Applied Econometrics

Dimitrios Asteriou is Research Lead in Economics, Finance and Accounting at Oxford Brookes University. He completed his PhD in Economics at City University and he holds both an MSc and a BSc in Economics from the University of Macedonia, Greece. His research interests lie in the area of applied economics, with a focus on economic growth, financial econometrics and the econometrics of panel data. He has published more than 60 research papers in peer-reviewed journals.Stephen G. Hall is Head of Division and Professor of Economics at Leicester University and Visiting Professor at Pretoria University. He 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. 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.

• PART I: STATISTICAL BACKGROUND AND BASIC DATA HANDLING1. Fundamental Concepts2. The Structure Of Economic Data and Basic Data HandlingPART II: THE CLASSICAL LINEAR REGRESSION MODEL3. Simple Regression4. Multiple RegressionPART III: VIOLATING THE ASSUMPTIONS OF THE CLRM5. Multicollinearity6. Heteroskedasticity7. Autocorrelation8. Misspecification: Wrong Regressors, Measurement Errors And Wrong Functional FormsPART IV: TOPICS IN ECONOMETRICS9. Dummy Variables10. Dynamic Econometric Models11. Simultaneous Equation Models12. Limited Dependent Variable Regression ModelsPART V: TIME SERIES ECONOMETRICS13. ARIMA Models And The Box–Jenkins Methodology14. Modelling The Variance: ARCH–GARCH Models15. Vector Autoregressive(VAR) Models And Causality Tests16. Non-Stationarity and Unit Root Tests17. Cointegration and Error-Correction Models18. Identification In Standard and Cointegrated Systems19. Solving Models20. Time Varying Coefficient Models: A New Way of Estimating Bias Free ParametersPART VI: PANEL DATA ECONOMETRICS21. Traditional Panel Data Models22. Dynamic Heterogeneous Panels23. Non-Stationary PanelsPART VII: USING ECONOMETRIC SOFTWARE24. Practicalities in Using Eviews and Stata.

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