Econometric estimation



 

Summary | Subject | Model | Data | Estimation | Paper | Tutorials | Workshops

 



After building your model, you have to estimate it. You will use quantitative methods and statistical software for this purpose. Here are an econometric bibliography and some softwares to help you in your task.

Advice : please verify each assumption beyond the econometric method you use. For instance, ordinary least squares estimation suppose residuals independency. That's why you should verify this assumption when you use this method with time series by checking the Durbin-Watson test (about first order residual correlation and only for models without lagged dependent variable as exogenous variable). 

You should apply a large set of statistical tests to check the quality of your model. Econometric literature will supply you with a huge quantity of statistical tests. They are often available in your statistical software.
 


Econometric bibliograhy


GREENE William H., Econometric Analysis, code BCU/E 330.105 TVA 76540
econometrician bible
 
KENNEDY Peter, A Guide to Econometircs, cote BCU/E 330.105 UMA 72766
a true guide to econometrics, clear, well structured, complete and intuitive
 
AMEMIYA Takeshi, Advanced Econometrics, code BCU/E 330.105 SDA 44843
the most rigorous book in the econometric field
 
INTRILIGATOR Michael D.,BODKIN Ronald G., HSIAO Cheng,
Econometric Models, Techniques, and Applications, code BCU/E 330.105 UMA 7524
link narrowly economic and econometric theories
 
GRIFFITHS William E., JUDGE George G.,
The theory and practice of econometrics, code BCU/E 330.105 SDA 27481
often used
 
GRIFFITHS William E., HILL R. Carter, JUDGE George G.,
Learning and practicing econometrics, code BCU/E 330.105 TVB 11008
often used
 
PINDYCK Robert S., RUBINFELD Daniel L.,
Econometric models and economic forecasts, code BCU/E 330.105 UMA 27762
practical
 
HAMILTON James D., Time Series Analysis, code BCU/E 311 TVB 12115
one of the best book in time series analysis
 
HSIAO Cheng, Analysis of Panel Data, code BCU/E 330.105 TVA 1221
one of the best book in panel data econometrics
 
MADDALA G.S., Limited-dependent and qualitative variables in econometrics, code BCU/E 330.105 SDA 47672
one of the best book about qualitative variables in econometrics

 
 

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Econometric software


Eviews
Software available on the HEC's network.
It would be very useful to read the software help (very well done).
We can introduce you to the use of this software by reading our Eviews tutorial.
But Stata is even better !!! In fact, the best econometric software in the world.
Learn to use it through the UCLA "Stata" Web Page.

 
TSP
Very similar to Eviews but working on DOS instead of Windows.
Software available on the HEC's network too.
 
SPSS
Statistical software availabe on the HEC's network.
 
Microsoft Excel
I'm sure you know it. This software is available on the HEC's network too.
 
Webec
Webec's links to statistical, econometric and economic softwares.
 
Bill Goffe's statistical and computational software links
Software links of the site Resources for the Economists on the Internet.

 
 

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