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Title Details:
Econometric analysis by examples
Authors: Panagiotidis, Theodore
Bampinas, Georgios
Subject: LAW AND SOCIAL SCIENCES > ECONOMIC SCIENCES > MATHEMATICAL AND QUANTITATIVE METHODS > ECONOMETRIC AND STATISTICAL METHODS AND METHODOLOGY: GENERAL
LAW AND SOCIAL SCIENCES > ECONOMIC SCIENCES > MATHEMATICAL AND QUANTITATIVE METHODS > SINGLE EQUATION MODELS; SINGLE VARIABLES
LAW AND SOCIAL SCIENCES > ECONOMIC SCIENCES > MATHEMATICAL AND QUANTITATIVE METHODS > ECONOMETRIC AND STATISTICAL METHODS: SPECIAL TOPICS
LAW AND SOCIAL SCIENCES > ECONOMIC SCIENCES > MATHEMATICAL AND QUANTITATIVE METHODS > ECONOMETRIC MODELING
LAW AND SOCIAL SCIENCES > ECONOMIC SCIENCES > MATHEMATICAL AND QUANTITATIVE METHODS > DATA COLLECTION AND DATA ESTIMATION METHODOLOGY; COMPUTER PROGRAMS
Keywords:
Econometrics
Econometric analysis
Applied econometrics
Gretl statistical package
Economics
Data analysis
Regression analysis
Time series analysis
Cross sectional analysis
Panel data analysis
Linear models
Nonlinear models
Dummies
Functional forms
Regression diagnostic tests
Description:
Abstract:
The book is divided into four main sections. The first section introduces the Gretl econometric program, presenting information on the program's basic features (installation, navigation, data entry, command information, and session storage). The second section presents the basic estimation models and their limitations with the corresponding theoretical documentation. This is followed by an analysis of different functional forms of regression covering a range of fields (economic, social) and data (time series, cross-sectional data) and using qualitative variables in the regression models. The third section critically examines the assumptions of the classical linear model, the extent to which these assumptions may vary, and at what cost. Different diagnostic tests of regression models are presented for both cross-sectional data and time series models. The problem of "correct functional form" is also discussed. The fourth part deals with prominent issues of cross-sectional and time series data and their combination (panels). For cross-sectional data, the discrete choice models, which are widely used in the social sciences as well as in other fields (education, psychology, political science) are analyzed. For time series, topics such as stationarity, cointegration, and ARCH-GARCH models for cases of changing variation are presented, which concern the fields of economics, finance, and other social sciences. Finally, estimation models with panel data are presented.
Linguistic Editors: Kolla, Eleni
Graphic Editors: Kaitsa, Elena-Natasa
Other contributors: Cover image: Vassily Kandinsky, 1923 - Circles in a Circle, oil on canvas, height 100 cm, width 95.6 cm, Philadelphia Museum of Art.
Type: Undergraduate textbook
Creation Date: 23-01-2025
Item Details:
ISBN 978-618-228-320-2
License: Attribution – NonCommercial – NoDerivatives 4.0 International (CC BY-NC-ND 4.0)
DOI http://dx.doi.org/10.57713/kallipos-1068
Handle http://hdl.handle.net/11419/14408
Bibliographic Reference: Panagiotidis, T., & Bampinas, G. (2025). Econometric analysis by examples [Undergraduate textbook]. Kallipos, Open Academic Editions. https://dx.doi.org/10.57713/kallipos-1068
Language: Greek
Consists of:
1. Introduction to Gretl's computing environment
2. Introduction to econometric analysis
3. Functional forms of regression models
4. Qualitative variables
5. Multicollinearity
6. Heteroscedasticity
7. Autocorrelation
8. Model specification and data issues
9. Limited dependent variable models
10. Time series stationarity
11. Cointegration and error correction model
12. Volatility models
13. Panel models
Additional Material
Number of pages 240
Publication Origin: Kallipos, Open Academic Editions
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