Awesome we used this same text book in my ECO 341K Econometrics course in Econ Undergrad at Texas - You are spot on on the lack of time series explanation by professors. As a percentage of your job, how often do you use the methods encompassed under econometrics in your day to day at you job? I really loved the econometrics course and can see my self do a career where I get to do this everyday?
My job is basically 100% econometrics/stats. I'm either building models, analyzing other people's models, writing about them in a finance/banking setting, presenting models, or teaching econometrics/stats/finance.
@@DimitriBianco Sorry for the necro. I know you've mentioned in one of your videos that the only real difference between actuarial science and quant finance is that quant finance teaches stochastic processes. Do you think that it's at all encompassed by econometrics? Or is it just another tool that quants use while building models?
Thanks for the review! I have the same book, 5th edition, but I think it is global/international edition? (It stated "Cengage Technology Edition"). It also said not for sale in USA, Canada, or Australia. But the pagination, page number, table of content, index, everything is 100% same as your version (I also have the PDF version same as yours).
Love this book! Just got a hardcopy, so much better an online copy. By any chance, have you had experience with either the Greene text (Econometric Analysis) or the Davidson-MacKinnon one (Econometric Theory and Methods). I'm trying to find a grad level text on a good deal so that I can use some free time to prepare more for grad level metrics
how much of csc do you use? not in terms of coding per se, but theoretical knowledge about data structures and algs i.e. all the stuff with lists, stacks, queues, graphs, different sorting algs etc.
It really depends on the situation. For example, if you are programming for an algo trading firm you'll be optimizing through a lot of CS theory (memory management, better algorithms, and parallel computing). Most of risk management does NOT require CS theory however I wish more people had CS training. Right now I'm working with memory management, parallel computing, and optimizing how to calculate gradient descent for neural networks. There are a lot of different positions that range from no idea how CS theory works to super intense CS theory.
For SVAR, I would strongly recommend Helmut Lutkepohl's books, including this one books.google.co.ve/books/about/Structural_Vector_Autoregressive_Analysi.html?id=v8RcAQAACAAJ&redir_esc=y&hl=en I have used the method extensively in my own research, so feel free to get in touch if you need further help.
owenzayne's dad no I haven't use that book but it was used in another class. My academic focus was on financial engineering and not so much on economics.
In the industry banks usually focus on OLS, ARIMA, GARCH, VECM style models. When it comes you loans banks typically use logistic, CART, DtD, and Markov models. The loan models usually avoid economic variables unless they are used for CCAR.
It's hard watching this video years later due to the audio. I've come a long way with new gear and more practice.
Read this textbook during my undergrad. Still referencing it these days. Especially the first part a great foundation for any econometric course.
Great video. The book has been updated to a 6th edition but the chapter headings are identical to what you've listed.
Thanks,great video Dimitri ! More of that books reviews please :)
Karim Tit thanks! I'll try to keep them coming throughout the year.
I like this book too:) We have been using it in Econometrics class
Awesome we used this same text book in my ECO 341K Econometrics course in Econ Undergrad at Texas - You are spot on on the lack of time series explanation by professors. As a percentage of your job, how often do you use the methods encompassed under econometrics in your day to day at you job? I really loved the econometrics course and can see my self do a career where I get to do this everyday?
My job is basically 100% econometrics/stats. I'm either building models, analyzing other people's models, writing about them in a finance/banking setting, presenting models, or teaching econometrics/stats/finance.
@@DimitriBianco Sorry for the necro. I know you've mentioned in one of your videos that the only real difference between actuarial science and quant finance is that quant finance teaches stochastic processes. Do you think that it's at all encompassed by econometrics? Or is it just another tool that quants use while building models?
Thanks for the review! I have the same book, 5th edition, but I think it is global/international edition? (It stated "Cengage Technology Edition"). It also said not for sale in USA, Canada, or Australia. But the pagination, page number, table of content, index, everything is 100% same as your version (I also have the PDF version same as yours).
Just got it for $36 on Amazon, can’t wait to get to it.
That's a great deal!
@@DimitriBianco Yes, I love stats and seeing it applied to different areas. Should be a good read for 2022.
Thank you so much for these videos
Love this book! Just got a hardcopy, so much better an online copy. By any chance, have you had experience with either the Greene text (Econometric Analysis) or the Davidson-MacKinnon one (Econometric Theory and Methods). I'm trying to find a grad level text on a good deal so that I can use some free time to prepare more for grad level metrics
I have not read those two.
Please compare between 5th, 6th and 7th edition
how much of csc do you use? not in terms of coding per se, but theoretical knowledge about data structures and algs i.e. all the stuff with lists, stacks, queues, graphs, different sorting algs etc.
Leonardich30 CSC the software?
computer science, just wanna understand is it worth to go deep into it
It really depends on the situation. For example, if you are programming for an algo trading firm you'll be optimizing through a lot of CS theory (memory management, better algorithms, and parallel computing). Most of risk management does NOT require CS theory however I wish more people had CS training. Right now I'm working with memory management, parallel computing, and optimizing how to calculate gradient descent for neural networks. There are a lot of different positions that range from no idea how CS theory works to super intense CS theory.
Thanks
Thanks Dimitri! Does the book also cover Structural Vector Autoregression in Time Series? Tough to find materials on the method
islandparadise unfortunately no it doesn't cover SVAR. It does cover structural ols and VAR separately but you would need another book for SVAR.
Dimitri Bianco oh darn. Is it a rarely-used method, is that why many books don't cover it?
I'll add you on linkedin and maybe we'll talk about this offline?
For SVAR, I would strongly recommend Helmut Lutkepohl's books, including this one books.google.co.ve/books/about/Structural_Vector_Autoregressive_Analysi.html?id=v8RcAQAACAAJ&redir_esc=y&hl=en
I have used the method extensively in my own research, so feel free to get in touch if you need further help.
leodqv yes I've gone through that one. Was the most helpful author I came across so far. Thank you :)
Would you have like overview of each chapter.
Did you ever use use the big Wooldridge (cross panel) in your econ progrm?
owenzayne's dad no I haven't use that book but it was used in another class. My academic focus was on financial engineering and not so much on economics.
In the industry banks usually focus on OLS, ARIMA, GARCH, VECM style models. When it comes you loans banks typically use logistic, CART, DtD, and Markov models. The loan models usually avoid economic variables unless they are used for CCAR.
Would you still reccomend this book in 2024?
@@xSoupkiller yes and it's still being used by a few programs including Fordham.
@@DimitriBianco thanks for the timely response, love your videos, buying this book today!
Thx