An Introduction to Modern Econometrics Using Stata

"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

Christopher F. Baum

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.