Academic Research on Econometrics

• Introduction to the Theory and Practice ofEconometrics., Judge, G. G., Hill, R. C., Griffiths, W., Lutkepohl, H., & Lee, T. C. (1982).
• Estimation and inference ineconometrics, Davidson, R., & MacKinnon, J. G. (1993). OUP Catalogue. This paper explores the techniques of estimation. The paper makes use of artificial regressions for estimation, reference, and specification testing of nonlinear models, including diagnostic tests for parameter constancy, serial correlation, heteroscedasticity, and other types of mis-specification. The author goes on to show how estimation can be taken from a mere algebraic process to a standard software package.
• Spurious regressions ineconometrics, Granger, C. W., & Newbold, P. (1974).Journal of econometrics,2(2), 111-120.
• Specification tests ineconometrics, Hausman, J. A. (1978). Econometrica: Journal of the econometric society, 1251-1271. Using the result that under the null hypothesis of no misspecification an asymptotically efficient estimator must have zero asymptotic covariance with its difference from a consistent but asymptotically inefficient estimator, specification tests are devised for a number of model specifications in econometrics. Local power is calculated for small departures from the null hypothesis. An instrumental variable test as well as tests for a time series cross section model and the simultaneous equation model are presented. An empirical model provides evidence that unobserved individual factors are present which are not orthogonal to the included right-hand-side variable in a common econometric specification of an individual wage equation.
• Introduction toeconometrics, Maddala, G. S., & Lahiri, K. (2009). Wiley.
• The biggest myth in spatialeconometrics, LeSage, J. P., & Pace, R. K. (2014). Econometrics,2(4), 217-249. This paper investigates the belief that estimates and inferences from spatial regression models are sensitive to particular specifications used for the spatial weight structure in these models. The author wishes to test the validity of this belief using theoretical basis. Results show that this belief is a common myth, which may have arisen from past applied work that incorrectly interpreted the model coefficients as if they were partial derivatives, or from use of misspecified models.
• The Lagrange multiplier test and its applications to model specification ineconometrics, Breusch, T. S., & Pagan, A. R. (1980). The Review of Economic Studies,47(1), 239-253.
• The economics andeconometricsof active labor market programs, Heckman, J. J., LaLonde, R. J., & Smith, J. A. (1999). InHandbook of labor economics(Vol. 3, pp. 1865-2097). Elsevier. This paper examines the belief that public sector-sponsored employment and training programs and other active labor market policies as tools for integrating the unemployed and economically disadvantaged into the workforce. It goes on to show the impacts of active labor market policies, such as job training, job search assistance, and job subsidies, and the methods used to evaluate their effectiveness. The aim of this paper is to show the impact of these policies on different firms, and the reason for the different results.
• Long memory processes and fractional integration ineconometrics, Baillie, R. T. (1996). Journal of econometrics,73(1), 5-59. This paper provides a survey and review of the major econometric work on long memory processes, fractional integration, and their applications in economics and finance. Some of the definitions of long memory are reviewed, together with previous work in other disciplines.
• Appliedeconometrics, Hayo, B. (1971).
• Recent developments in theeconometricsof program evaluation, Imbens, G. W., & Wooldridge, J. M. (2009). Journal of economic literature,47(1), 5-86. This paper emphasizes on the different questions surrounding the casual effects of programs or policies. This theoretical literature has built on, and combined features of, earlier work in both the statistics and econometrics literatures. In this review, the authors discuss some of the recent developments. This research focuses primarily on practical issues for empirical researchers, as well as provide a historical overview of the area and give references to more technical research.
• Understanding spurious regressions ineconometrics, Phillips, P. C. (1986). Journal of econometrics,33(3), 311-340. This paper provides an analytical study of linear regressions involving the levels of economic time series. An asymptotic theory is developed for regressions that relate quite general integrated random processes. Another theory is developed for the regression coefficients and for conventional significance tests. The limiting behavior of regression diagnostics such as the DurbinWatson statistic, the coefficient of determination and the BoxPierce statistic is also analyzed. The theoretical results that we present explain many of the earlier simulation findings ofGranger and Newbold, 1974,Granger and Newbold, 1977.