This new revised edition of Applied Econometrics is an ideal text for students who are looking for a reliable and practical grounding in the subject. Students are introduced to the various forms of econometric data and how they are formatted in electronic media, and shown how to transfer and use the data in the most popular software packages. Each chapter begins with a clear theoretical overview followed by a step-by-step approach to using the software. Mathematics has been kept to a minimum but when used is accompanied by helpful expanations. The book is accompanied by a website www.palgrave.com/economics/asteriou/data.htm that includes all the necessary files for reproduction of all the econometric work that is carried out throughout the text.
Table of Contents
Introduction PART ONE: STATISTICAL BACKGROUND AND BASIC DATA HANDLING The Structure of Economic Data Working With Data: Basic Data Handling PART TWO: THE CLASSICAL LINEAR REGRESSION MODEL Simple Regression Multiple Regression PART THREE: VIOLATING THE ASSUMPTIONS OF THE CLRM Multicollinearity Heteroskedasticity Autocorrelation Misspecification: Wrong Regressors, Measurement Errors and Wrong Functional Forms PART FOUR: TOPICS IN ECONOMETRICS Dummy Variables Dynamic Econometric Models Simultaneous Equation Models PART FIVE: TIME SERIES ECONOMETRICS ARIMA Models and the Box-Jenkins Methodology Modelling the Variance: ARCH-GARCH Models Vector Autoregressive (VAR) Models and Causality Tests Non Stationarity and Unit-Root Tests Cointegration and Error-Correction Models PART SIX: PANEL DATA ECONOMETRICS Traditional Panel Data Models Dynamic Heterogeneous Panels Non-Stationary Panels Practicalities in Using EViews and Microfit
Author Biography
DIMITRIOS ASTERIOU is a Lecturer in Economics at the Department of Economics, City University, UK. STEPHEN G. HALL is Professor of Economics at Leicester University, UK and Visiting Professor at Pretoria University, South Africa. He is Visiting Senior Research Fellow at the National Institute of Economic and Social Research, Member of the Executive Committee of the UN project LINK and Editor of Economic Modelling.
