Description
Book SynopsisA supplement such as Using SAS for Econometrics is quite essential for use in a classroom environment, for those attempting to learn SAS, and for quick and useful reference. The SAS documentation comes in many volumes, and several are thousands of pages long. This makes for a very difficult challenge when getting started with SAS. This volume spans several levels of econometrics. It is suitable for undergraduate students who will use canned SAS statistical procedures, and for graduate students who will use advanced procedures as well as direct programming in SAS's matrix language, discussed in chapter appendices. Material within the chapters is accessible to undergraduate and/or Masters students, with appendices to chapters devoted to more advanced materials and matrix programming.
Table of Contents1. Introducing SAS 1
2. The Simple Linear Regression Model 50
3. Interval Estimation and Hypothesis Testing 82
4. Prediction, Goodness-of-Fit, and Modeling Issues 103
5. The Multiple Regression Model 130
6. Further Inference in the Multiple Regression Model 162
7. Using Indicator Variables 190
8. Heteroskedasticity 207
9. Regression with Time-Series Data: Stationary Variables 264
10. Random Regressors and Moment-Based Estimation 304
11. Simultaneous Equations Models 346
12. Regression with Time-Series Data: Nonstationary Variables 369
13. Vector Error Correction and Vector Autoregressive Models 390
14. Time-Varying Volatility and ARCH Models 406
15. Panel Data Models 428
16. Qualitative and Limited Dependent Variable Models 468
Appendix A. Math Functions 522
Appendix B. Probability 528
Appendix C. Review of Statistical Inference 541
