Applied Econometrics Using the SAS System / Edition 1

Paperback (Print)
Buy New
Buy New from BN.com
$77.48
Used and New from Other Sellers
Used and New from Other Sellers
from $78.35
Usually ships in 1-2 business days
(Save 22%)
Other sellers (Paperback)
  • All (13) from $78.35   
  • New (9) from $78.35   
  • Used (4) from $99.94   

Overview

The first cutting-edge guide to using the SAS® system for the analysis of econometric data

Applied Econometrics Using the SAS® System is the first book of its kind to treat the analysis of basic econometric data using SAS®, one of the most commonly used software tools among today's statisticians in business and industry. This book thoroughly examines econometric methods and discusses how data collected in economic studies can easily be analyzed using the SAS® system.

In addition to addressing the computational aspects of econometric data analysis, the author provides a statistical foundation by introducing the underlying theory behind each method before delving into the related SAS® routines. The book begins with a basic introduction to econometrics and the relationship between classical regression analysis models and econometric models. Subsequent chapters balance essential concepts with SAS® tools and cover key topics such as:

  • Regression analysis using Proc IML and Proc Reg
  • Hypothesis testing
  • Instrumental variables analysis, with a discussion of measurement errors, the assumptions incorporated into the analysis, and specification tests 
  • Heteroscedasticity, including GLS and FGLS estimation, group-wise heteroscedasticity, and GARCH models
  • Panel data analysis
  • Discrete choice models, along with coverage of binary choice models and Poisson regression
  • Duration analysis models

Assuming only a working knowledge of SAS®, this book is a one-stop reference for using the software to analyze econometric data. Additional features include complete SAS® code, Proc IML routines plus a tutorial on Proc IML, and an appendix with additional programs and data sets. Applied Econometrics Using the SAS® System serves as a relevant and valuable reference for practitioners in the fields of business, economics, and finance. In addition, most students of econometrics are taught using GAUSS and STATA, yet SAS® is the standard in the working world; therefore, this book is an ideal supplement for upper-undergraduate and graduate courses in statistics, economics, and other social sciences since it prepares readers for real-world careers.

Read More Show Less

Editorial Reviews

From the Publisher
“The text serves as a relevant and valuable reference for practitioners in the fields of business, economics, and finance. In addition, most students of econometrics are taught using GAUSS and STATA, yet SAS is the standard in the working world; therefore, this book is an ideal supplement for upper-undergraduate and graduate courses in statistics, economics, and other social sciences since it prepares readers for real-world careers.” (Zentralblatt MATH, 2012)
Read More Show Less

Product Details

  • ISBN-13: 9780470129494
  • Publisher: Wiley
  • Publication date: 6/15/2009
  • Edition description: New Edition
  • Edition number: 1
  • Pages: 328
  • Sales rank: 676,762
  • Product dimensions: 8.40 (w) x 10.90 (h) x 0.50 (d)

Meet the Author

Vivek B. Ajmani, PhD, is Senior Marketing Analyst at U.S. Bank in St. Paul, Minnesota, where he applies econometric modeling, data mining, and predictive modeling techniques to his work with innovative banking products and solutions. Dr. Ajmani has also held positions at Ameriprise Financial, General Mills, Intel Corporation, and the 3M Company, and he has received honors for his use of statistics in the development of quality products.

Read More Show Less

Table of Contents

Preface.

Acknowledgments.

