Applied Econometrics

__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). New chapters include: - Limited Dependent Variable Regression Models - Identification in Standard and Cointegrated Systems - Solving Models This is an ideal book for undergraduate and master's economics or finance students taking a first course in applied econometrics. A companion website for this book is available at www.palgrave.com/economics/asteriou2 which contains: - Data files for students - PowerPoint slides for lecturers Brief Contents 6 Contents 8 List of Figures 20 List of Tables 22 Acknowledgements 29 Preface 26 Part I Statistical Background and Basic Data Handling 30 1. Fundamental Concepts 32 2. The Structure of Economic Data and Basic Data Handling 43 Part II The Classical Linear Regression Model 56 3. Simple Regression 58 4. Multiple Regression 94 Part III Violating the Assumptions of the CLRM 122 5. Multicollinearity 124 6. Heteroskedasticity 138 7. Autocorrelation 177 8 Misspecification: Wrong Regressors, Measurement Errors and Wrong Functional Forms 201 Part IV Topics in Econometrics 228 9. Dummy Variables 230 10. Dynamic Econometric Models 250 11. Simultaneous Equation Models 262 12. Limited Dependent Variable Regression Models 273 Part V Time Series Econometrics 292 13. ARIMA Models and the Box–Jenkins Methodology 294 14. Modelling the Variance: ARCH–GARCH Models 316 15. Vector Autoregressive (VAR) Models and Causality Tests 348 16. Non-Stationarity and Unit-Root Tests 363 17. Cointegration and Error-Correction Models 384 18. Identification in Standard and Cointegrated Systems 420 19. Solving Models 431 Part VI Panel Data Econometrics 442 20. Traditional Panel Data Models 444 21. Dynamic Heterogeneous Panels 460 22. Non-stationary Panels 470 Part VII Using Econometric Software 486 23. Practicalities of Using EViews, Microfit and Stata 488 Appendix: Statistical Tables 508 Bibliography 518 Appendix: Statistical Tables 508 Bibliography 518

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).

New chapters include:
- Limited Dependent Variable Regression Models
- Identification in Standard and Cointegrated Systems
- Solving Models

This is an ideal book for undergraduate and master's economics or finance students taking a first course in applied econometrics.

A companion website for this book is available at www.palgrave.com/economics/asteriou2 which contains:
- Data files for students
- PowerPoint slides for lecturers

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).New chapters- Limited Dependent Variable Regression Models- Identification in Standard and Cointegrated Systems- Solving ModelsThis is an ideal book for undergraduate and master's economics or finance students taking a first course in applied econometrics.A companion website for this book is available at (http://www.palgrave.com/economics/asteriou2) www.palgrave.com/economics/asteriou2 which-Data files for students-PowerPoint slides for lecturers Dealing specifically with the use of econometric software, this text takes the reader from the various forms of econometric data through their formatting in electronic media to their transfer to and use in widely used software packages - Excel, Microfit and Eviews