Resources for Econometrics
Econometrics involves the use of mathematics and statistical methods to look for the
underlying relationships in economic data. Econometric data come in many forms such as the analysis of cross sectional data, times series data or the application of panel data techniques which combines cross sectional and time series data. Econometric techniques are widely used to forecast economic, financial and business data. The intenet is full of useful resouces including academic journal, econometric software, video explaining econometric and some useful blogs.
Econometrics involves the use of mathematics and statistical methods to look for the
underlying relationships in economic data. Econometric data come in many forms such as the analysis of cross sectional data, times series data or the application of panel data techniques which combines cross sectional and time series data. Econometric techniques are widely used to forecast economic, financial and business data. The intenet is full of useful resouces including academic journal, econometric software, video explaining econometric and some useful blogs.
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Journals for Econometrics
Econometrica Journal of Business & Economic Statistics Journal of Econometrics Econometric Theory Review of Economics and Statistics The Econometrics Journal Journal of Applied Econometrics Journal of Time Series Econometrics Oxford Bulletin of Economics and Statistics Econometrics Reviews Journal of Multivariate Statistics Studies in Nonlinear Dynamics and Econometrics International Journal of Forecasting Journal of Forecasting Empirical Economics Online Econometrics courses Econometrics Academy This is one of the world's most popular channels dedicated to Econometrics. The channel has 86 videos. It covers the full range of econometric techniques from basic regressions to the use of advanced panel data mehtods. There is also training in econometrics packages such as Stata, R, and SPSS. Working Papers in Econometrics Repec.org/Econometrics The Repec Econometrics web page has a large range of working papers which can be searched by the most popular downloads in the last 12 months. NBER.org/Econometrics The above links to the National Bureau for Economics Research search for "econometrics." Over 38,000 papers. General web resources for Econometrics Econometrics Academy Econometrics Academy is a free online educational platform and non-profit organization. Its mission is to offer free education on Econometrics to anyone in the world. Econometrics Beat This is a blog by David Giles in which he discusses econometric concepts and recent research in the area. There is also tips on how to use E-views. econometricsense.blogspot.de A blog that attempts to make sense of econometrics, statistics, applied analytics, biometrics, data mining, machine learning, experimental design, bioinformatics. A nice clear discussion of many econometric concepts by Matt Bogard. Davegiles.blogspot.co.uk This blog is a superb resource for those wanting to improve their knowledge of econometrics. There plenty of interesting posts that will improve your understanding of econometrics. Econometric links Econometric links is the Econometrics journal tweets on Empirical Economics, Statistics & Software. It has been on the web since 1995 and is now run on twitter. It is supported by the Royal Economic Society (UK) Stata on Youtube This link takes you to a series of videos on how to use Stata published by StataCorp. Great for students using stata for the first time. econometricsociety.org The Econometric Society is an international society for the advancement of economic theory in its relation to statistics and mathematics. The main activities of the Society are Publication of the journals Econometrica, Quantitative Economics, and Theoretical Economics. Publication of a research Monograph Series. Organization of scientific meetings. statisticsviews.com/Economics For those interested in the statistical side of economics and business this is a superb resources for students and lecturers. There are links to research, data, news, features and events. Teaching Resources in Econometrics econometricsacademy This site provides a quick overview of many econometric methods such as panel data, probit and logit, instrumental variables, time series and much more. Econometric Software Packages Amos (Analysis of Moment Structures) is an SPSS add-on which allows modeling of structural analysis and covariance structures, path analysis. The package is used for estimating linear structural equation models. It is particularly well suited for models with latent variables or measurement error components. Bootstrap methods are provided for the computation of standard errors. A free student version is available. X AREMOS This package, provided by Global Insight, is primarily designed for the analysis and manipulation of time-series and panel data. AREMOS estimates OLS, 2SLS, 3SLS, ARIMA, VAR, cointegration, and some nonlinear models. X Autobox A package that automates the identification of ARIMA and transfer function models. BMDP A package that estimates regression, logit, survival function, maximum likelihood (user-specified function), and ARIMA models. DataDesk A simple program designed for exploratory data analysis. Peforms basic regression analysis. Dataplore Dataplore is a full-featured package for the analysis of time-series data using a frequency domain approach. Draco Econometrics Draco is an open-source econometric solution, providing functionality available in popular statistics packages without high purchasing and licensing costs. Draco presents a familiar, yet powerful, user interface to improve efficiency. EasyReg This package contains a wide variety of estimators for cross-sectional and time-series models. In addition to standard regression models, this package also estimates a variety of limited dependent variable (such as logit, probit, and