|
|
|
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 |
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. |
|
|
|