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This is an excerpt from the 4-volume dictionary of economics, a reference book which aims to define the subject of economics today. 1300 subject entries in the complete work cover the broad themes of economic theory. This extract concentrates on econometrics.

This textbook teaches some of the basic econometric methods and the underlying assumptions behind them. It also includes a simple and concise treatment of more advanced topics in spatial correlation, panel data, limited dependent variables, regression diagnostics, specification testing and time series analysis. Each chapter has a set of theoretical exercises as well as empirical illustrations using real economic applications. These empirical exercises usually replicate a published article using Stata, Eviews as well as SAS. This new sixth edition has been fully revised and updated, and includes new material on limited dependent variables and panel data as well as revision of basic topics like heteroskedasticity, endogeneity, over-identification and specification testing. The author also provides more exercises and empirical examples based on published economic applications.

This textbook teaches some of the basic econometric methods and the underlying assumptions behind them. It also includes a simple and concise treatment of more advanced topics in time-series, limited dependent variables and panel data models, as well as specification testing, Gauss-Newton regressions and regression diagnostics. Some of the strengths of this book lie in presenting difficult material in a simple, yet rigorous manner. The exercises contain theoretical problems that should supplement the understanding of the material in each chapter. In addition, the book has a set of empirical illustrations demonstrating some of the basic results learned in each chapter. The empirical exercises are solved using several econometric software packages.

ECONOMETRICS: THEORY AND APPLICATIONS WITH (...) -- PÁGINA LEGAL -- CONTENTS -- PREFACE -- ACKNOWLEDGMENTS -- PART I. PREPARATORY WORK -- INTRODUCTION TO PART I -- CHAPTER 1. BASIC CONCEPTS OF ECONOMETRIC (...) -- 1.1 SCIENTIFIC QUANTITATIVE ECONOMIC RESEARCH -- 1.2 ECONOMIC AND ECONOMETRIC MODELS -- 1.3 ECONOMIC DATA -- 1.4 VARIABLES OF AN ECONOMIC MODEL -- 1.5 STRUCTURAL AND REDUCED-FORM EQUATIONS -- 1.6 PARAMETERS AND ELASTICITIES -- 1.7 STOCHASTIC MODELS -- 1.8 APPLIED QUANTITATIVE ECONOMIC RESEARCH -- CHAPTER 2. DESCRIPTION OF THE DATA SETS (...) -- 2.1 INTRODUCTION -- 2.2 DATA SET 1: COMMODITY PRICES -- 2.3 DATA SET 2: MACROECONOMIC DATA -- 2.4 DATA SET 3: OIL MARKET-RELATED DATA -- 2.5 DATA SET 4: MONEY MARKET -- 2.6 DATA SET 5: CROSS-SECTION DATA -- 3. BASIC CONCEPTS OF EVIEWS AND STARTING (...) -- 3.1 INTRODUCTION -- 3.2 THE CREATION OF A WORKFILE IN EVIEWS -- 3.3 VIEWING VARIABLES AND SOME PROCEDURES -- 3.4 SOME BASIC CALCULATIONS IN EVIEWS -- 3.5 CASE 1: THE DATA ANALYSIS -- PART II. THE REDUCED-FORM MODEL -- INTRODUCTION TO PART II -- CHAPTER 4. DESCRIPTION OF THE REDUCED-FORM (...) -- 4.1 INTRODUCTION -- 4.2 THE ASSUMPTIONS OF THE CLASSICAL (...) -- 4.3 THE ORDINARY LEAST SQUARES (OLS) ESTIMATOR -- 4.4 RELATIONSHIP BETWEEN DISTURBANCES AND (...) -- 4.5 ESTIMATION OF THE VARIANCE OF THE (...) -- 4.6 DESIRABLE STATISTICAL PROPERTIES OF (...) -- 4.7 THE DISTRIBUTION AND SOME PROPERTIES (...) -- 4.8 MAXIMUM LIKELIHOOD ESTIMATION -- 4.9 REGRESSION ANALYSIS WITH EVIEWS -- CHAPTER 5. TESTING THE DETERMINISTIC ASSUMPTIONS -- 5.1 INTRODUCTION -- 5.2 RELATIONSHIPS AMONG VARIABLES OF THE (...) -- 5.3 THE COEFFICIENT OF DETERMINATION -- 5.4 SURVEY OF SOME USEFUL DISTRIBUTIONS (...) -- 5.5 DISTRIBUTION OF THE RESIDUAL VARIANCE (...) -- 5.6 INTERVAL ESTIMATES AND THE TEST TO (...) -- 5.7 THE WALD F-TEST TO TEST RESTRICTIONS (...)

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