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Applied Econometrics
By (author) Asteriou Dimitrios
Out of Stock
Replaces 9780230271821
By (author) Asteriou Dimitrios; By (author) Hall Stephen G.
Short description/annotation
This successful, hands-on econometrics book has been updated and expanded for the third edition. Building on the strengths of the second edition, it now includes more financial economics applications, and discussions on topics that have gained prominence in econometrics. An invaluable guide to conducting empirical research projects.
Description
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 degrees, who take a course in applied econometrics. Its practical nature makes it perfect for modules requiring a research project. New to this Edition: - 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
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.
Review quote
''Asteriou and Hall combine an excellent treatment of econometric theory with accessible guides to multiple statistical software packages; a rare combination in today''s market.'' Douglas Webber, Temple University, USA ''This book strikes a perfect balance between theoretical discussion and practical application, expressing quite abstract ideas in a transparent and easy-to-understand way - all of which are vital for anyone learning econometrics.'' Kavita Sirichand, Loughborough University, UK ''This new edition provides a crisp and clear exposition, going from basic concepts to advanced topics. An excellent book that will be essential reading for intermediate and more advanced undergraduate as well as graduate students with a serious interest in empirical methods in economics.'' Brian Henry, Visiting Research Fellow at the NIESR, United Kingdom ''If you are looking for a fast track towards being able to do applied econometric work, this textbook is the ideal solution.'' Reinhard Neck, University of Klagenfurt, Austria ''Asteriou and Hall provide an exceptional and accessible introduction to modern econometrics.
Short description/annotation
This successful, hands-on econometrics book has been updated and expanded for the third edition. Building on the strengths of the second edition, it now includes more financial economics applications, and discussions on topics that have gained prominence in econometrics. An invaluable guide to conducting empirical research projects.
Description
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 degrees, who take a course in applied econometrics. Its practical nature makes it perfect for modules requiring a research project. New to this Edition: - 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
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.
Review quote
''Asteriou and Hall combine an excellent treatment of econometric theory with accessible guides to multiple statistical software packages; a rare combination in today''s market.'' Douglas Webber, Temple University, USA ''This book strikes a perfect balance between theoretical discussion and practical application, expressing quite abstract ideas in a transparent and easy-to-understand way - all of which are vital for anyone learning econometrics.'' Kavita Sirichand, Loughborough University, UK ''This new edition provides a crisp and clear exposition, going from basic concepts to advanced topics. An excellent book that will be essential reading for intermediate and more advanced undergraduate as well as graduate students with a serious interest in empirical methods in economics.'' Brian Henry, Visiting Research Fellow at the NIESR, United Kingdom ''If you are looking for a fast track towards being able to do applied econometric work, this textbook is the ideal solution.'' Reinhard Neck, University of Klagenfurt, Austria ''Asteriou and Hall provide an exceptional and accessible introduction to modern econometrics.
