Applied Econometrics Using The Sas System

Applied Econometrics Using the SAS(R) System is the first book of its kind to treat the analysis of basic econometric data using SAS(R), one of the most commonly used software tools among today's statisticians in business and industry. This book thoroughly examines econometric methods and discusses how data collected in economic studies can easily be analyzed using the SAS(R) system.

In addition to addressing the computational aspects of econometric data analysis, the author provides a statistical foundation by introducing the underlying theory behind each method before delving into the related SAS(R) routines. The book begins with a basic introduction to econometrics and the relationship between classical regression analysis models and econometric models. Subsequent chapters balance essential concepts with SAS(R) tools and cover key topics such as:

Regression analysis using Proc IML and Proc Reg

Hypothesis testing

Instrumental variables analysis, with a discussion of measurement errors, the assumptions incorporated into the analysis, specification tests, and proxy variables

Heteroscedasticity, including GLS and FGLS estimation, group-wise heteroscedasticity, and GARCH models

Panel data analysis

Discrete choice models, along with coverage of binary choice models, Poisson regression, and Heckman's two-step analysis

Duration analysis models

Assuming only a working knowledge of SAS(R), this book is a one-stop reference for using the software to analyze econometric data. Additional features include complete SAS(R) code, Proc IML routines plus a tutorial on Proc IML, and an appendix with additional programs and data sets. Applied Econometrics Using the SAS(R) System serves as a relevant and valuable reference for practitioners in the fields of business, economics, and finance. In addition, most students of econometrics are taught using GAUSS and STRATA, yet SAS(R) is the standard in the working world; therefore, this book is an ideal supplement for upper-undergraduate and graduate courses in statistics, economics, and other social sciences since it prepares readers for real-world careers.

While many available books address statistical analysis using the SAS system, this is the first to cover SAS analysis of econometric data. This unique resource first introduces econometrics and econometric models, before describing how to analyze data using SAS. Topical coverage includes classical regression analysis, theory of least squares, models for panel data, systems of equations, and discrete choice models. An invaluable tool for advanced undergraduates and graduates learning about econometric analyses, statisticians, and econometricians in industry, this book also features a tutorial on Proc IML, and an appendix which provides the programs and data sets.