Finance and Econometrics

Econometrics is essentially the application of statistical methods to economic research and modeling.

Select concepts and methods include:

• Instrumental variables

• Exogenous and Endogenous variables

• Time series methods

• Regression (OLS, MLE, robust)

• Logistic / Probit / Tobit models

• Loglinear models

• Poisson and Negative Binomial models

• Models based on Panel Data

• Fixed and Random Effects models

• Duration models based on survival functions

• Analysis of financial data

Reasonably good econometric references start with:

• A Guide to Modern Econometrics (Verbeek) for methods of econometric analysis.

• The Secrets of Economic Indicators (Baumohl) for economic indicators, their definitions, and where to find them.

• Applied Econometrics with R (Kleiber)

References for related methods include:

• Analysis of Financial Time Series (Tsay)

• Applied Linear Regression Models (Kutner)

• Applied Nonparametric Regression (Hardle)

• Introduction to Categorical Data Analysis (Agresti)

• Logistic Regression Using the SAS System (Allison)

• Practical Guide to Busines Forecasting (IBF)

• SAS for Forecasting Time Series (Brocklebank)

• Statistics and Finance (Ruppert)

• Time Series Analysis and Its Applications with R Examples (Shumway)