"Applied Econometrics" by Dimitrios Asteriou is more than just a classroom requirement; it is a long-term reference for anyone serious about economic research. Its clear language and focus on the "how-to" make it an invaluable asset for mastering the tools of the trade. AI responses may include mistakes. Learn more
The fourth edition (and beyond) includes updated chapters on more recent developments in panel data and non-linear models. Conclusion
Official versions often grant access to the data files used in the chapters, which are essential for practicing the exercises.
The book begins with the Classical Linear Regression Model (CLRM), ensuring a firm grasp of OLS (Ordinary Least Squares) assumptions before moving into violations like heteroscedasticity and multicollinearity.
It covers essential "classic" econometrics while diving deep into modern topics like:
It offers extensive sections on stationarity, unit root testing, and Cointegration—the "bread and butter" of modern macro-econometric research.