hock
July 14, 2015, 12:06am
#21
Before going into theory, you will have to decide on software first. Excel is very limited to simple OLS (there are some add-ons, but they are either very costly or hardly reliable). EViews and Stata are very newbie-friendly solutions, but R is still the way to go for any serious statistical analysis. There is a vast community around R and tons of books on various special topics.
If you are comfortable with matrix algebra, Greene’s Econometric Analysis , mostly considered the bible of econometrics (with more than 1200 pages a fitting analogy), is the onyl way to go and will get you from anything OLS to GLM and fixed/random effects models.
http://www.amazon.com/Econometric-Analysis-7th-William-Greene/dp/0131395386/ref=sr_1_1?s=books&ie=UTF8&qid=1436534011&sr=1-1&keywords=greene+econometrics
Woolridge is a good intro, if your matrix algebra is rusty. To practice, you will need some software guided book. I recommend Kleiber & Zeileis’ Applied Econometrics in R as a practical intro to regression analysis.
http://www.amazon.com/gp/product/0387773169/ref=s9_simh_gw_p14_d0_i2?pf_rd_m=ATVPDKIKX0DER&pf_rd_s=desktop-1&pf_rd_r=0FGC4XS4APB71CTJTN7P&pf_rd_t=36701&pf_rd_p=2079475242&pf_rd_i=desktop
Once you are comfortable with the above, the next logical step is Tsay’s Analysis of Financial Time Series , which will get you where I guess you will really want to go - the analysis of finance data. Once you’re done with that I have a whole plethora of follow-up readings for you if you are still interested then.
http://www.amazon.com/Analysis-Financial-Time-Ruey-Tsay/dp/0470414359/ref=sr_1_1?s=books&ie=UTF8&qid=1436534340&sr=1-1&keywords=tsay+time+series
If anyone is interested in R, Coursera has a lot of interesting material you can look at as well. Im going through a ‘data science specialization’ hosted by teachers at Johns Hopkins. Its free unless you want to pay to print off an ‘I Passed!’ sticker. This one is focused on R but there are courses for python and other languages as well.
https://www.coursera.org/specialization/jhudatascience/1?utm_medium=courseDescripTop