Applied Econometrics

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

3. Simple Regression
4. Multiple Regression

Part III: Violating the Assumptions of the CLRM

5. Multicollinearity
6. Heteroskedasticity
7. Autocorrelation
8. Misspecification: Wrong Regressors, Measurement Errors And Wrong Functional Forms

Part IV: Topics in Econometrics

9. Dummy Variables
10. Dynamic Econometric Models
11. Simultaneous Equation Models
12. Limited Dependent Variable Regression Models

Part V: Time Series Econometrics

13. ARIMA Models And The Box–Jenkins Methodology
14. Modelling The Variance: ARCH–GARCH Models
15. Vector Autoregressive(VAR) Models And Causality Tests
16. Non-Stationarity and Unit Root Tests
17. Cointegration and Error-Correction Models
18. Identification In Standard and Cointegrated Systems
19. Solving Models
20. Time Varying Coefficient Models: A New Way of Estimating Bias Free Parameters
    

Part VI: Panel Data Econometrics

21. Traditional Panel Data Models
22. Dynamic Heterogeneous Panels
23. Non-Stationary Panels

Part VII: Using Econometric Software

24. Practicalities in Using Eviews and Stata