'Applied Econometrics' takes an intuitive, hands-on approach to presenting
modern econometrics.
Wide-ranging yet compact, the book features extensive software integration and
contains empirical applications throughout. It provides step-by-step guidelines for all
econometric tests and methods of estimation, and also provides interpretations of the
results.
The second edition of this popular book features expanded topical coverage, more coverage
of fundamental concepts for students new to the subject or requiring a 'refresher',
integrated finance applications throughout, as well as the addition of Stata to the
software coverage (already featuring EViews and Microfit).
New chapters include:
¦ Limited Dependent Variable Regression Models
¦ Identification in Standard and Cointegrated Systems
¦ Solving Models
This is an ideal book for undergraduate and master's economics or finance students taking
a first course in applied econometrics.
A companion website for this book is available at www.palgrave.com/economics/asteriou2
which contains:
¦ data files for students
¦ PowerPoint slides for lecturers
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
Preface
PART I STATISTICAL BACKGROUND AND BASIC DATA HANDLING
Fundamental Concepts
The Structure of Economic Dataand 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 of using EViews, Microfit and STATA
528 pages, Paperback
