Newer editions of the text have expanded significantly into microeconometrics. This includes detailed chapters on:
"Applied Econometrics" by Dimitrios Asteriou is a textbook that aims to provide a practical and accessible introduction to applied econometrics. The book is designed for undergraduate and graduate students of economics, finance, and business, as well as for practitioners who want to apply econometric techniques to real-world problems. The book covers a wide range of topics, including:
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Which (e.g., GARCH, Cointegration, Panel Data) are you currently studying?
| Part | Topic & Chapters | Key Concepts Covered | | :--- | :--- | :--- | | | Statistical Background and Basic Data Handling 1. Fundamental Concepts 2. The Structure of Economic Data and Basic Data Handling | Probability, distributions, hypothesis testing; cross-sectional, time series, panel data; data transformation, handling missing observations. | | II | The Classical Linear Regression Model (CLRM) 3. Simple Regression 4. Multiple Regression | Ordinary Least Squares (OLS), R-squared, t-tests, F-tests; matrix notation, partial effects, model specification. | | III | Violating the Assumptions of the CLRM 5. Multicollinearity 6. Heteroskedasticity 7. Autocorrelation 8. Misspecification: Wrong Regressors, Measurement Errors And Wrong Functional Forms | Variance Inflation Factor (VIF), detection and remedies; White's test, GLS; Durbin-Watson, Breusch-Godfrey test; RESET test, proxy variables, functional form misspecification. | | IV | Topics in Econometrics 9. Dummy Variables 10. Dynamic Econometric Models 11. Simultaneous Equation Models 12. Limited Dependent Variable Regression Models | Intercept/slope dummies, Chow test; distributed lags, autoregressive models; Two-Stage Least Squares (2SLS), identification; Logit, Probit, Tobit models. | | 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 | Stationarity, autocorrelation functions; volatility clustering, GARCH (1,1) models; impulse response functions, Granger causality; Dickey-Fuller (ADF) tests; Engle-Granger method, Vector Error Correction Model (VECM). | | VI | Panel Data Econometrics 21. Traditional Panel Data Models 22. Dynamic Heterogeneous Panels 23. Non-Stationary Panels | Fixed effects, random effects; Panel ARDL, Mean Group estimators; panel unit root tests, panel cointegration. | | VII | Using Econometric Software 24. Practicalities in Using EViews and Stata | Importing data, running regressions, performing tests, generating graphs in the most common statistical software packages. |
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Detailed troubleshooting for , Heteroskedasticity , Autocorrelation , and Misspecification. Part IV: Advanced Topics
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is a widely recognized resource that blends econometric theory with practical application using software like EViews and Stata. Taylor & Francis Online Latest Edition & Availability The current version is the 4th Edition (2021) The book covers a wide range of topics,
: Understanding non-stationary data using Dickey-Fuller (DF) and Augmented Dickey-Fuller (ADF) tests.
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