Applied Econometrics

by Dimitrios Asteriou & Stephen G. Hall

Table of Contents

  • Preface

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

  1. Simple Regression
  2. Multiple Regression

Part III: Violating the Assumptions of the CLRM

  1. Multicollinearity
  2. Heteroskedasticity
  3. Autocorrelation
  4. Misspecification: Wrong Regressors, Measurement Errors And Wrong Functional Forms

Part IV: Topics in Econometrics

  1. Dummy Variables
  2. Dynamic Econometric Models
  3. Simultaneous Equation Models
  4. Limited Dependent Variable Regression Models

Part V: Time Series Econometrics

  1. ARIMA Models And The Box–Jenkins Methodology
  2. Modelling The Variance: ARCH–GARCH Models
  3. Vector Autoregressive(VAR) Models And Causality Tests
  4. Non-Stationarity and Unit Root Tests
  5. Cointegration and Error-Correction Models
  6. Identification In Standard and Cointegrated Systems
  7. Solving Models
  8. Time Varying Coefficient Models: A New Way of Estimating Bias Free Parameters

Part VI: Panel Data Econometrics

  1. Traditional Panel Data Models
  2. Dynamic Heterogeneous Panels
  3. Non-Stationary Panels

Part VII: Using Econometric Software

  1. Practicalities in Using Eviews and Stata