Specifying and Diagnostically Testing Econometric Models, Third Edition

The book, Specifying and Diagnostically Testing Econometric Models is written by Professor Houston H. Stokes of the University of Illinois at Chicago and is over 1,100 pages. The third edition, now available in draft electronic form, is a major expansion of the Second edition published by Quorum Books in 1997 (ISBB 1-556720-069-9) pp. 445. Using both a discussion of the relevant theory and many examples, this book illustrates the practice of economic testing for specification errors. Using the electronic edition, users can extract model data and software setups to facilitate further experimentation using the B34S ProSeries Econometric System and other software systems.

Topics covered in some detail include OLS, GLS, Probit, Logit, Tobit, Markov probability Models, Error-Component Models, Recursive Residual Models, nonlinear estimation, ARIMA, transfer function models, ARCH and GARCH etc. Nonlinear modeling practice is a particular strength of the book and a variety of tests and estimation methods are discussed and shown using a number of datasets supplied with the B34S software. Nonlinear estimation procedures such as MARSPLINE, General Additive Models, ACE models, Projection Pursuit and Random Forest models are a few of techniques treated. The objective of the book is to provide a unified treatment of these approaches and illustrate, via many examples, how they may best be used using a wide variety of datasets.

The third edition of this book is essential for users to exploit the full potential of the B34S software. The SCA WorkBench component provides application environments for the SCA System as well as several powerful capabilities in the B34S software including OLS extensions, heteroscadastic modeling, MARSPLINE, GAM, ACE, and nonlinear classification methods. The application environments of SCA WorkBench provide a mechanism to apply these advanced and powerful methodologies using an easy-to-use graphical user interface that automatically builds and executes the B34S scripting language. However, the book, Specifying and Diagostically testing Econometric Models, gives users detailed information on additional capabilities to customize B34S command scripts, extend pre-specified command files using the B34S matrix language, and to learn about the many other econometric methodologies not yet implemented as an application environment in SCA WorkBench.

For a limited time you can download individual chapters of the third edition of the book in draft form from the SCA website FREE of cost. For more information, click on the links below.

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