1 Introduction to Regression Analysis.

1.1 Introduction.

1.2 Matrix Form of the Multiple Regression Model.

1.3 Basic Theory of Least Squares.

1.4 Analysis of Variance.

1.5 The Frisch–Waugh Theorem.

1.6 Goodness of Fit.

1.7 Hypothesis Testing and Confidence Intervals.

1.8 Some Further Notes.

2 Regression Analysis Using Proc IML and Proc Reg.

2.1 Introduction.

2.2 Regression Analysis Using Proc IML.

2.3 Analyzing the Data Using Proc Reg.

2.4 Extending the Investment Equation Model to the Complete Data Set.

2.5 Plotting the Data.

2.6 Correlation Between Variables.

2.7 Predictions of the Dependent Variable.

2.8 Residual Analysis.

2.9 Multicollinearity.

3 Hypothesis Testing.

3.1 Introduction.

3.2 Using SAS to Conduct the General Linear Hypothesis.

3.3 The Restricted Least Squares Estimator.

3.4 Alternative Methods of Testing the General Linear Hypothesis.

3.5 Testing for Structural Breaks in Data.

3.6 The CUSUM Test.

3.7 Models with Dummy Variables.

4 Instrumental Variables.

4.1 Introduction.

4.2 Omitted Variable Bias.

4.3 Measurement Errors.

4.4 Instrumental Variable Estimation.

4.5 Specification Tests.

5 Nonspherical Disturbances and Heteroscedasticity.

5.1 Introduction.

5.2 Nonspherical Disturbances.

5.3 Detecting Heteroscedasticity.

5.4 Formal Hypothesis Tests to Detect Heteroscedasticity.

5.5 Estimation of b Revisited.

5.6 Weighted Least Squares and FGLS Estimation.

5.7 Autoregressive Conditional Heteroscedasticity.

6 Autocorrelation.

6.1 Introduction.

6.2 Problems Associated with OLS Estimation Under Autocorrelation.

6.3 Estimation Under the Assumption of Serial Correlation.

6.4 Detecting Autocorrelation.

6.5 Using SAS to Fit the AR Models.

7 Panel Data Analysis.

7.1 What is Panel Data?

7.2 Panel Data Models.

7.3 The Pooled Regression Model.

7.4 The Fixed Effects Model

7.5 Random Effects Models..

8 Systems of Regression Equations.

8.1 Introduction.

8.2 Estimation Using Generalized Least Squares.

8.3 Special Cases of the Seemingly Unrelated Regression Model.

8.4 Feasible Generalized Least Squares.

9 Simultaneous Equations.

9.1 Introduction.

9.2 Problems with OLS Estimation.

9.3 Structural and Reduced Form Equations.

9.4 The Problem of Identification.

9.5 Estimation of Simultaneous Equation Models.

9.6 Hausman’s Specification Test.

10 Discrete Choice Models.

10.1 Introduction.

10.2 Binary Response Models.

10.3 Poisson Regression.

11 Duration Analysis.

11.1 Introduction.

11.2 Failure Times and Censoring.

11.3 The Survival and Hazard Functions.

11.4 Commonly Used Distribution Functions in Duration Analysis.

11.5 Regression Analysis with Duration Data.

12 Special Topics.

12.1 Iterative FGLS Estimation Under Heteroscedasticity.

12.2 Maximum Likelihood Estimation Under Heteroscedasticity.

12.3 Harvey’s Multiplicative Heteroscedasticity.

12.4 Groupwise Heteroscedasticity.

12.5 Hausman–Taylor Estimator for the Random Effects Model.

12.6 Robust Estimation of Covariance Matrices in Panel Data.

12.7 Dynamic Panel Data Models.

12.8 Heterogeneity and Autocorrelation in Panel Data Models.

12.9 Autocorrelation in Panel Data.

Appendix A Basic Matrix Algebra for Econometrics.

B.1 Assigning Scalars.

Appendix C Simulating the Large Sample Properties of the OLS Estimators.

Appendix D Introduction to Bootstrap Estimation.

Appendix E Complete Programs and Proc IML Routines.

References.

Index

Read More Show Less

Customer Reviews

Average Rating 4
( 1 )
Rating Distribution

5 Star

(0)

4 Star

(1)

3 Star

(0)

2 Star

(0)

1 Star

(0)

Your Rating:

Your Name: Create a Pen Name or

Barnes & Noble.com Review Rules

Our reader reviews allow you to share your comments on titles you liked, or didn't, with others. By submitting an online review, you are representing to Barnes & Noble.com that all information contained in your review is original and accurate in all respects, and that the submission of such content by you and the posting of such content by Barnes & Noble.com does not and will not violate the rights of any third party. Please follow the rules below to help ensure that your review can be posted.

Reviews by Our Customers Under the Age of 13

We highly value and respect everyone's opinion concerning the titles we offer. However, we cannot allow persons under the age of 13 to have accounts at BN.com or to post customer reviews. Please see our Terms of Use for more details.

What to exclude from your review:

Please do not write about reviews, commentary, or information posted on the product page. If you see any errors in the information on the product page, please send us an email.

Reviews should not contain any of the following:

  • - HTML tags, profanity, obscenities, vulgarities, or comments that defame anyone
  • - Time-sensitive information such as tour dates, signings, lectures, etc.
  • - Single-word reviews. Other people will read your review to discover why you liked or didn't like the title. Be descriptive.
  • - Comments focusing on the author or that may ruin the ending for others
  • - Phone numbers, addresses, URLs
  • - Pricing and availability information or alternative ordering information
  • - Advertisements or commercial solicitation

Reminder:

  • - By submitting a review, you grant to Barnes & Noble.com and its sublicensees the royalty-free, perpetual, irrevocable right and license to use the review in accordance with the Barnes & Noble.com Terms of Use.
  • - Barnes & Noble.com reserves the right not to post any review -- particularly those that do not follow the terms and conditions of these Rules. Barnes & Noble.com also reserves the right to remove any review at any time without notice.
  • - See Terms of Use for other conditions and disclaimers.
Search for Products You'd Like to Recommend

Recommend other products that relate to your review. Just search for them below and share!

Create a Pen Name

Your Pen Name is your unique identity on BN.com. It will appear on the reviews you write and other website activities. Your Pen Name cannot be edited, changed or deleted once submitted.

 
Your Pen Name can be any combination of alphanumeric characters (plus - and _), and must be at least two characters long.

Continue Anonymously
Sort by: Showing 1 Customer Reviews
  • Posted June 2, 2009

    Ambitious effort for a first edition!

    The author's effort is ambitious and he succeeds in a way by accumulating the commonly used econometric methods under "one roof." As long as the reader realizes that the intent of the author is to convey the "How to do it in SAS" message, the reader will be satisfied. As the author states...this is not a substitute for the standard econometric texts. The SAS codes are easy to read and requires minimal knowledge of the software. Students will recognize the data sets from their study of Greene and Wooldridge. I liked the book for the clarity of the SAS code and the different procedures that exist which permits analysis of econometric data.

    Was this review helpful? Yes  No   Report this review
Sort by: Showing 1 Customer Reviews

If you find inappropriate content, please report it to Barnes & Noble
Why is this product inappropriate?
Comments (optional)