Tobit models) and time-series models (including ARMA error processes, ARCH tests, VAR models, and tests for unit roots and cointegration). EasyPlot A 3D data plotting package that will estimate some nonlinear relationships. ECTM This is an econometrics software package, developed by Russell Davidson, that runs on Windows and Linux operating systems. This free package provides estimators for a variety of linear and nonlinear regression models, as well as maximum likelihood and GMM estimation procedures. A variety of data manipulation, Monte Carlo, and matrix tools are provided in this package. Egwald Statistics - Multiple Regression This online regression package, created by Elmer G. Wiens, allows the user to estimate multiple regression models online (including models with parameter restrictions). Epicure A statistical package designed to deal with risk models. EQS - Structural Equation Modeling Software A package for estimating LISREL-type models. EViews A very widely used econometrics program which replaced the popular MicroTSP package. It is excellent for time-series modelling capabilities and a can deal witha wide variety of single equation and simultaneous equation regression models. There is also an ability to do ARCH and GARCH modelling and panel data. Fair-Parke program This program may be used to estimate systems of simultaneous equations (including rational expectations and autocorrelated error models). It is available in either an executable form for MS-DOS machines or as FORTRAN source code for other platforms. First Bayes A software package designed to teach Bayesian statistics. This package runs on Windows platforms and a download available at this site. (There is no charge for educational users.) Frontier This software package, written by Tim Coelli, provides a maximum likelihood estimator for the parameters of frontier regression models. This may be used for the estimation of cost or production functions with truncated normal error terms. It allows for time-variant and time-invariant efficiencies and may be used with either cross-sectional or panel data. GAMS General Algebraic Modeling System - This is a modeling system that can be used for a variety of statistical, econometric, and other mathematical models. Model libraries are available for downloading. Gauss This econometrics package/matrix programming language is one of the most popular among those working with maximum likelihood etimators. Gauss is available on Dos, Windows, and Unix platforms. This site contains online tutorials and links to several libraries of Gauss code. Links to a variety of Gauss resources may be found at American University or at Eric Zivot's Gauss Resources page. Gaussx Gaussx is a collection of Gauss estimation routines for a wide range of econometric models. A wide variety of regression, time-series, and limited dependent variable models are provided. GB-Stat A reasonably comprehensive statistics package that can be used for many econometric applications. G*Power A free software program that computes t, F, and Chi-Squared statistics and computes the power of an experimental test. GQOPT This is a nonlinear optimization package with a large variety of options to solve difficult maximum likelihood problems. Written in Fortran it requires a user-written Fortran subroutine to evaluate the likelihood function. The user may also specify analytic derivatives (as a subroutine) or use a choice among a variety of built-in numerical derivative routines. X Gretl The Gnu Regression, Econometrics and Time-series Library (Gretl) is a wide variety of estimators: least squares, maximum likelihood, GMM; single-equation and system methodsTime series methods: ARIMA, GARCH, VARs and VECMs, unit-root and cointegration tests, Kalman filter, etc. Limited dependent variables: logit, probit, tobit, heckit, interval regression, models for count and duration data, etc X Grocer Grocer is the econometric toolbox for Scilab, a matrix-oriented software similar to Gauss and Matlab. X JMP JMP is desktop statistical discovery software from SAS built with scientists and engineers in mind. Visual, interactive, comprehensive and extensible, JMP reveals context and insight not seen in a table of numbers. X Open Analytics Open analytics provides access to a myriad of statistical analysis tools with over 700 built in mat and statistics functions. It also benefits from an extraordinary data visualization and a powerful macro language. X LIMDEP LIMDEP contains estimators for most single-equation and simultaneous equation econometric models. No other package contains a diverse a mix of estimators for limited dependent variable models. While LIMDEP offers some time-series capabilities, it is particularly strong in cross-sectional, panel, and limited dependent variable models. The main feature of the package is a suite of more than 100 built-in estimators for all forms of the linear regression model, and stochastic frontier, discrete choice and limited dependent variable models, including models for binary, censored, truncated, survival, count, discrete and continuous variables and a variety of sample selection models. No other program offers a wider range of single and multiple equation linear and nonlinear models. X LISREL LISREL is a statistical package designed to estimate models involving linear structural relationships among observed and latent (unobserved) variables. X MacAnova MacAnova has many capabilities but its strengths are analysis of variance and related models, matrix algebra, time series analysis (time and frequency domain), and (to a lesser extent) uni- and multi-variate exploratory statistics. The package is free for educational users. Maple One of the most popular mathematical processing languages. While this is not a statistical package, it is often used to teach statistical and econometric concepts. Software libraries are available for many applications. X Mathematica Mathematica is a computational