Handbook of Econometrics
- 1st Edition, Volume 7A - November 25, 2020
- Imprint: North Holland
- Editors: Steven Durlauf, Lars Peter Hansen, James J. Heckman, Rosa Liliana Matzkin
- Language: English
- Hardback ISBN:9 7 8 - 0 - 4 4 4 - 6 3 6 4 9 - 2
- eBook ISBN:9 7 8 - 0 - 4 4 4 - 6 3 6 5 4 - 6
Handbook of Econometrics, Volume 7A, examines recent advances in foundational issues and "hot" topics within econometrics, such as inference for moment inequalities and estimatio… Read more
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Request a sales quoteHandbook of Econometrics, Volume 7A, examines recent advances in foundational issues and "hot" topics within econometrics, such as inference for moment inequalities and estimation of high dimensional models. With its world-class editors and contributors, it succeeds in unifying leading studies of economic models, mathematical statistics and economic data. Our flourishing ability to address empirical problems in economics by using economic theory and statistical methods has driven the field of econometrics to unimaginable places. By designing methods of inference from data based on models of human choice behavior and social interactions, econometricians have created new subfields now sufficiently mature to require sophisticated literature summaries.
- Presents a broader and more comprehensive view of this expanding field than any other handbook
- Emphasizes the connection between econometrics and economics
- Highlights current topics for which no good summaries exist
Upper-division undergraduates, graduate students, and researchers worldwide working in econometrics.
- Cover image
- Title page
- Table of Contents
- Copyright
- Contributors
- Introduction by the founding editors to the series
- Preface
- Chapter 1: Generalized instrumental variable models, methods, and applications
- Abstract
- 1. Introduction
- 2. Structural IV models
- 3. GIV structures and models
- 4. Observational equivalence
- 5. Observable implications of selectionability
- 6. Restrictions on unobservable heterogeneity
- 7. Application I: Interval censored endogenous variable
- 8. Application II: IV models for binary outcomes
- 9. Future directions and concluding remarks
- References
- Chapter 2: Network data
- Abstract
- 1. Introduction and summary
- 2. Examples, questions and notation
- 3. Basic probability tools: random graphs, graphons, graph limits and sampling
- 4. Dyadic regression
- 5. Policy analysis
- 6. Incorporating unobserved heterogeneity
- 7. Asymptotic distribution theory for network statistics
- 8. Strategic models of network formation
- 9. The bright and happy future of network econometrics
- Appendix A.
- References
- Chapter 3: Estimation of large dimensional conditional factor models in finance
- Abstract
- 1. Introduction
- 2. Conditional factor models for small cross-sections of assets
- 3. Large dimensional factor models
- 4. Inference in models with observable factors
- 5. Inference in models with unobservable factors
- 6. Empirical findings
- 7. Concluding remarks
- References
- Chapter 4: Asymptotic analysis of statistical decision rules in econometrics
- Abstract
- 1. Introduction
- 2. General setup and evaluation of decision rules
- 3. Point decisions
- 4. Treatment assignment rules
- 5. Other topics
- 6. Conclusion
- References
- Chapter 5: Microeconometrics with partial identification
- Abstract
- 1. Introduction
- 2. Partial identification of probability distributions
- 3. Partial identification of structural models
- 4. Estimation and inference
- 5. Misspecification in partially identified models
- 6. Computational challenges
- 7. Conclusions
- Appendix A. Basic definitions and facts from random set theory
- References
- Chapter 6: Mismeasured and unobserved variables
- Abstract
- 1. Introduction
- 2. Models and variables
- 3. Concepts and techniques
- 4. Conclusion
- References
- Subject index
- Edition: 1
- Volume: 7A
- Published: November 25, 2020
- Imprint: North Holland
- No. of pages: 592
- Language: English
- Hardback ISBN: 9780444636492
- eBook ISBN: 9780444636546
SD
Steven Durlauf
Stephen Durlauf is Kenneth J. Arrow Professor of Economics, Laurents R. Christensen Professor of Economics, and Vilas Professor at the University of Wisconsin, Madison. He is a Fellow in the Econometric Society and in the American Academy of Arts and Sciences.
Affiliations and expertise
University of Wisconsin at Madison, WI, USALH
Lars Peter Hansen
Lars Peter Hansen is David Rockefeller Distinguished Service Professor at the University of Chicago, and is an internationally known leader in economic dynamics. Hansen guides the scholarly direction of the Becker Friedman Institute and chairs the Institute Research Council. He was one of the forces behind the 2008 creation of the Milton Friedman Institute, the predecessor of the Becker Friedman Institute, and served as its founding director. He was one of three in 2013 to be awarded The Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel along with Eugene F. Fama and Robert J. Shiller "for their empirical analysis of asset prices."
Hansen’s work explores formal implications of dynamic economic models in which decision makers face uncertain environments. The main theme of his research has been to devise and apply econometric methods that are consistent with the probabilistic framework of the economic models under investigation. His work has implications for consumption, savings investment, and asset pricing. Hansen's early research in econometrics was aimed at developing time series statistical methods to investigate one part of an economic model without having to fully specify and estimate all of the model ingredients. The applications he explored with several coauthors included systems that are rich enough to support models of asset valuation and to identify and clarify empirical puzzles, where real-world financial and economic data were at odds with prevailing academic models. He continues to explore, analyze, and interpret implications of dynamic economic models in environments with uncertainty from a time-series perspective. His recent research explores ways to quantify intertemporal risk-return tradeoffs and ways to model economic behavior when decision makers are uncertain about how to forecast future economic events.
Hansen won the 2010 BBVA Foundation Frontiers of Knowledge Award in the Economics, Finance and Management “for making fundamental contributions to our understanding of how economic actors cope with risky and changing environments.” He also received the CME Group-MSRI Prize in Innovative Quantitative Applications in 2008 and the Erwin Plein Nemmers Prize in Economics from Northwestern University in 2006. Hansen is a fellow of the National Academy of Sciences and the American Finance Association. He also is a member of the American Academy of Arts and Sciences and past president of the Econometric Society.
Hansen is the editor of two Elsevier publications – Handbook of Financial Econometrics, Volume 1, Tools; and Handbook of Financial Econometrics, Volume 2, Applications.
Affiliations and expertise
University of Chicago, Chicago, IL, USAJH
James J. Heckman
James Heckman is Henry Schultz Professor of Economics at the University of Chicago. A Nobel laureate, he is also a winner of the John Bates Clark Medal and a two-time winner of the Dennis J. Aigner Award for Applied Econometrics frrom the "Journal of Econometrics."
Affiliations and expertise
University of Chicago, Chicago, IL, USARM
Rosa Liliana Matzkin
Rosa Matzkin is Charles E. Davidson Professor of Economics at the University of California, Los Angeles. A Fellow of the Econometric Society, she is Editor of Editor of "Quantitative Economics," the Journal of the Econometric Society.
Affiliations and expertise
University of California, Los Angeles, CA, USARead Handbook of Econometrics on ScienceDirect