This accessible textbook introduces the foundations of applied econometrics and statistics for undergraduate students …. It covers key topics in econometrics by using step-by-step examples in Gretl and R, providing a guide to using … and isolating effects, instrumental variables, dummy variables, non-linear effects, probability models, heteroskedasticity …

estimation, that incorporates heteroskedasticity in a natural way and does not use a generalized inverse. A Monte Carlo study … examines the performance of the statistic for different heteroskedasticity-robust variance estimators and different skedastic … empirical power, how one corrects for heteroskedasticity matters. We also compare its performance with that of the Wald …

asymptotically independent. We develop tests for the proportionality function and for the validity of the model. We show through … simulations the good performance of tests for tail homoscedasticity. The results are applied to stock market returns. A main tool …