Applied Econometrics

In the memorable words of Ragnar Frisch, econometrics is ‘a unification of the theoretical–quantitative and the empirical–quantitative approach to economic problems’. Beginning to take shape in the 1930s and 1940s, econometrics is now recognized as a vital subdiscipline supported by a vast—and still rapidly growing—body of literature. Following the positive reception of The Rise of Econometrics (2013) (978-0-415-61678-2), Routledge now announces a new collection bringing together the best that has been published on the practical application and functional use of economic metrics and measurements. With a comprehensive introduction, newly written by the editor, which places the assembled materials in their historical and intellectual context, Applied Econometrics is an essential work of reference. This fully indexed collection will be particularly useful as an indispensable database allowing scattered and often fugitive material to be easily located. It will also be welcomed as a crucial tool permitting rapid access to less familiar—and sometimes overlooked—texts. For researchers and students, as well as economic policy-makers, it is a vital one-stop research and pedagogic resource.

VOLUME I Part 1: Methodology—Foundation 1. R. Frisch and F. Waugh, ‘Partial Time Regressions as Compared with Individual Trends’, Econometrica, 1933, 1, 387–401. 2. E. Working, ‘What Do Statistical Demand Curves Show’, Quarterly Journal of Economics, 1926, 41, 212–35. Part 2: Methodology—Modern Practice 3. D. F. Hendry, ‘Modelling UK Inflation, 1875–1991’, Journal of Applied Econometrics, 2001, 16, 255–75. 4. L. Hansen, ‘Large Sample Properties of Generalized Method of Moments Estimators’, Econometrica, 1982, 50, 1029–54. 5. C. Manski, ‘Nonparametric Bounds on Treatment Effects’, American Economic Review, 1990, 80, 319–23. 6. H. White, ‘Maximum Likelihood Estimation of Misspecified Models’, Econometrica, 1982, 53, 1–16. 7. J. Heckman, ‘Sample Selection as a Specification Error’, Econometrica, 1979, 47, 153–61. 8. Joshua D. Angrist and Jörn-Steffen Pischke, ‘The Credibility Revolution in Empirical Economics: How Better Research Design is Taking the Con Out of Econometrics’, Journal of Economic Perspectives, 2010, 24, 2, 3–30. 9. M. Keane, ‘A Structuralist Perspective on the Experimentalist School’, Journal of Economic Perspectives, 2010, 24, 47–58. Part 3: Microeconometrics 10. D. McFadden, ‘Conditional Logit Analysis of Qualitative Choice’, in P. Zarembka (ed.), Frontiers of Econometrics (Academic Press1973), pp. 105–42. 11. A. Cameron and P. Trivedi, ‘Econometric Models Based on Count Data: Comparisons and Applications of Some Estimators and Tests’, Journal of Applied Econometrics, 1986, 1, 29–54. 12. O. Ashenfelter and J. Heckman, ‘The Estimation of Income and Substitution Effects in a Model of Family Labor Supply’, Econometrica, 1974, 42, 73–85. Part 4: Macroeconometrics 13. R. Engle, ‘Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflations’, Econometrica, 1982, 50, 987–1008. 14. J. H. Stock and M. W. Watson, ‘Vector Autoregressions’, Journal of Economic Perspectives, 2001, 15, 101–16. 15. R. Litterman, ‘Forecasting with Bayesian Vector Autoregressions: Five Years of Experience’, Journal of Business and Economic Statistics, 1986, 4, 25–38. 16. R. Engle and C. Granger, ‘Co-Integration and Error Correction’ Representation, Estimation and Testing’, Econometrica, 1987, 35, 251–76. 17. S. Cecchetti and R. Rich, ‘Structural Estimates of the U.S. Sacrifice Ratio’, Journal of Business and Economic Statistics, 2001, 19, 4, 416–27. 18. J. H. Stock, M. Yogo, and J. Wright, ‘A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments’, Journal of Business and Economic Statistics, 2002, 20, 518–29. VOLUME II Part 5: Model Specification 19. C. Cobb and P. Douglas, ‘A Theory of Production’, American Economic Review, 1928, 18, 139–65. 20. K. Arrow, H. Chenery, B. Minhas, and R. Solow, ‘Capital-Labor Substitution and Economic Efficiency’, Review of Economics and Statistics, 1961, 45, 225–47. 21. L. Christensen, D. Jorgenson, and L. Lau, ‘Transcendental Logarithmic Utility Functions’, American Economic Review, 1975, 65, 367–83. 22. L. Christensen and W. Greene, ‘Economies of Scale in U.S. Electric Power Generation’, Journal of Political Economy, 1976, 84, 655–76. 23. J. Tobin, ‘Estimation of Relationships for Limited Dependent Variables’, Econometrica, 1958, 26, 24–36. 24. T. Amemiya, ‘Qualitative Response Models: A Survey’, Journal of Econometric Literature, 1981, 4, 481–536. 