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Applied Econometrics Using the SAS System

Applied Econometrics Using the SAS System by Vivek Ajmani
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The first cutting-edge guide to using the SAS® system for theanalysis of econometric data

Applied Econometrics Using the SAS® System is thefirst book of its kind to treat the analysis of basic econometricdata using SAS®, one of the most commonly used software toolsamong today's statisticians in business and industry. This bookthoroughly examines econometric methods and discusses how datacollected in economic studies can easily be analyzed using theSAS® system.

In addition to addressing the computational aspects ofeconometric data analysis, the author provides a statisticalfoundation by introducing the underlying theory behind each methodbefore delving into the related SAS® routines. The book beginswith a basic introduction to econometrics and the relationshipbetween classical regression analysis models and econometricmodels. Subsequent chapters balance essential concepts withSAS® tools and cover key topics such as:

  • Regression analysis using Proc IML and Proc Reg

  • Hypothesis testing

  • Instrumental variables analysis, with a discussion ofmeasurement errors, the assumptions incorporated into the analysis,and specification tests 

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

  • Panel data analysis

  • Discrete choice models, along with coverage of binary choicemodels and Poisson regression

  • Duration analysis models

Assuming only a working knowledge of SAS®, this book is aone-stop reference for using the software to analyze econometricdata. Additional features include complete SAS® code, Proc IMLroutines plus a tutorial on Proc IML, and an appendix withadditional programs and data sets. Applied Econometrics Usingthe SAS® System serves as a relevant and valuablereference for practitioners in the fields of business, economics,and finance. In addition, most students of econometrics are taughtusing GAUSS and STATA, yet SAS® is the standard in the workingworld; therefore, this book is an ideal supplement forupper-undergraduate and graduate courses in statistics, economics,and other social sciences since it prepares readers for real-worldcareers.

Wiley; June 2009
328 pages; ISBN 9781118210321
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Title: Applied Econometrics Using the SAS System
Author: Vivek Ajmani
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