Econometric Analysis by Examples
<<< In Progress >>>
This project is based on the first author's book on Computational Econometrics: GAUSS Programming for Econometricians and Financial Analysts (ETEXT Textbook Publishing, 2001). Now, all the examples are converted from Gauss to R and Python taking advantage of these open source language software and packages. We recommend using RStudio with R and Spyder with Python.
This book project provides a hands-on approach to econometric modeling and analysis using R and/or Python. It is aimed at students, reserchers, and professionals, with some prior knowledge of economics and statistics, who want to increase their econometrics vocabulary while learning a freely available yet powerful computer language. Programming experience is not assumed but will be gained by working on more than 70 examples of basic econometric modeling and analysis. For each example, the codes can be viewed and downloaded with the links to the data file(s) and the R and Python package(s) in use. The document of the book chapters will be provided soon.
Kuan-Pin Lin is a Professor of Economics at Portland State University. His fields of specialization cover econometrics, mathematical economics, and computational economics. Before accepting his current appointment at PSU, he was a Postdoctoral Research Fellow at Harvard University. In 1986, he was a Fulbright-Hayes Research Scholar with projects in Singapore, Taiwan, and China. In addition to teaching and research, he has written numerous computer programs. His work has appeared in a variety of publications including the Journal of Finance, Journal of Mathematical Economics, Journal of Economic Dynamics and Control, Economics Letters, Economic Modelling, and Computational Economics (formerly Computer Science in Economics and Management).
WISER-Club is a group of enthusiastic R/Python users (students, researchers and faculty members) at The Wang Yanan Institute for Studies in Economics, Xiamen University. For this book project, special thanks to the assistence of Fan Yu, Xian Lv, Yingdong Liu, Jingkun Qiu, and Junzhuo Gao.
| Chapter I | Introduction | |||
| Chapter II | R Basics | Python Basics | Data | Topic |
| Example 2.1 | Example 2.1 | -- | Let's Begin | |
| Example 2.2 | Example 2.2 | LONGLEY.TXT | File I/O | |
| Example 2.3 | Example 2.3 | " | Data Transformation | |
| Example 2.4 | Example 2.4 | " | Data Analysis | |
| Chapter III | Linear Regression Models | |||
| Example 3.1 | Example 3.1 | LONGLEY.TXT | Simple Regression | |
| Example 3.2 | Example 3.2 | " | Residual Analysis | |
| Example 3.3 | Example 3.3 | " | Multiple Regression | |
| Example 3.4 | Example 3.4 | CJX.TXT | Cobb-Douglas Production Function | |
| Example 3.5 | Example 3.5 | " | Testing for Structural Change | |
| Example 3.6 | Example 3.6 | " | Residual Diagnostics | |
| Chapter IV | Dummy Variables | |||
| Example 4.1 | Example 4.1 | ALMON.TXT | Seasonal Dummy Variables | |
| Example 4.2 | Example 4.2 | " | Dummy Variable Trap | |
| Example 4.3 | Example 4.3 | CJX.TXT | Testing for Structural Change: Dummy Variable Approach | |
| Chapter V | Multicollinearity | |||
| Example 5.1 | Example 5.1 | LONGLEY.TXT | Condition Number and Correlation Matrix | |
| Example 5.2 | Example 5.2 | " | Theil's Measure of Multicollinearity | |
| Example 5.3 | Example 5.3 | " | Variance Inflation Factors (VIF) | |
| Example 5.4 | Example 5.4 | " | Ridge Regression and Principal Components | |
| Chapter VI | Nonlinear Optimization | |||
| Example 6.1 | Example 6.1 | -- | One-Variable Scalar-Valued Function | |
| Example 6.2 | Example 6.2 | -- | Two-Variable Scalar-Valued Function | |
| Example 6.3 | Example 6.3 | YED20.TXT | Estimating Probability Distributions | |
| Example 6.4 | Example 6.4 | " | Mixtures of Probability Distributions | |
| Example 6.5 | Example 6.5 | JUDGE.TXT | Minimizing Sum-of-Squares Function | |
| Example 6.6 | Example 6.6 | " | Maximizing Log-Likelihood Function | |
| Chapter VII | Nonlinear Regression Models | |||
| Example 7.1 | Example 7.1 | JUDGE.TXT | CES Production Function | |
