Traditional econometric analysis concentrate on classical methods which are far from suitable handling actual economic problems. Modern econometric analysis tries to develop new approaches from an economic perspective. As a consequence, there is less of a unified econometric theory than in former times. Specific branches which require specific methods have been established. Modern time series and duration analysis, panel data analysis, microeconometrics, evaluation methods, and specific data problems are examples of these new approaches. In this book leading German econometricians in different fields present survey articles of the most important new methods in econometrics. The book gives an overview of the field and it shows progress made in recent years and remaining problems.
1 Developments and New Dimensions in Econometrics 1
Olaf Hübler, Joachim Frohn
2 Large Scale Simultaneous Structural Models 7
Pu Chen, Joachim Frohn
3 Dynamic Factor Models 25
Jörg Breitung, Sandra Eickmeier
4 Unit Root Testing 41
Jürgen Wolters, Uwe Hassler
5 Autoregressive Distributed Lag Models and Cointegration 57
Uwe Hassler, Jürgen Wolters
6 Cointegrated Structural VAR Analysis 73
Helmut Lütkepohl
7 Econometric Analysis of High Frequency Data 87
Helmut Herwartz
8 Using Quantile Regression for Duration Analysis 103
Bernd Fitzenberger, Ralf A. Wilke
9 Multilevel and Nonlinear Panel Data Models 119
Olaf Hübler
10 Nonparametric Models and Their Estimation 137
Göran Kauermann
11 Microeconometric Models and Anonymized Micro Data 153
Gerd Ronning
12 Ordered Response Models 167
Stefan Boes, Rainer Winkelmann
13 Measurement Error Models and Methods 183
Hans Schneeweiß, Thomas Augustin
14 Microeconometric Estimation of Treatment Effects 199
Marco Caliendo, Reinhard Hujer
15 Survey Item Nonresponse and its Treatment 215
Susanne Rässler, Regina T. Riphahn
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