Handbook of Econometrics - VOLUME III. Handbooks in Economic, 2.

Richard T. Baillie
As one would expect, given the well known and distinguished contributors, this is an extremely impressive volume that assembles several really excellent surveys on the current state of knowledge in different fields of econometrics. ...will almost certainly prove to be an invaluable reference book for professional econometricians.

International Journal of Forecasting
Esfandiar Maasoumi
There is a wealth of information in these surveys and their very useful bibliographies.
Mathematical Reviews
Grayham E. Mizon
This first volume of the Handbook of Econometrics, which is mainly concerned with technical, mathematical, statistical, and computational issues in econometrics, contains some valuable contributions which will make a trip to the library well worthwhile.
The Economic Journal
James Davidson
This is one of the more useful contributions, in the sense of summarizing most of the things the study of econometrics ought to know about these matters and yet will have difficulty finding out except from a variety of disparate sources.
Journal of The Royal Stastical Society