Palgrave Handbook of Econometrics (Volume 1) Econometric Theory

LUC ANSELIN University of Illinois, USA RICHARD T. BAILLIE Michigan State University, USA BADI H. BALTAGI Syracuse University, USA and University of Leicester, UK ANIL BERA University of Illinois, USA YANNIS BILIAS Associate Professor, Department of Economics, University of Cyprus, Cyprus CHRIS BROOKS Director, ISMA for Financial Markets, University of Reading, UK IN CHOI Hong Kong University of Science and Technology, Hong Kong JAMES DAVIDSON Professor of Econometrics, University of Exeter, UK RUSSELL DAVIDSON Professor, Department of Economics, McGill University, Canada GUILANO DE ROSSI University of Cambridge, UK JURGEN DOORNIK Nuffield College, Oxford University, UK RICHARD WILLIAM FAREBROTHER formerly University of Manchester, UK DENNIS FOK Professor, Econometric Institute, Erasmus University Rotterdam, The Netherlands PHILIP HANS FRANSES Professor, Econometric Institute, Erasmus University Rotterdam, The Netherlands CHRISTOPHER GILBERT Universite degli Studi di Trento, Italy JESUS GONZALO University of Madrid, Spain WILLIAM GREENE Leonard N. Stern School of Business, New York University, USA NIELS HALDRUP University of Aarhus, Denmark ANDREW HARVEY University of Cambridge, UK KEVIN HOOVER Professor and Chair of Economics, University of California at Davis, USA MICHAEL JANSSON University of Berkeley, USA SOREN JOHANSEN University of Copenhagen, Denmark GARY KOOP University of Leicester, UK LUNG-FEI LING Professor, Ohio State University, USA HELMUT LUTKEPOHL European University Institute, Italy JAMES G. MACKINNON Queens University, Canada RICHARD PAAP Professor, Econometric Institute, Erasmus University Rotterdam, The Netherlands PIERRE PERRON Professor, Department of Economics, Boston University, USA JEAN-YVES PITARAKIS University of Southampton, UK DALE J. POIRIER Professor, Department of Economics, University of California at Irvine, USA DUO QIN Senior Lecturer, Queen Mary University London, UK JEFF RACINE Associate Professor,Syracuse University, USA PRADOSH SIMLAI Department of Economics, University of Illinois, USA ARIS SPANOS Wilson Schmidt Professor and Department Head, Virginia Polytechnic Institute and State University, USA RODNEY STRACHAN Lecturer, Economics Department, University of Leicester, UK TIMO TERASVIRTA Professor, Department of Economic Statistics, Stockholm School of Economics, Sweden JUSTIN L. TOBIAS Assistant Professor of Economics, Iowa State University, USA A. R. TREMAYNE Professor, Faculty of Economics and Business, University of Sydney, Australia and University of York, UK AMAN ULLAH University of California at Riverside, USA FARSHID VAHID Associate Professor of Econometrics, Monash University, Australia HERMAN VAN DIJK Professor of Econometrics, Erasmus University Rotterdam, Holland CARLOS VELASCO ICREA and University of Madrid, Spain MATTIAS VILLANI Research Department, Sveriges Riksba and Lecturer, Department of Statistics, Stockholm University, Sweden