An Introduction to Modern Econometrics Using Stata

by Christopher F. Baum

Integrating a contemporary approach to econometrics with the powerful computational tools offered by Stata, An Introduction to Modern Econometrics Using Stata focuses on the role of method-of-moments estimators, hypothesis testing, and specification analysis and provides practical examples that show how the theories are applied to real data sets using Stata.

As an expert in Stata, the author successfully guides readers from the basic elements of Stata to the core econometric topics. He first describes the fundamental components needed to effectively use Stata. The book then covers the multiple linear regression model, linear and nonlinear Wald tests, constrained least-squares estimation, Lagrange multiplier tests, and hypothesis testing of nonnested models. Subsequent chapters center on the consequences of failures of the linear regression model's assumptions. The book also examines indicator variables, interaction effects, weak instruments, underidentification, and generalized method-of-moments estimation. The final chapters introduce panel-data analysis and discrete- and limited-dependent variables and the two appendices discuss how to import data into Stata and Stata programming.

Presenting many of the econometric theories used in modern empirical research, this introduction illustrates how to apply these concepts using Stata. The book serves both as a supplementary text for undergraduate and graduate students and as a clear guide for economists and financial analysts.

Genres: Economics

341 pages, Paperback

First published August 17, 2006

Reviews

[Hannah]

This book came out too late to be useful as a textbook for me, but apparently it is all the rage: part theory, part STATA manual. Which, like, what a concept: a textbook that teaches you about modeling and then actually gives you the programming skills to do it by yourself! And can I just say, I hope having software accompany the book eliminates instructor's' temptation to have students run regressions by hand "just to see how it works," because I will never get back the hours of my life I spent doing that.

[Stephen Cranney · Rating 4 out of 5]

With the low cost of high-speed computing nowadays, this is how statistics should be taught. It accompanies the theory and rationale underlying the procedures with the relevant Stata instructions and syntax.

[Diego · Rating 4 out of 5]

Una gran guia para aprender a usar Stata de forma rápida partiendo de un entendimiento previo de teoría económica básica y de estadística y de elementos de econometría.