Applied Econometrics

Informationen zum Autor 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. Klappentext The third edition of Applied Econometrics builds on the success of the popular previous editions. It takes an intuitive, hands-on approach to presenting fundamental concepts in modern econometrics and carefully guides the reader through them. Step-by-step instructions for all econometric tests and methods of estimation are provided, as well as ways in which to interpret the results. This makes it an ideal companion for students new to the subject, or for those requiring a 'refresher'. Applied Econometrics third edition includes: • Thorough updates of all material in the book • More finance applications • A brand new Chapter 20: Time Varying Coefficient Models: A new way of estimating bias free parameters This is an indispensable textbook for undergraduate and Master's economics or finance students taking a course in applied econometrics. Zusammenfassung 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 p...

List 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.

Report

'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. The book is organized in a way that provides a natural progression of the major subjects in the field, embellished with real-world data applications. A key innovation is the step-by-step presentation of statistical tests that are used to interpret results and draw conclusions. The book is to be ranked with the best introductory econometrics texts.' George S. Tavlas, Member: Monetary Policy Council, Bank of Greece

Product details

• Authors: Dimitrios Asteriou, Dimitrios Hall Asteriou, S. G. Hall, Stephen G. Hall
• Publisher: Red Globe Press
• Languages: English
• Product format: Paperback / Softback
• Released: 30.11.2015
• EAN: 9781137415462
• ISBN: 978-1-137-41546-2
• No. of pages: 552
• Subjects: Social sciences, law, business > Business > General, dictionaries; Finanzwirtschaft, Finanzbuchhaltung, Ökonometrie, Wirtschaftsstatistik, Statistik / Wirtschaftsstatistik, Buchhaltung / Finanzbuchhaltung, timeserieseconometrics; economicdata; Regression; Stata; Cointegration