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Applied Econometrics (3rd Edition)

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Red Globe Press

Pages: 552
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Recommend to library, View companion site


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AVAILABLE FORMATS

Paperback - 9781137415462

26 October 2015

$65.99

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Ebook - 9781137415479

30 August 2017

$59.99

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This textbook offers a unique blend of theory and practical application. Taking students from a basic level up to an advanced understanding in an intuitive, step-by-step fashion, it provides perfect preparation for doing...

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This textbook offers a unique blend of theory and practical application. Taking students from a basic level up to an advanced understanding in an intuitive, step-by-step fashion, it provides perfect preparation for doing applied econometric work. Economic tests and methods of estimation are presented clearly, and practical guidance on using several types of software packages is given. Real world data is used throughout and emphasis is given to the interpretation of the results, and the conclusions to be drawn from them in econometric work.

This book will be core reading for undergraduate and Master’s students on an Economics or Finance degree, who take a course in applied econometrics. Its practical nature makes it perfect for modules requiring a research project. 

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- An applied, step-by-step approach that blends theory and application and focuses on how to analyze data

- Packed with real life data and examples, the hands-on approach prepares students for empirical research projects

- Takes students from a basic to advanced level in a step-by-step fashion

- A companion website for lecturers with slides to use in teaching

 

- The number of finance applications has been expanded throughout, to make the book more suitable for finance students

- A new chapter on Time Varying Coefficient models has been added

- Expanded discussion on current topics in econometrics, such as structural VAR models

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.

EViews, Excel and State files are freely available on the book's companion website: https://www.macmillanihe.com/companion/Asteriou-And-Hall-Applied-Econometrics-3rd-Edition/
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Dimitrios Asteriou is a Professor in Quantitative Methods at the Hellenic Open University, Greece. previously he was employed as a Lecturer at the University of Reading, UK, and as a Senior Lecturer at City University, London, UK. He has published more than 50 academic research papers in peer-reviewed journals and has served as the Secretary General of the European Economics and Finance Society. He has several years of teaching experience at undergraduate and postgraduate level. His research interests lie in the area of applied econometrics with an emphasis on financial econometrics and economic growth. He has published papers in journals such as Energy Economics, Review of Economic Development, Scottish...

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Dimitrios Asteriou is a Professor in Quantitative Methods at the Hellenic Open University, Greece. previously he was employed as a Lecturer at the University of Reading, UK, and as a Senior Lecturer at City University, London, UK. He has published more than 50 academic research papers in peer-reviewed journals and has served as the Secretary General of the European Economics and Finance Society. He has several years of teaching experience at undergraduate and postgraduate level. His research interests lie in the area of applied econometrics with an emphasis on financial econometrics and economic growth. He has published papers in journals such as Energy Economics, Review of Economic Development, Scottish Journal of Political Economy, Economic Modelling, International Journal of Finance and Economics, Applied Financial Economics, Journal of Policy Modelling, Regional Studies etc. 

Stephen Hall has worked extensively in the areas of econometrics and macro economic modelling. He began his career at the National Institute of Economic and Social Research, London, where he worked on the development of the UK model and a range of methodological and econometric issues. He then moved to the Bank of England as an Economic Advisor for 4 years where he continued working in the area of econometrics and modelling. He then became Director of Research and Professorial Fellow at the Centre for Economic Forecasting at London Business School where he was in charge of the development of the LBS UK model. He then moved to be Professor of Economics at Imperial College, London, and in 2005 he took up his current post as Professor of Economics at the University of Leicester, UK, where he is currently deputy Pro Vice Chancellor. He has published 6 books, and over 250 articles on economic modelling, applied econometrics and forecasting. His editorial and other activities include being, editor of Economic Modelling, an executive Committee member of the United Nations Project Link and on the editorial board of a number of journals. He holds an honorary doctorate from the University of Pretoria, South Africa, and is a fellow of the African Econometric Society and an honorary member of the Romanian Academy of Science.

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