Description:

This textbook presents econometrics as a powerful set of data–analytic techniques central to empirical research in economics and related disciplines. Designed with clarity and accessibility in mind, the book integrates theoretical foundations with practical applications to help undergraduate and postgraduate students grasp both the conceptual and computational aspects of econometrics.

The text covers a broad spectrum of econometric techniques applicable to cross–sectional, time series, and panel data. Beginning with the classical linear regression model, it systematically introduces extensions that relax standard assumptions, handle qualitative variables, and explore issues of model specification and estimation. Special emphasis is placed on the application of these models using real–world datasets, such as the Periodic Labour Force Survey (PLFS) and the Annual Survey of Industries (ASI), with practical illustrations implemented using Stata 18.

The book addresses key challenges in time series econometrics, including nonstationarity, unit roots, structural breaks, and stochastic trends, while offering a thorough understanding of advanced topics like cointegration, vector autoregression and conditional heteroscedasticity. The importance of time-varying volatility and conditional heteroscedasticity is also explored in depth.

Panel data econometrics forms another core component, highlighting the advantages of combining time series and cross–sectional dimensions. Both static and dynamic panel models are discussed, along with unit root testing in panel settings. The empirical applications draw attention to important policy–relevant questions, such as gender wage disparities, the finance–growth relationship, and the dynamics of budget deficits, debt, and economic growth in India.

By blending econometric theory with applied case studies and computational techniques, this book serves as a comprehensive and student–friendly resource for mastering econometrics as it is practiced in real–world economic research today.

KEY FEATURES

• Covers the statistical tools needed to understand empirical economic research and to plan and execute independent research projects.

• Provides balanced discussion of the theories with software applications.

• Various concepts and techniques of econometric analysis are supported by carefully developed examples with the use of statistical software package.

• Bridges the gap between learning econometrics and learning how to use software.

• Uses Stata help manuals from the Stata Corporation for detailed explanation and syntax for all the commands.

• Provides three empirical study by applying appropriate econometric methods using cross–section, time series and panel data.

TARGET AUDIENCE

• B.A. Economics [B.A. Economics (Hons.)]

• M.A. Economics

• M.A. Econometrics