Applied Econometrics

by Asteriou, Dimitrios; Hall, Stephen G.

• ISBN13: 9780230271821
• ISBN10: 0230271820
• Edition: 2nd
• Format: Paperback
• Copyright: 2011-05-15
• Publisher: Palgrave Macmillan

Summary

The second edition of this highly successful text refines existing strengths and adds significant new material expanding the scope of the book and making it a more flexible teaching tool. In addition to providing instructions for performing all tests in EViews and Microfit, the book now includes instructions for STATA. The book will be accompanied by a website containing full data sets as well as PowerPoint slides for each chapter.

Author Biography

DIMITRIOS ASTERIOU is Associate Professor in Economics at the Hellenic Open University, School of Social Sciences in Greece. He is also the Secretary general of the European Economics and Finance Society.

STEPHEN G. HALL is Professor of Economics at Leicester University, UK and Visiting Professor at the University of Pretoria, 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.

Table of Contents

Introduction
PART I STATISTICAL BACKGROUND AND BASIC DATA HANDLING
Fundamental Concepts
The Structure of Economic Data and Basic Data Handling
PART II THE CLASSICAL LINEAR REGRESSION MODEL
Simple regression
Multiple regression
PART III VIOLATING THE ASSUMPTIONS OF THE CLRM
Multicollinearity
Heteroskedasticity
Autocorrelation
Misspecification: Wrong Regressors, Measurement Errors and Wrong Functional Forms
PART IV TOPICS IN ECONOMETRICS
Dummy Variables
Dynamic Econometric Models
Simultaneous Equation Models
Limited Dependent Variable Regression Models
PART V 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
Identification in Standard and Cointegrated Systems
Solving models
PART VI PANEL DATA ECONOMETRICS 
Traditional Panel Data Models
Dynamic Heterogeneous Panels
Non-stationary Panels
PART VII USING ECONOMETRIC SOFTWARE
Practicalities using EViews, Microfit and STATA