Econometrics by Example

Second edition

by Damodar Gujarati

Table of Contents

PART I: BASICS OF LINEAR REGRESSION

  1. The linear regression model: an overview
  2. Functional forms of regression models
  3. Qualitative explanatory variables regression models

PART II: REGRESSION DIAGNOSTICS

  1. Regression diagnostic I: multicollinearity
  2. Regression diagnostic II: heteroscedasticity
  3. Regression diagnostic III: autocorrelation
  4. Regression diagnostic IV: model specification errors

PART III: TOPICS IN CROSS-SECTION DATA

  1. The logit and probit models
  2. Multinomial regression models
  3. Ordinal regression models
  4. Limited dependent variable regression models
  5. Modeling count data: the Poisson and negative binomial regression models

PART IV: TIME SERIES ECONOMETRICS

  1. Stationary and nonstationary time series
  2. Cointegration and error correction models
  3. Asset price volatility: the ARCH and GARCH models
  4. Economic forecasting

PART V: SELECTED TOPICS IN ECONOMETRICS

  1. Panel data regression models
  2. Survival analysis
  3. Stochastic regressors and the method of instrumental variables
  4. Beyond OLS: quantile regression
  5. Multivariate regression models

Appendices

  1. Data sets used in the text
  2. Statistical appendix