Econometrics books for practioners

J · November 16th, 2004, 5:06 pm

I am looking a econometrics book which focuses on implementation intead of theor. It can give very clear algorithms in terms of implementation.

Brown · November 23rd, 2004, 11:43 am

I liked "Introductory econometrics for finance" by Brooks. On a higher level I also found "Econometric analysis" by Greene useful.

Brown · November 23rd, 2004, 11:43 am

I liked "Introductory econometrics for finance" by Brooks. On a higher level I also found "Econometric analysis" by Greene useful.

WilmottBookshop · November 23rd, 2004, 2:41 pm

- Introductory Econometrics for Finance- Econometric Analysis

briain · November 30th, 2004, 1:13 pm

Very useful practical book is Modeling Financial Time Series With S-PLUS - Zivot and WangProblem is that you need S-PLUS with the S+FinMetrics extension to gain the benefit.But if you can get that its brilliant. Covers each topic in a focused practical manner with a concise references section at the end if you need more information. Has worked examples, and the source code and source data comes with the S+FinMetrics package. Covers most modern topics. S+Finmetrics is described @http://www.insightful.com/products/finm ... ult.aspThe pdf of the book is @http://www.insightful.com/products/finm ... ef.pdfI've looked at other books, but with this one you get results quickly.

WilmottBookshop · November 30th, 2004, 2:08 pm

Modeling Financial Time Series with S-PLUS

PinballWizard · December 10th, 2004, 10:00 pm

Modeling Financial Time Series with S-PLUS is freely available on the web, in PDF format. Can't remember where - Google should point to it.pW

Athletico · December 11th, 2004, 2:56 am

Modeling Financial Time-Series with S-PLUSThis also looks like a decent intro:S-PLUS Training Manual

rsneevas · December 11th, 2004, 2:50 pm

QuoteOriginally posted by: JI am looking a econometrics book which focuses on implementation intead of theor. It can give very clear algorithms in terms of implementation.Brooks book is good book as the title suggests. It has come out after several research papers on financial time series modelling by the author in the past. The material was used as part of the MSc Quant curriculum for two modules on econometrics.How about Tsey? There were some references on it earlier I think

J · December 11th, 2004, 3:02 pm

Thanks for respones. I think the good book should give the exact algorithms for estimating parameters with less variance. Which book has really done this kind of work? I do not know yet.