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.
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
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.