This book, Topics in Advanced Econometrics,
is written primarily as a textbook for an advanced graduate
econometrics course. The topics covered include consistent
model specification testing, unit roots and cointegration,
and nonparametric regression estimation; they are mainly
the topics in which Professor Bierens has made significant
contributions to the literature over the last 15 years.
This book is unusual as a textbook in the sense that it
treats both cross-sectional and time series (i.e., both
subscript i and t) issues in econometrics
at an advanced level. Most of the results given, other
than those available in standard econometrics or statistics
textbooks, are drawn from the published work of the author.
The book is very useful because it puts together a number
of important current issues that have been treated separately
in the literature and presents them systematically using
a well-organized set of statistical tools. Another advantage
of this book is that the materials given are almost self-contained,
making this book suitable for self-tuition. This book thus
ideally suits students who need tools for independent research
especially in the area of nonlinear and nonparametric models
and time series analysis. It will also be useful to more
advanced researchers who are interested in a thorough understanding
of some of the author's original and influential work
in these areas.