[ElJefe]

I need to do some work on refreshing my statistics and econometrics skillset this summer, since it's been a few years.

I have Wooldridge's books and MatLab on the computer. Can anyone recommend some resources where I can start from the ground up?

[j r]

The Wooldridge textbook is notoriously dense. Are you looking for a tutorial on how to code regressions or are you looking for a full overview of the underlying math?

Also, are you hoping to put this to use for finance related stuff or for some other field?

[ElJefe]

Thanks for chiming in. Both, actually.

Right now I'm quite general, but I'll be working with time-series and cross-section and panel data after the summer. I want to dust off some of the old stuff and get my basics down (simple and multiple regression), instrumental variables and 2SLS. Perhaps also some basic MLE, GMM and co-integration. Í can follow the text book, but if someone knew of something spectacular that'd be awesome.

[cibo]

Coursera.org has a shit load of stats stuff.
Mit open courseware has good stuff too.
Also most of the O'Reily books are pretty too. http://www.amazon.co.uk/Statistics-Nutsh...statistics

I have the R one but all the stats programs are fairly similar. Though R is quite popular with start ups while corporations prefer SAS.

http://simplystatistics.org/ Blog about stats.

http://www.amazon.co.uk/Data-Mining-Tech...techniques

Gets more into machine learning methods of analyzing data. Very practical book that walks though examples they did with businesses in a easy to follow manner.

[j r]

One possibility is CFA prep material. I am studying for Level 1 right now with Kaplan Schweser materials and it breaks it down pretty good. Unfortunately, Level 1 Quantitative Methods only goes up to basic hypothesis testing and I don't have the Level 2 materials.

Another option might be the course materials for online courses. Here's the link to MIT's Econometrics course: http://ocw.mit.edu/courses/economics/14-...ring-2007/

[ElJefe]

Awesome. I'll start with this stuff. There's probably not really a shortcut for really memorizing all this stuff. Just have to hunker down and chew through it.

[presidentcarter]

More power to you. I hated econometrics in college.

Can I ask what is motivating you to refresh on this subject? Just mental stimulation? Or is there an end goal in mind?

[Kabal]

ARIMA Modeling - http://people.duke.edu/~rnau/411arim.htm

Seasonal ARIMA Modeling - http://people.duke.edu/~rnau/seasarim.htm

ADL Modeling - http://mail.tku.edu.tw/chenyiyi/ADL.pdf

Binary Logistic Regression - http://luna.cas.usf.edu/~mbrannic/files/...istic.html

Multinomial Logistic Regression - http://www.kenbenoit.net/courses/ME104/M...CatOrd.pdf

Skewed Logistic Regression - http://isi2011.congressplanner.eu/pdfs/p_650407.pdf

Model Selection and Coefficient Reduction Methods (Ridge, Lasso, Elastic Net) - http://people.ee.duke.edu/~lcarin/Minhua11.7.08.pdf

[RichieP]

(05-23-2013 06:28 PM)presidentcarter Wrote:  

More power to you. I hated econometrics in college.

Can I ask what is motivating you to refresh on this subject? Just mental stimulation? Or is there an end goal in mind?

Yeah me too... funny because I LOVED calculus. I think it uses a different part of your brain. I've tried to figure out why I hate stats/econometrics so much... I think it's because a) you can't "visualise" what the maths is doing; it's all probability and correlation and b) the purpose of it is usually just to make some fucker some more money, haha.

Not to piss on your thread Jefe Just interesting how preferences can vary so much.

[ElJefe]

Why? Econometrics is like the demon in my life. It must be destroyed.