Introductory Econometrics: Using Monte Carlo Simulation with Microsoft Excel
by Humberto Barreto
- New York Cambridge University Press 2013
- xxiii, 774 pages: Illustrations; 26 cm.
Table of Contents 1. Introduction Part I. Description: 2. Correlation 3. Pivot tables 4. Computing regression 5. Interpreting regression 6. Functional form 7. Multivariate regression 8. Dummy variables Part II. Inference: 9. Monte Carlo simulation 10. Inferential statistics review 11. Measurement box model 12. Comparing two populations 13. The classical econometric model 14. The Gauss Markov theorem 15. Understanding the standard error 16. Hypothesis testing and confidence intervals 17. F tests 18. Omitted variable bias 19. Heteroskedasticity 20. Autocorrelation 21. The series topics 22. Dummy dependent variables 23. Bootstrap 24. Simultaneous equations
This highly accessible and innovative text with supporting web site uses Excel (R) to teach the core concepts of econometrics without advanced mathematics. It enables students to use Monte Carlo simulations in order to understand the data generating process and sampling distribution. Intelligent repetition of concrete examples effectively conveys the properties of the ordinary least squares (OLS) estimator and the nature of heteroskedasticity and autocorrelation. Coverage includes omitted variables, binary response models, basic time series, and simultaneous equations. The authors teach students how to construct their own real-world data sets drawn from the internet, which they can analyze with Excel (R) or with other econometric software. The accompanying web site with text support can be found at www.wabash.edu/econometrics.