Ben Vogelvang - Econometrics.Theory and Applications with EViews


Economists will regularly be confronted with results of quantitative economic research. Therefore they should have knowledge about quantitative economic methods: they should know how models arise, what the underlying assumptions are, and in what way estimates of parameters or other economic quantities are computed. In this book, ‘a first course in econometrics’ is presented that meets all these requirements. In this course, econometric theory is combined with econometric practice by showing and exercising its use with software package EViews.

Basic knowledge of econometric theory is necessary to understand what may (or may not) be done in applied quantitative economic research. It is not imperative that students can prove all the underlying statistical theorems that are necessary to derive estimators and statistics. In other words, the aim of this econometrics course is to make students aware of the underlying statistical assumptions of the methods they want to use or that others have used. It is very important to recognise which assumptions have been made by an author, whether these assumptions have been tested in a correct way, etc. In this book, many exact derivations are given, but in some cases it is sufficient just to explain what is going on in that particular situation. References to the econometrics literature, for more detailed information on any subject, are given in throughout the text and are listed at the end of this book.

Econometrics is not mathematics or statistics only, but econometrics clearly belongs to the economic discipline; this starting-point is obviously recognisable in the text. With this approach to teaching econometrics, students will get a clear understanding of econometric practice and the underlying econometric theory. The integration of econometric theory, its application and the use of econometric software distinguishes this book from existing econometric texts.

The best way to learn about doing quantitative economic research is to study econometrics where theory and empirical work alternate in an integrated way: immediately applying a discussed procedure on economic data by using econometric software. Students see the benefit of theoretically explained methods more clearly when they are directly applied in an empirical example. For this reason, a number of cases have been included in this book. Most of the cases can be considered as a ‘simulation’ of performing quantitative economic research. A case does not concern the solving of a mathematical or statistical problem; it uses real economic data to solve an economic question. The cases will help to realise the target of this first course, which is to learn what can be done with econometrics, and why econometrics is a compulsory subject for an economist.

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