25. A. Harvey, ‘Estimating Regression Models with Multiplicative Heteroscedasticity’, Econometrica, 1976, 44, 461–5. 26. R. Zavoina and W. McKelvey, ‘A Statistical Model for the Analysis of Ordinal Level Dependent Variables’, Journal of Mathematical Sociology, Summer 1975, 103–20. 27. L. Lee, ‘Generalized Econometric Models with Selectivity’, Econometrica, 1983, 51, 507–12. 28. D. McFadden and K. Train, ‘Mixed Multinomial Logit Models for Discrete Response’, Journal of Applied Econometrics, 2000, 15, 447–70. 29. A. Zellner, ‘An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests of Aggregation Bias’, Journal of the American Statistical Association, 1962, 57, 500–9. 30. R. Koenker and G. Bassett, ‘Regression Quantiles’, Econometrica, 1978, 46, 107–12. 31. A. Raftery, D. Madigan, and J. Hoeting, ‘Bayesian Model Averaging for Linear Regression Models’, Journal of the American Statistical Association, 1997, 92, 179–91. 32. X. Sala-i-Martin, ‘I Just Ran Two Million Regressions’, American Economic Review, 1997, 87, 178–83. Part 6: Model Estimation 33. R. Basmann, ‘A General Classical Method of Linear Estimation of Coefficients in a Structural Equation’, Econometrica, 1957, 25, 77–83. 34. J. Terza, A. Basu, and R. Bathouz, ‘Two-Stage Residual Inclusion Estimation: Addressing Endogeneity in Health Econometric Modeling’, Journal of Health Economics, 2008, 27, 531–43. 35. D. Card and A. Krueger, ‘Minimum Wages and Employment: A Case Study of the Fast-Food Industry in New Jersey and Pennsylvania’, American Economic Review, 1994, 84, 772–93. Part 7: Inference 36. B. Efron, ‘Bootstrap Methods: Another Look at the Jackknife’, The Annals of Statistics, 1979, 7, 1–26. 37. H. White, ‘A Heteroscedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroscedasticity’, Econometrica, 1980, 48, 817–38. 38. W. Newey and K. West, ‘A Simple Positive Semi-Definite, Heteroscedasticity and Autocorrelation Consistent Covariance Matrix’, Econometrica, 1987, 55, 703–8. 39. E. Berndt, B. Hall, R. Hall, and J. Hausman, ‘Estimation and Inference in Nonlinear Structural Models’, Annals of Economic and Social Measurement, 1974, 3/4, 653–65. 40. J. M. Wooldridge, ‘Cluster-Sample Methods in Applied Econometrics’, American Economic Review, 2003, 93, 133–8. 41. I. Krinsky and L. Robb, ‘On Approximating the Statistical Properties of Elasticities’, Review of Economics and Statistics, 1986, 68, 715–19. 42. K. Murphy and R. Topel, ‘Estimation and Inference in Two Step Econometrics Models’, Journal of Business and Economic Statistics, 2002, 20, 88–97. VOLUME III Part 8: Testing 43. J. Hausman, ‘Specification Tests in Econometrics’, Econometrica, 1978, 46, 1251–71. 44. T. Breusch and A. Pagan, ‘The LM Test and its Applications to Model Specification in Econometrics’, Review of Economic Studies, 1980, 47, 239–54. 45. R. Davidson and J. MacKinnon, ‘Several Tests for Model Specification in the Presence of Alternative Hypotheses’, Econometrica, 1981, 49, 781–93. 46. D. Dickey and W. Fuller, ‘Distribution of the Estimators for Autoregressive Time Series with a Unit Root’, Journal of the American Statistical Association, 1979, 74, 427–31. 47. R. Davidson and J. MacKinnon, ‘Alternative Tests of Independence Between Stochastic Regressors and Disturbances’, Econometrica, 1985, 41, 193, 733–50. 48. J. Sargan, ‘The Estimation of Economic Relationships Using Instrumental Variables’, Econometrica, 1958, 26, 393–415. Part 9: Fields—Industrial Organization 49. J. Asker, ‘A Study of the Internal Organization of a Bidding Cartel’, American Economic Review, 2010, 100, 724–62. 50. S. Berry, J. Levinsohn, and A. Pakes, ‘Automobile Prices in Market Equilibrium’, Econometrica, 1995, 63, 841–90. Part 10: Fields—Health Econometrics 51. Michael Grossman, ‘On the Concept of Health Capital and the Demand for Health’, Journal of Political Economy, 1972, 80, 2, 223–55. Part 11: Fields—Labour Economics 52. J. Heckman, ‘Shadow Prices, Market Wages and Labor Supply’, Econometrica, 1974, 42, 679–94. Part 12: Fields—Production and Productivity 53. D. Aigner, K. Lovell, and P. Schmidt, ‘Formulation and Estimation of Stochastic Frontier Production Models’, Journal of Econometrics, 1977, 6, 21–37. 54. J. Jondrow, K. Lovell, I. Materov, and P. Schmidt, ‘On the Estimation of Technical Inefficiency in the Stochastic Frontier Production Model’, Journal of Econometrics, 1982, 19, 233–8. Part 13: Fields—Financial Econometrics 55. E. Fama and J. MacBeth, ‘Risk, Return and Equilibrium: Empirical Tests’, Journal of Political Economy, 1973, 81, 3, 607–36. VOLUME IV Pa