Introduction. Working with economic and financial data in Stata. Organizing and handling economic data. Linear regression. Specifying the functional form. Regression with non-i.i.d. errors. Regression with indicator variables. Instrumental-variables estimators. Panel-data models. Models of discrete and limited dependent variables. Appendices.
"This book provides an excellent resource for both teaching and
learning modern microeconometric practice, using the most popular
software package in this area. The coverage includes discrete
choice models and models for panel data, as well as linear
regression and instrumental variables methods. I particularly like
the material on handling large datasets and developing efficient
programs within Stata, which provide the reader with an invaluable
introduction to good practice in empirical research."
-Steve Bond, Nuffield College, Oxford, UK, and Institute for Fiscal
Studies (IFS), London, UK
"Baum provides students and researchers [with] a hands-on guide to
modern econometric techniques by means of many well-documented
examples in Stata. The examples are also useful templates for those
who need to write Stata routines for their own work. Treatment and
transformation of cross-section, time-series, and panel data are
carefully explained. The coverage of the text is broad and up to
date. … a valuable companion to undergraduate- and graduate-level
econometric textbooks."
-Serena Ng, Department of Economics, University of Michigan, Ann
Arbor, USA
"Christopher Baum's An Introduction to Modern Econometrics Using
Stata is probably the only econometrics text published to date that
pays serious attention to reproducibility of research and
systematic data validation using Stata's data audit commands along
with do-file and programming capabilities. Economic and financial
consultants will find this text to be an invaluable guide to using
Stata for creating reproducible, error-free data and econometric
analysis, as well as quality graphic presentations. The book is
comprehensive and easy to follow, with substantive coverage of
econometric theory and applications using the full array of Stata's
capabilities. This text should serve as an excellent learning and
reference guide for every consultant."
-Zaur Rzakhanov, Ph.D., Analysis Group Inc., Boston, Massachusetts,
USA
"This book is a wonderful complement to the Stata technical
manuals. It provides a wealth of practical tips and sample
applications that help the intermediate-level Stata user advance in
making the most efficient use of Stata. It is thoughtfully
organized along the lines of an econometrics textbook, allowing
practitioners to find relevant and useful commands, procedures, and
examples by topics that are familiar and immediate. It also
includes a most helpful appendix for novice programmers that will
expedite their development into proficient Stata programmers. This
book is a must-have reference for any organization that needs to
train practitioners of econometrics in the use of Stata."
-Peter Boberg, CRA International
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