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Applied Econometrics

Second edition

by Dimitrios Asteriou & Stephen G. Hall

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 VI PANEL DATA ECONOMETRICS

  • Practicalities using EViews, Microfit and Stata