Table of Contents
Part I: Statistical Background and Basic Data Handling
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Fundamental Concepts
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The Structure Of Economic Data and Basic Data Handling
Part II: The Classical Linear Regression Model
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Simple Regression
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Multiple Regression
Part III: Violating the Assumptions of the CLRM
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Multicollinearity
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Heteroskedasticity
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Autocorrelation
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Misspecification: Wrong Regressors, Measurement Errors And Wrong Functional Forms
Part IV: Topics in Econometrics
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Dummy Variables
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Dynamic Econometric Models
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Simultaneous Equation Models
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Limited Dependent Variable Regression Models
Part V: Time Series Econometrics
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ARIMA Models And The Box–Jenkins Methodology
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Modelling The Variance: ARCH–GARCH Models
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Vector Autoregressive(VAR) Models And Causality Tests
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Non-Stationarity and Unit Root Tests
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Cointegration and Error-Correction Models
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Identification In Standard and Cointegrated Systems
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Solving Models
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Time Varying Coefficient Models: A New Way of Estimating Bias Free Parameters
Part VI: Panel Data Econometrics
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Traditional Panel Data Models
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Dynamic Heterogeneous Panels
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Non-Stationary Panels
Part VII: Using Econometric Software
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Practicalities in Using Eviews and Stata