By Vivek Ajmani
The 1st state-of-the-art advisor to utilizing the SAS® process for the research of econometric facts
utilized Econometrics utilizing the SAS® approach is the 1st ebook of its sort to regard the research of easy econometric facts utilizing SAS®, some of the most widespread software program instruments between trendy statisticians in company and undefined. This e-book completely examines econometric tools and discusses how information accumulated in financial reviews can simply be analyzed utilizing the SAS® process.
as well as addressing the computational facets of econometric info research, the writer offers a statistical beginning by way of introducing the underlying conception at the back of every one strategy sooner than delving into the comparable SAS® workouts. The e-book starts off with a uncomplicated advent to econometrics and the connection among classical regression research versions and econometric versions. next chapters stability crucial recommendations with SAS® instruments and canopy key issues equivalent to:
Regression research utilizing Proc IML and Proc Reg
speculation trying out
Instrumental variables research, with a dialogue of size blunders, the assumptions integrated into the research, and specification checks
Heteroscedasticity, together with GLS and FGLS estimation, group-wise heteroscedasticity, and GARCH versions
Panel info research
Discrete selection versions, in addition to assurance of binary selection types and Poisson regression
period research types
Assuming just a operating wisdom of SAS®, this ebook is a one-stop reference for utilizing the software program to research econometric facts. extra positive factors contain whole SAS® code, Proc IML exercises plus an educational on Proc IML, and an appendix with extra courses and information units. utilized Econometrics utilizing the SAS® procedure serves as a proper and priceless reference for practitioners within the fields of commercial, economics, and finance. furthermore, so much scholars of econometrics are taught utilizing GAUSS and STATA, but SAS® is the normal within the operating global; as a result, this e-book is a perfect complement for upper-undergraduate and graduate classes in information, economics, and different social sciences because it prepares readers for real-world careers.
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Additional resources for Applied Econometrics Using the SAS System
It may happen (and it often does) that many variables measure similar phenomena. As an example, consider modeling the attrition behavior of consumers with respect to Auto & Home insurance products. Three variables that could be studied are the number of premium changes, the number of positive premium changes, and the number of negative premium changes over the life of the policy holders tenure with the company. We should expect the number of premium changes to be positively correlated with the number of positive (negative) premium changes.
The column labeled Dependent Variable gives the observed values of the dependent variable, which is Real_Invest. The next column gives the predicted value of the dependent variable y^ and is the result of the ‘p’ option in Proc Reg. The next three columns are the result of using the ‘clm’ option. We get the standard error of the conditional mean at each observation, E(y j x0), and the 95% confidence interval for this. As explained in Chapter 1, the standard error of this conditional qffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi expectation is given by s ^ xT0 ðXT XÞÀ1 xT0 .
As discussed by the author on pages 102–103, the objective is to determine if the Cobb–Douglas model given by lnðYÞ ¼ b1 þ b2 lnðLÞ þ b3 lnðKÞ þ « ALTERNATIVE METHODS OF TESTING THE GENERAL LINEAR HYPOTHESIS 35 is more appropriate for the data than the translog model given by lnðYÞ ¼ b1 þ b2 lnðLÞ þ b3 lnðKÞ þ b4 ð12 ln2 LÞ þ b5 ð12ln2 KÞ þ b6 lnðLÞlnðKÞ þ «: Here, Yis the output produced, L is the labor and K is the capital involved. The Cobb–Douglas model is produced by the restriction b4 ¼ b5 ¼ b6 ¼ 0.