Econometric methods with applications in business and economics

This book has grown out of half a century of experience of teaching undergraduate econometrics at the Econometric Institute in Rotterdam. It combines a solid exposition of econometric methods with the application-oriented approach that is characteristic of the Rotterdam tradition in econometrics. Covering basic econometric methods (statistics, simple and multiple regression, nonlinear regression, maximum likelihood, generalized method of moments), this books explains their practical applications in modern business and economics and provides examples of these. Much attention is paid to the creative process of model building, with due attention for diagnostic testing and model improvement. The last part of the book is devoted to two major application areas: the econometrics of choice data (logit and probit, multinomial and ordered choice, truncated and censored data, duration data) and the econometrics of time series data (univariate time series, trends, volatility, vector autoregressions, and a brief discussion of SUR models, panel data, and simultaneous equations). In addition, data sets and (for instructors) full solutions of all exercises are available to readers. The book provides a thorough training in modern applications of econometrics to practical questions in business and economics. It is guided by a spirit of practical learning, and provides a wealth of examples and practical exercises based on a wide variety of data sets drawn from business and micro, macro, and international economics. The book will be suitable for introductory applied econometrics courses at undergraduate level up to more advanced courses at the graduate level.