software program used in many scientific, engineering, mathematical and computing fields. X Mathcad MathCad is another mathematical processing language. PTC Mathcad is the Industry Standard Software for Engineering Calculations. PTC Mathcad combines the ease and familiarity of an engineering notebook with the powerful features of dedicated engineering calculations application. Its document-centric, WYSIWYG interface gives you the ability to solve, share, re-use and analyze your calculations without having to learn a new programming language. MATLAB A mathematical processing language that is a competitor to Mathematica. MATLAB is a high-level language and interactive environment for numerical computation, visualization, and programming. Using MATLAB, you can analyze data, develop algorithms, and create models and applications. The language, tools, and built-in math functions enable you to explore multiple approaches and reach a solution faster than withspreadsheets or traditional programming languages, such as C/C++ or Java™. X Matrixer Matrixer is a piece of software especially suited for teaching econometrics and doing medium-scale applied research. It is small (in physical size, not in capabilities) and has smooth interface. X Maxima Maxima is a system for the manipulation of symbolic and numerical expressions, including differentiation, integration, Taylor series, Laplace transforms, ordinary differential equations, systems of linear equations, polynomials, and sets, lists, vectors, matrices, and tensors. Maxima yields high precision numeric results by using exact fractions, arbitrary precision integers, and variable precision floating point numbers. Maxima can plot functions and data in two and three dimensions. X Microfit This is a general econometrics package, developed by B. and M. Hashem Pesaran. Microfit offers a variety of univariate methods, multivariate techniques for cointegration, principal components, canonical correlations and multivariate volatility modelling, and provides a large number of diagnostic and non-nested tests not readily available on other packages. X Minitab A commonly used package for teaching basic statistics and econometrics. It is easy to use and offers good online help facilities and the latest version has many powerful features. X MLEQuick MLEQuick is a menu-driven program that contains estimators for a wide variety of regression, limited dependent variable and survival models. Those with some programming experience in C++ may also wish to use MLE++ (a collection of MLE routines written in C++). X MuPAD MuPAD consists of a powerful symbolic engine, a language that is optimized for operating on symbolic math expressions, and an extensive set of mathematical functions and libraries. The MuPAD engine serves as the foundation of Symbolic Math Toolbox, whose notebook interface provides access to the complete MuPAD language. X Mx OpenMx is free and open source software for use with R that allows estimation of a wide variety of advanced multivariate statistical models. OpenMx consists of a library of functions and optimizers that allow you to quickly and flexibly define an SEM model and estimate parameters. The program that allows the user to specify models using either a matrix algebra language or a graphical user interface. Linear and nonlinear equality constraints, missing data, and multilevel models may be handled with this package. NAG (Numerical Algorithms Group). A major supplier of Fortran, C, and Ada code for statistical and other applications. This company also provides a variety of statistical packages including GLIM and a statistical add-on for Excel. (These packages can be used for a variety of ANOVA, linear, nonlinear, and (user-specified) maximum likelihood procedures. X NLOGIT The NLOGIT package is an extension of William Greene's LIMDEP package to include a variety of multinomial logit and probit models. X O-Matrix A matrix programming language that is can be used for statistical applications. The O-Matrix environment includes an extensive collection of mathematical, statistical, engineering and visualization functions. A demo version may be downloaded from this site. X Octave GNU Octave is a high-level language, primarily intended for numerical computations. It provides a convenient command line interface for solving linear and nonlinear problems numerically, and for performing other numerical experiments using a language that is mostly compatible with Matlab. Octave has extensive tools for solving common numerical linear algebra problems, finding the roots of nonlinear equations, integrating ordinary functions, manipulating polynomials, and integrating ordinary differential GNU Octave is also freely redistributable software. X Ox Ox is an object-oriented statistical system. At its core is a powerful matrix language, which is complemented by a comprehensive statistical library. Among the special features of Ox are its speed, well-designed syntax and editor, and graphical facilities. Ox can read and write many data formats, including spreadsheets and OxMetrics files; Ox can run most econometric Gauss programs. X PcGive PcGive is a statistical package written by Doornik and Hendry it is great for time-series data but can also do cross sectional regressions, discrete data, panel data and monte-carlo simulation. X R R provides a wide variety of statistical techniques including linear and nonlinear modelling, classical statistical tests, time-series analysis classification, clustering etc. There is good graphical capabilities, and is highly extensible. X RATS and CATS RATS (Regression Analysis of Time Series) is a fast, efficient, and comprehensive econometrics and time series analysis software package. The CATS (Cointegration Analysis of Time Series) is a set of cointegration analysis procedures written by Jonathan G. Dennis, Katarina Juselius, Søren Johansen and Henrik Hansen. X Spotfire An exploratory/visual data analysis package with limited