Volume One of Elsevier's Handbook of Econometrics covers mathematical and statistical methods in econometrics, econometric models, and estimation and computation. The Handbook of Econometrics aims to serve as a source, reference, and teaching supplement for the field of econometrics, the branch of economics concerned with the empirical estimation of economic relationships. Econometrics is conceived broadly to include not only econometric models and estimation theory but also econometric data analysis, econometric applications in various substantive fields, and the uses of estimated econometric models. Our purpose has been to provide reasonably comprehensive and up-to-date surveys of recent developments and the state of various aspects of econometrics as of the early 1980s, written at a level intended for professional use by economists, econometricians, and statisticians and for use in advanced graduate econometrics courses.
No takes yet. Share an insight, caveat, or question.
Davidson et al. (1984) studied this question.