By Vivek Ajmani
The 1st state-of-the-art advisor to utilizing the SAS® approach for the research of econometric facts
utilized Econometrics utilizing the SAS® process is the 1st ebook of its style to regard the research of uncomplicated econometric information utilizing SAS®, the most popular software program instruments between modern statisticians in company and undefined. This booklet completely examines econometric equipment and discusses how facts gathered in fiscal experiences can simply be analyzed utilizing the SAS® procedure.
as well as addressing the computational features of econometric info research, the writer offers a statistical beginning by means of introducing the underlying conception at the back of each one process ahead of delving into the comparable SAS® workouts. The booklet starts with a easy creation to econometrics and the connection among classical regression research versions and econometric types. next chapters stability crucial strategies with SAS® instruments and canopy key issues corresponding to:
Regression research utilizing Proc IML and Proc Reg
speculation trying out
Instrumental variables research, with a dialogue of size blunders, the assumptions included into the research, and specification checks
Heteroscedasticity, together with GLS and FGLS estimation, group-wise heteroscedasticity, and GARCH types
Panel info research
Discrete selection versions, in addition to assurance of binary selection types and Poisson regression
length research types
Assuming just a operating wisdom of SAS®, this booklet is a one-stop reference for utilizing the software program to investigate econometric facts. extra positive factors contain whole SAS® code, Proc IML workouts plus an educational on Proc IML, and an appendix with extra courses and knowledge units. utilized Econometrics utilizing the SAS® procedure serves as a proper and invaluable reference for practitioners within the fields of commercial, economics, and finance. moreover, such a lot scholars of econometrics are taught utilizing GAUSS and STATA, but SAS® is the normal within the operating global; hence, this e-book is a perfect complement for upper-undergraduate and graduate classes in facts, 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
94; Meyers, 1990, p. 103) ci1 b1 þ ci2 b2 þ . . þ cik bk ¼ di for i ¼ 1; . . ; j To see the general form of C, consider the following hypothetical model: y ¼ b1 þ b2 X1 þ b3 X2 þ b4 X3 þ b5 X4 þ b6 X5 þ «: A linear restriction of the form b2 À b3 ¼ 0 can be written as 0 Â b1 þ 1 Â b2 À1 Â b3 þ 0 Â b4 þ 0 Â b5 þ 0 Â b6 ¼ 0: The C matrix is therefore given by C ¼ ½ 0 1 À1 0 0 0 and the vector d is given by d ¼ . Applied Econometrics Using the SASÒ System, by Vivek B. Ajmani Copyright Ó 2009 John Wiley & Sons, Inc.
See Montgomery (1991), Page (1954), and Woodall and Ncube (1985) for a discussion of the CUSUM procedure in quality control. See the documentation for Proc Autoreg from the SAS Institute, Brown et al. (1975), and Greene (2003) for a discussion of the CUSUM procedure to detect structural breaks in the data. This test is based on the cumulative sum of the least squares residuals. 001 Criteria Met. 11. Chow test of structural break in gasoline data using Proc Model. 11. (Continued) then the CUSUM procedure can be defined as (Baltagi, 2008, p.
Proc reg data=Rest_Invst_Eq; model Invest=interest delta_p output T; restrict interest+delta_p=0; run; Note that Proc Reg also provides the t test for the restriction of interest. If we use the ‘Test’ statement instead of the ‘Restrict’ statement, we will get the OLS estimates of the parameters followed by the F test on the restriction. 4) are given below. Also note that the p value for the test on the single restriction matches up to what was obtained using Proc IML. At the 5% type 1 error level, we would reject the null hypothesis that the sum of the coefficients equal 0.