
Applied Econometrics
Description
This trusted textbook returns in its 4th edition with even more exercises to help consolidate understanding - and a companion website featuring additional materials, including a solutions manual for instructors. Offering a unique blend of theory and practical application, it provides ideal preparation for doing applied econometric work as it takes students from a basic level up to an advanced understanding in an intuitive, step-by-step fashion. Clear presentation of economic tests and methods of estimation is paired with practical guidance on using several types of software packages. Using real world data throughout, the authors place emphasis upon the interpretation of results, and the conclusions to be drawn from them in econometric work.
This book will be essential reading for Economics undergraduate and Master's students taking a course in applied econometrics. Its practical nature makes it ideal for modules requiring a research project.
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PART I: STATISTICAL BACKGROUND AND BASIC DATA HANDLING.- 1. Fundamental Concepts.- 2. The Structure Of Economic Data and Basic Data Handling.- PART II: THE CLASSICAL LINEAR REGRESSION MODEL.- 3. Simple Regression.- 4. Multiple Regression.- PART III: VIOLATING THE ASSUMPTIONS OF THE CLRM.- 5. Multicollinearity.- 6. Heteroskedasticity.- 7. Autocorrelation.- 8. Misspecification: Wrong Regressors, Measurement Errors And Wrong Functional Forms.- PART IV: TOPICS IN ECONOMETRICS.- 9. Dummy Variables.- 10. Dynamic Econometric Models.- 11. Simultaneous Equation Models.- 12. Limited Dependent Variable Regression Models.- PART V: TIME SERIES ECONOMETRICS.- 13. ARIMA Models And The Box-Jenkins Methodology.- 14. Modelling The Variance: ARCH-GARCH Models.- 15. Vector Autoregressive(VAR) Models And Causality Tests.- 16. Non-Stationarity and Unit Root Tests.- 17. Cointegration and Error-Correction Models.- 18. Identification In Standard and Cointegrated Systems.- 19. Solving Models.- 20. Time Varying Coefficient Models: A New Way of Estimating Bias Free Parameters.- PART VI: PANEL DATA ECONOMETRICS.- 21. Traditional Panel Data Models.- 22. Dynamic Heterogeneous Panels.- 23. Non-Stationary Panels.- PART VII: USING ECONOMETRIC SOFTWARE.- 24. Practicalities in Using Eviews and Stata.