Marno Verbeek's intermediate level textbook explores a wide range of topics in modern econometrics and focuses on what is important for doing and understanding empirical work. A wide range of new topics are covered including time series analysis, limited dependent variables, cointegration and panel data analysis.
Concentrates on the intuition behind various techniques and their practical relevance rather than the formulae
End of chapter exercises review key concepts in light of empircal examples discussed in the chapter
Examples are drawn from a wide variety of fields including labour economics, environmental economics, finance, international economics and macroeconomics
CONTENTS: Introduction; An Introduction to Linear Regression; Interpreting and Comparing Regression Models; Heteroskedasticity and Autocorrelation; Stochastic Regressors; Maximum Likelihood Estimation; Models with Limited Dependent Variables; Univariate Time Series Modelling; Multivariate Time Series Analysis; Models Based on Panel Data.
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A Guide to Modern Econometrics explores a wide range of topics in modern econometrics focusing on what is important for doing and understanding empirical work. It serves as a guide to alternative techniques with the emphasis on practical questions such as when to use a particular approach, what can be gained by its use and what are the drawbacks. It does not concentrate on the formulae behind the approaches and their practical relevance.
* A wide range of topics are covered, such as: time series analysis, cointegration, limited dependent variables, panel data analysis and the generalized method of moments
* Empirical examples are drawn from a wide variety of fields including labour economics, environmental economics, international economics, finance and macroeconomics
* End-of-chapter exercises review key concepts in the light of empirical examples
* Data sets for illustrations and exercises available on-line from a web site
Marno Verbeek is Professor of Econometrics at the Center for Economic Studies, KU Leuven. He also holds a part-time position at CentER, Tilburg University.
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