroeconomics and finance. The last set of chapters explores the types of panel data and spatial models that are becoming increasingly significant in analyzing complex economic behavior and policy evaluations. This handbook brings together both background material and new methodological and applied results that are extremely important to the current and future frontiers in empirical economics and finance. It emphasizes inferential issues that transpire in the analysis of cross-sectional, time series, and panel data-based empirical models in economics, finance, and related disciplines.
Robust Inference with Clustered Data, A. Colin Cameron and Douglas L. Miller Efficient Inference with Poor Instruments: A General Framework, Bertille Antoine and Eric Renault An Information Theoretic Estimator for the Mixed Discrete Choice Model, Amos Golan and William H. Greene Recent Developments in Cross-Section and Panel Count Models, Pravin K. Trivedi and Murat K. Munkin An Introduction to Textual Econometrics, Stephen Fagan and Ramazan Gencay Large Deviations Theory and Econometric Information Recovery, Marian Grendar and George Judge Nonparametric Kernel Methods for Qualitative and Quantitative Data, Jeffrey S. Racine The Unconventional Dynamics of Economic and Financial Aggregates, Karim M. Abadir and Gabriel Talmain Structural Macroeconometric Modeling in a Policy Environment, Martin FukaAi and Adrian Pagan Forecasting with Interval and Histogram Data: Some Financial Applications, Javier Arroyo, Gloria Gonzalez-Rivera, and Carlos Mate Predictability of Asset Returns and the Efficient Market Hypothesis, M. Hashem Pesaran A Factor Analysis of Bond Risk Premia, Sydney C. Ludvigson and Serena Ng Dynamic Panel Data Models, Cheng Hsiao A Unified Estimation Approach for Spatial Dynamic Panel Data Models: Stability, Spatial Co-Integration, and Explosive Roots, Lung-fei Lee and Jihai Yu Spatial Panels, Badi H. Baltagi Nonparametric and Semiparametric Panel Econometric Models: Estimation and Testing, Liangjun Su and Aman Ullah Index