econometric functionality. It has tools to provides analyze, manage, view, and even present complex data in a variety of formats. X SAS SAS is a well known package for dealing with large econometric models. SAS offers a broad array of econometric, time series and forecasting techniques that enable modelling, forecasting and simulation of business processes for improved strategic and tactical planning. It is also used by business to understand the effect that factors such as economic and market conditions, customer demographics, pricing decisions and marketing activities have on a business. X Scilab, Scilab is a matrix processing language similar to Gauss and Matlab. Scilab is free and open source software for numerical computation providing a powerful computing environment for engineering and scientific applications. Scilab includes hundreds of mathematical functions. It has a high level programming language allowing access to advanced data structures, 2-D and 3-D graphical functions. X Shazam A popular package that contains estimators for most basic econometric models. This page contains sample documentation, data, and allows visitors to run Shazam programs remotely. X Soritec Soritec is a solid econometrics programme software with nice graphical capabilities. Good for logit, probit and discriminant analysis. Also does Multi-equation estimation, FIML, OLS, 2SLS, 3SLS, SURE. X STAMP This package stands for Structural Time Series Analyser, Modeller and Predictor. It is a structural time series package for modelling models and forecasting time series variables. STAMP is an econometric software system for time series models with unobserved components such as trend, seasonal, cycle and irregular. It provides a user-friendly environment for the analysis, modelling and forecasting of time series. Estimation and signal extraction is carried out using state space methods and Kalman filtering. STAMP 8 is an integrated part of the OxMetrics modular software system for data analysis with excellent data manipulation, graphical and batch facilities. X StatsDirect A fairly basic package that can do basic regressions and probit and logit regressions . It is also good at survival analysis and can be used for parametric and non parametric analysis. X SPSS A very widely used package in the social sciences and less so in economics. It has a easy to use interface but it offers a substantially smaller range of econometric estimators than Eviews or Stata or SAS. It is particularly strong for ANOVA (analysis of variance) and cross sectional data but much more limited when it comes to simultaneous equations, time-series and panel-data. X SST SS short for Statistical Software Tools, performs a large (and ever expanding) variety of statistical functions. Beyond data manipulation and frequently used statistical procedures (such as regression analysis), SST is geared toward the estimation of complicated statistical models. An econometrics package that can be used to estimate a variety of maximum likelihood problems. A variety of regression and limited dependent models are available. X Stata Stata is one of the most popular econometric software packages. It has a wide variety of robust estimators for regression, limited dependent variable, panel data, and time-series models. X StatTransfer This program is not really econometrics software but rather it is an extremely useful tool that provides conversion among most commonly used data formats. These data formats include speadsheet and database formats as well as the internal storage formats for virtually all major econometric and statistical software packages. Stat Transfer provides both an easy-to-use menu interface and a powerful batch facility. Whether you are moving a simple table from Excel to SAS or moving megabytes of survey data between statistical packages, Stat/Transfer will save you time and money. X Stixbox Stikbox is a free library of statistical routines developed by Anders Holtsberg for use with MATLAB. X SYSTAT SYSTAT is a powerful statistical analysis and graphics software. SYSTAT has a comprehensive suite of statistical functions and brilliant 2D and 3D charts and graphs. X Time Series Modelling (TSM) TSM is a comprehensive package for linear and nonlinear time series modelling. It will estimate and forecast ARIMA and ARFIMA models, several GARCH, FIGARCH, APARCH and EGARCH variants, bilinear models, Markov-switching and smooth transition models. Dynamic equations systems can be specified and estimated, options including VARs, simultaneous systems, error correction systems, multivariate GARCH and regime switching. Panel data models can be estimated by least squares and GMM with either fixed or random effects. X TSP International The home of the original makers of TSP. This package was the first widely used econometrics software package on mainframe computers. The latest version runs on both mainframe and PC platforms. It still relies on the command-line user interface and it is probably best to use EViews its modern successor. X WinSolve WinSolve is a 32 bit Windows program for solving (nonlinear) models. The prime emphasis of the program is on user friendliness and graphical presentation, making it ideal for new users. It contains all the facilities needed by the professional model builder. X Xlisp-Stat Lisp-Stat is an extensible environment for statistical computing and dynamic graphics based on the Lisp language. XLISP-STAT is a version of Lisp-Stat based on a dialect of Lisp called XLISP. X Yorick Yorick is an interpreted programming language for scientific simulations or calculations, post processing or steering large simulation codes, interactive scientific graphics, and reading, writing, or translating large files of numbers. Yorick includes an interactive graphics package, and a binary file package capable of translating to and from the raw numeric formats of all modern computers. 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