ISBN13: 9780230271821 ｜512pages｜Paperback｜©2011｜NT$1150
Author
Dimitrios Asteriou, the Department of Economics, City University, UK.
Stephen G. Hall, University of Leicester
Description
'Applied Econometrics' takes an intuitive, hands-on approach to presenting modern econometrics. Wide-ranging yet compact, the book features extensive software integration and contains empirical applications throughout. It provides step-by-step guidelines for all econometric tests and methods of estimation, and also provides interpretations of the results.
The second edition of this popular book features expanded topical coverage, more coverage of fundamental concepts for students new to the subject or requiring a 'refresher', integrated finance applications throughout, as well as the addition of Stata to the software coverage (already featuring EViews and Microfit).
Table of Contents
Part I: Statistical Background And Basic Data Handling
Ch 1 Fundamental Concepts
Ch 2 The Structure of Economic Dataand Basic Data Handling
Part II: The Classical Linear Regression Model
Ch 3 Simple regression
Ch 4 Multiple regression
Part III: Violating The Assumptions Of The Clrm
Ch 5 Multicollinearity
Ch 6 Heteroskedasticity
Ch 7 Autocorrelation
Ch 8 Misspecification
Part IV: Topics In Econometrics
Ch 9 Dummy Variables
Ch 10 Dynamic Econometric Models
Ch 11 Simultaneous Equation Models
Ch 12 Limited Dependent Variable Regression Models
Part V: Time Series Econometrics
Ch 13 ARIMA Models and the Box–Jenkins Methodology
Ch 14 Modelling the Variance: ARCH–GARCH models
Ch 15 Vector Autoregressive(VAR) Models and Causality Tests
Ch 16 Non-stationarity and Unit Root Tests
Ch 17 Cointegration and Error-correction Models
Ch 18 Identification in Standard and Cointegrated Systems
Ch 19 Solving models
Part VI: Panel Data Econometrics
Ch 20 Traditional Panel Data Models
Ch 21 Dynamic Heterogeneous Panels
Ch 22 Non-stationary Panels
Part VII: Using Econometric Software
Ch 23 Practicalities of using EViews, Microfit and STATA
