Название: Using Julia for Introductory Econometrics
Автор: Florian Heiss, Daniel Brunner
Издательство: UPfIE
Год: 2023
Страниц: 402
Язык: английский
Формат: pdf (true)
Размер: 11.7 MB

Introduces the popular, powerful and free programming language and software package Julia.

Julia an ideal candidate for starting to learn econometrics and data analysis. As we will show in this book, learning Julia and the basics of econometrics are two goals that can be achieved very well together. And Julia is completely free and available for all relevant operating systems. When using it in econometrics courses, students can easily download a copy to their own computers and use it at home (or their favorite cafés) to replicate examples and work on take-home assignments. This hands-on experience is essential for the understanding of the econometric models and methods. It also prepares students to conduct their own empirical analyses for their theses, research projects, and professional work.

This book does not attempt to provide a self-contained discussion of econometric models and methods. Instead, it builds on the excellent and popular textbook “Introductory Econometrics” by Wooldridge. It is compatible in terms of topics, organization, terminology, and notation, and is designed for a seamless transition from theory to practice.

The first chapter provides a gentle introduction to Julia, covers some of the topics of basic statistics and probability presented in the appendix of Wooldridge, and introduces Monte Carlo simulation as an additional tool. The other chapters have the same names and cover the same material as the respective chapters in Wooldridge. Assuming the reader has worked through the material discussed there, this book explains and demonstrates how to implement everything in Julia and replicates many textbook examples. We also open some black boxes of the built-in functions for estimation and inference by directly applying the formulas known from the textbook to reproduce the results. Some supplementary analyses provide additional intuition and insights.

Focus: implementation of standard tools and methods used in econometrics
Compatible with "Introductory Econometrics" by Jeffrey M. Wooldridge in terms of topics, organization, terminology and notation
Companion website with full text, all code for download and other goodies
Topics

A gentle introduction to Julia
Simple and multiple regression in matrix form and using black box routines
Inference in small samples and asymptotics
Monte Carlo simulations
Heteroscedasticity
Time series regression
Pooled cross-sections and panel data
Instrumental variables and two-stage least squares
Simultaneous equation models
Limited dependent variables: binary, count data, censoring, truncation, and sample selection
Formatted reports using Jupyter Notebooks