| Example 7.2 | Example 7.2 | MONEY.TXT | Box-Cox Variable Transformation | |
| Example 7.3 | Example 7.3 | JUDGE.TXT | Hypothesis Testings for Nonlinear Models | |
| Example 7.4 | Example 7.4 | MONEY.TXT | Likelihood Ratio Tests of Money Demand Equation | |
| Chapter VIII | Discrete and Limited Dependent Variables | |||
| Example 8.1 | Example 8.1 | GRADE.TXT | Probit Model of Economic Education | |
| Example 8.2 | Example 8.2 | " | Logit Model of Economic Education | |
| Example 8.3 | Example 8.3 | FAIR.TXT | Tobit Analysis of Extramarital Affairs | |
| Chapter IX | Heteroscedasticity | |||
| Example 9.1 | Example 9.1 | GREENE.TXT | Heteroscedasticity-Consistent Covariance Matrix | |
| Example 9.2 | Example 9.2 | " | Goldfeld-Quandt Test and Correction for Heteroscedasticity | |
| Example 9.3 | Example 9.3 | " | Breusch-Pagan Test and Correction for Heteroscedasticity | |
| Example 9.4 | Example 9.4 | " | Multiplicative Heteroscedasticity | |
| Chapter X | Autocorrelation | |||
| Example 10.1 | Example 10.1 | CJX.TXT | Heteroscedasticity-Autocorrelation-Consistent Covariance Matrix | |
| Example 10.2 | Example 10.2 | " | Tests for Autocorrelation | |
| Example 10.3 | Example 10.3 | " | Cochrane-Orcutt Iterative Procedure | |
| Example 10.4 | Example 10.4 | " | Hildreth-Lu Grid Search Procedure | |
| Example 10.5 | Example 10.5 | " | Higher Order Autocorrelation | |
| Example 10.6 | Example 10.6 | " | ARMA(1,1) Error Structure | |
| Example 10.7 | Example 10.7 | " | Nonlinear ARMA Model Estimation | |
| Chapter XI | Distributed Lag Models | |||
| Example 11.1 | Example 11.1 | USYC87.TXT | Testing for Autocorrelation with Lagged Dependent Variable | |
| Example 11.2 | Example 11.2 | " | Instrumental Variable Estimation | |
| Example 11.3 | Example 11.3 | ALMON.TXT | Almon Lag Model Revisited | |
| Example 11.4 | Example 11.4 | " | Almon Lag Model Once More | |
| Chapter XII | Generalized Method of Moments | |||
| Example 12.1 | Example 12.1 | YED20.TXT | Gamma Probability Distribution | |
| Example 12.2 | Example 12.2 | GMMQ.TXT | A Nonlinear Rational Expectation Model | |
| Example 12.3 | Example 12.3 | USYC87.TXT | GMM Estimation of U. S. Consumption Function | |
| Chapter XIII | System of Simultaneous Equations | |||
| Example 13.1 | Example 13.1 | KLEIN.TXT | Klein Model I | |
| Example 13.2 | Example 13.2 | " | Klein Model I Reformulated | |
| Example 13.3 | Example 13.3 | BWQ.TXT BWP.TXT | Berndt-Wood Model | |
| Example 13.4 | Example 13.4 | " | Berndt-Wood Model Extended | |
| Example 13.5 | Example 13.5 | KLEIN.TXT | Klein Model I Revisited | |
| Chapter XIV | Unit Roots and Cointegration | |||
| Example 14.1 | Example 14.1 | USYC87.TXT | Augmented Dickey-Fuller Test for Unit Roots | |
| Example 14.2 | Example 14.2 | " | Cointegration Test: Engle-Granger Approach | |
| Example 14.3 | Example 14.3 | " | Cointegration Test: Johansen Approach | |
| Chapter XV | Time Series Analysis | |||
| Example 15.1 | Example 15.1 | BONDS.TXT | ARMA Analysis of Bond Yields | |
| Example 15.2 | Example 15.2 | USINF.TXT | ARMA Analysis of U. S. Inflation | |
| Example 15.3 | Example 15.3 | " | ARCH Model of U. S. Inflation | |
| Example 15.4 | Example 15.4 | DMBP.TXT | GARCH Model of Deutschemark-British Pound Exchange Rate I | |
| Example 15.5 | Example 15.5 | " | GARCH Model of Deutschemark-British Pound Exchange Rate II | |
| Chapter XVI | Panel Data | |||
| Example 16.1 | Example 16.1 | AIRLINE.TXT | One-Way Panel Data Analysis: Dummy Variables Approach | |
| Example 16.2 | Example 16.2 | " | One-Way Panel Data Analysis: Deviation Approach | |
| Example 16.3 | Example 16.3 | " | Two-Way Panel Data Analysis | |
| Example 16.4 | Example 16.4 | IFCGM.TXT IFCCH.TXT IFCGE.TXT IFCWE.TXT IFCUS.TXT | Panel Data Analysis for Investment Demand: Deviation Approach | |
| Example 16.5 | Example 16.5 | " | Panel Data Analysis for Investment Demand: SUR method | |
| Chapter XVII | Least Squares Prediction | |||
| Example 17.1 | Example 17.1 | GDP96.TXT | Ex-Post Forecasts and Forecast Error Statistics | |
| Example 17.2 | Example 17.2 | " | Ex-Ante Forecasts | |