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Applied Econometrics Using the SAS System [Paperback]

Vivek Ajmani
4.0 out of 5 stars  See all reviews (6 customer reviews)

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Book Description

June 15, 2009 0470129492 978-0470129494 1
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.


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Editorial Reviews

Review

“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)

 

From the Back Cover

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.


Product Details

  • Paperback: 328 pages
  • Publisher: Wiley-Interscience; 1 edition (June 15, 2009)
  • Language: English
  • ISBN-10: 0470129492
  • ISBN-13: 978-0470129494
  • Product Dimensions: 10.6 x 8.3 x 0.8 inches
  • Shipping Weight: 1.7 pounds (View shipping rates and policies)
  • Average Customer Review: 4.0 out of 5 stars  See all reviews (6 customer reviews)
  • Amazon Best Sellers Rank: #661,026 in Books (See Top 100 in Books)

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9 of 9 people found the following review helpful
5.0 out of 5 stars A useful book for both students and practitioners. August 5, 2009
By Robin
Format:Paperback
This book provides an introduction to a variety of analytical methods and how to implement them using SAS. Each topic covered starts with a concise overview of the theory, and demonstrates how to implement the method using matrix algebra with SAS IML, then discusses examples using the relevant SAS procedures. Many of the examples are drawn from standard textbooks used for university econometrics courses. Very few colleges seem to use SAS as the programming environment for econometrics or statistics courses even though SAS is pervasive in the business world where most students will spend their working careers. This book will be useful for both students and practitioners.
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2 of 2 people found the following review helpful
4.0 out of 5 stars Breadth of topics, and the importance of IML September 4, 2012
Format:Paperback|Verified Purchase
Many users have touched on SAS and get along well enough. For those that need to get it right, this text surveys many of the important aspects of econometrics, and explains how and why SAS does what it does. It also incorporates in a natural way, with usable examples, how the IML extension (Interactive Matrix Language) within SAS can explicitly calculate the quantities of interest, and prepare the practitioner to extend and refine methods independent of SAS releases. Knowing SAS procedures is good, knowing how and why these procedures are set up the way they are is the critical accomplishment of this text.
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2 of 2 people found the following review helpful
5.0 out of 5 stars It Looks Good February 17, 2012
Format:Paperback|Verified Purchase
This looks like a reference I will use a lot. Although I haven't been able to use it yet. SAS is sometimes so cryptic I think this will be able to save me a lot of time.
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Applied Econometric Using the SAS System
When, exactly, is the book gonna be available? I preordered the book from Global Investor Bookshop site only to have my order cancelled becuase they said "publishing is delayed until Mar 2009". Is this true or can I have a special copy.
I am due to start a SAS Econometrics project and I... Read More
Aug 22, 2008 by Data Piglet |  See all 7 posts
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