Econometrics: A Bird’s Eye View As a unified discipline, econometrics is still relatively young and has been transforming and expanding very rapidly over the past few decades. Major advances have taken place in the analysis of cross sectional data by means of semi-parametric and non-parametric techniques. Heterogeneity of economic relations across individuals, firms and industries is increasing...

The paper gives conditions under which stationary distributions of Markov models depend continuously on the parameters. It extends a well-known parametric continuity theorem for compact state space to the unbounded setting of standard econometrics and time series analysis. Applications to several theoretical and estimation problems are outlined.

We introduce a new nonparametric regression estimator that uses prior information on regression shape in the form of a parametric model. In e!ect, we nonparametrically encompass the parametric model. We obtain estimates of the regression function and its derivatives along with local parameter estimates that can be interpreted from within the parametric model. We establish the uniform consistenc...

Finite mixture models are useful in applied econometrics. They can be used to model unobserved heterogeneity, which plays major roles in labor economics, industrial organization and other fields. Mixtures are also convenient in dealing with contaminated sampling models and models with multiple equilibria. Most of the currently available estimation methods for mixtures are entirely parametric; o...

The journal Computational Statistics and Data Analysis aims to have regular issues in Computational Econometrics. Of particular interest are papers in important areas of econo-metric applications where both computational techniques and numerical methods have a major impact. The goal is to provide sources of information about the most recent developments in computational econometrics that are cu...