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The Practice of Econometric Theory

An Examination of the Characteristics of Econometric Computation

  • Book
  • © 2009

Overview

  • Offers a complete overview over all econometric software packages available worldwide
  • Based on an interactive survey of the econometricians who have developed the software
  • Presents the history of the development of econometric computation since the 1950s
  • Gives practical advice as to how to use econometric software in applied economic research
  • Includes supplementary material: sn.pub/extras

Part of the book series: Advanced Studies in Theoretical and Applied Econometrics (ASTA, volume 44)

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Table of contents (9 chapters)

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About this book

Econometric theory, as presented in textbooks and the econometric literature generally, is a somewhat disparate collection of findings. Its essential nature is to be a set of demonstrated results that increase over time, each logically based on a specific set of axioms or assumptions, yet at every moment, rather than a finished work, these inevitably form an incomplete body of knowledge. The practice of econometric theory consists of selecting from, applying, and evaluating this literature, so as to test its applicability and range. The creation, development, and use of computer software has led applied economic research into a new age. This book describes the history of econometric computation from 1950 to the present day, based upon an interactive survey involving the collaboration of the many econometricians who have designed and developed this software. It identifies each of the econometric software packages that are made available to and used by economists and econometricians worldwide.

Reviews

From the reviews: “The author concentrates on the OLS estimator as the most important one in applied econometrics and the supplementary evaluative tests applied in conjunction with OLS. According to this choice, the author presents, classifies, and documents the particular diagnostic tests that are provided in existing econometric software packages. The ultimate goal consists of supplying reliable and useful information to econometric software developers, econometric theorists, and to economists who use this software.” (Herbert S. Buscher, Zentralblatt MATH, Vol. 1176, 2010)

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