This textbook is second edition of the highly used earlier text containing the same topics, divided similarly into four parts, but with major revisions and using STATA 18 and R (previous version used STATA 15.1). Part I is a discussion on introductory econometric methods covering the syllabus of econometrics at the graduate level courses. This part of the book provides an introduction to basic econometric methods for data analysis that economists and other social scientists use to estimate the economic and social relationships, and to test hypotheses about them, using real-world data. There are five chapters in this section covering the data management issues, details of linear regression models, the related problems due to violation of the classical assumptions, regression diagnostics and regression analysis with qualitative regressors.
Part II covers some advanced topics used frequently in empirical study with cross section data. This part contains three chapters to include the problems of endogeneity and instrumental variable regression, and models with limited dependent variables. Special emphasis is given to the econometric models with qualitative and limited dependent variables because of its popularity in empirical research with cross section data.
Part III deals with time series econometric analysis. Time series data have some special features and they should be handled extremely cautiously. This book covers extensively both the univariate and multivariate time series econometric models and their applications with software programming in six chapters.
Part IV takes care of panel data analysis in four chapters. Different aspects of fixed effects and random effects are discussed here. This part extends panel data analysis by taking dynamic panel data models which are most suitable for macroeconomic research.
All chapters in this book are the applications of econometric models by using Stata 18 and R. Simple presentation of some difficult topics in a rigorous manner is the major strength of this book. The topics covered in this book are basics and necessary for econometrics training of every student in economics. In this edition, each chapter has been addressed in more compact manner by incorporating some additional topics. The book thus aims to enhance their interest on empirical research in economics and other fields of social science.
Chapter 1: Introduction to Econometrics and Statistical Software.-
Chapter 2: Linear Regression Model: Properties and Estimation.
Chapter 3:
Linear Regression Model: Goodness of Fit and Testing of Hypothesis.
Chapter
4: Linear Regression Model: Relaxing the Classical Assumptions.
Chapter 5:
Analysis of Collinear Data: Multicollinearity.
Chapter 6: Linear Regression
Model: Qualitative Variables as Predictors.
Chapter 7: Limited Dependent
Variable Model.
Chapter 8: Multivariate Analysis.
Chapter 9: Time Series:
Data Generating Process.
Chapter 10: Stationary Time Series.
Chapter 11:
Nonstationarity, Unit Root and Structural Break.
Chapter 12: Cointegration,
Error Correction and Vector Autoregression.
Chapter 13: Modelling Volatility
Clustering.
Chapter 14:Time Series Forecasting.
Chapter 15: Panel Data
Analysis: Static Models.
Chapter 16: Panel Data Static Model: Testing of
Hypotheses.
Chapter 17: Panel Unit Root Test.
Chapter 18: Dynamic Panel
Model.
Panchanan Das is Professor of Economics and has been teaching Econometrics at the Department of Economics of the University of Calcutta (India) for more than two decades. Development economics, Indian economics, and applied macroeconomics are the broad research area of Prof. Das. He is associated with Indian Association of Research in National Income and Wealth (IARNIW), International Association of Research in Income and Wealth (IARIW) and Indian Society of Labour Economics (ISLE) by contributing research articles regularly in the conferences and seminars of these associations. Prof. Das has done a lot of research using Indian official statistics. The first edition of this book was published in 2019 by Springer and is used extensively by researchers, practitioners and students at Masters level. The German edition of this book was published in 2023 and has also shown very high usage. He has also published several articles on Indian macroeconomic problems, labour market issues, inequality and poverty in referred journals like Economic and Political Weekly, Asian Development Review, American Journal of Applied Sciences, Journal of Income and Wealth etc. and has also contributed chapters in different edited volumes. He was a major contributor of West Bengal Development Report 2008, published in collaboration with the Planning Commission, Government of India.
