Research in statistical theory has yielded useful procedures for learning from data one of the principal objectives of econometrics and science. This research has produced a large number of probability models for observations that are widely utilized in econometrics and other sciences, which are...

Vectors and matrices played a minor role in the econometric literature published before Second World War, but they have become an indispensable tool in the past several decades. Part of this development results from the importance of matrix tools for the statistical component of econometrics;...

This chapter discusses some of the important computational methods and problems. The emphasis is on algorithms and general procedures for solving problems. The chapter discusses matrix methods involved in estimating the parameters of single and simultaneous equation models. It discusses various...

This chapter focuses on resistant estimation procedures and methods for evaluating the impact of particular data elements on regression estimates. Model builders using macroeconomic time series are often plagued by occasional unusual events, leading them to decrease the weights to be attached to...

This chapter discusses a survey of nonlinear regression models, with an emphasis on the theory of estimation and hypothesis testing rather than on computation and applications. The advent of advanced computer technology has made it possible for the econometrician to estimate an increasing number...

The study of identification has been clearly linked to the design of experiments. In a well-designed experiment the treatment group and the control group are similar in every aspect, except for the treatment. The difference in response may therefore be attributed to the treatment and the...