# LUBS2225

Module Reading List

Prof Nick Wilson

n.wilson@lubs.leeds.ac.uk

Tutor information is taken from the Module Catalogue

**Reading List**

There are a lot of good textbooks in applied econometrics from introductory to very advanced and, of course, new techniques are being developed continuously. Consequently it is difficult to find one suitable text for the course. Reading material will be provided in Semester 2 but for Semester 1 students to choose a text book that fits their preference (applied/technical).

**Textbooks**

The recommended text books are:

** Introductory Econometrics for Finance**, Chris Brooks,

Cambridge University Press, 2nd Edition 2008, ISBN 978-0-521-87306-2 (paperback)

This book covers basic to
quite advanced techniques and **the course
will only refer to parts of this book**. Therefore you will not be expected
to cover all the topics covered in the text book. However the book has been
recommended because students may wish to learn more advanced techniques during
the dissertation stage of the course and the book will be a useful reference
going forward.

** Analysis of Economic Data**, Gary Koop, Wiley, 4th
Edition, 2013, ISBN 978-1-118-47253-8 (paperback)

This book covers the core elements of semester 1 and adopts a largely non-mathematical approach and uses plenty of applications and examples.

Koop, Gary, ** Analysis of financial data**, Wiley, 2006. (available on Kindle)

More emphasis on the practical side of model building in finance.

Other useful textbooks as an alternative are:

Angrist, J.D. and Pischke,
J., ** Mostly harmless econometrics : an empiricist's companion**, Princeton University
Press, 2009. (available on Kindle) . Very readable with an emphasis on practice
and applications.

Peter Kennedy, ** A Guide to Econometrics**, 6th Edition, Blackwell Publishing, 2009.

A new edition of a good non-technical discussion of econometrics. Excellent if you want an intuitive understanding of the material.

Dougherty, Christopher, ** Introduction to Econometrics**, 4th Edition, Oxford University Press, 2011. This
provides a good intuitive description of the subject matter for the
non-specialist.

Verbeek, Marno, ** A guide to modern econometrics**, Wiley, 2000.

A more thorough technical description of the subject for those interested in going deeper.

If you cannot find what you want in these texts, then try looking at Gujarati, Maddala, Pindyck and Rubinfield or any of the hundreds of others available in the library. The edition is probably not important as most textbooks do not change radically over time. However, the chapter numbers and/or page numbers listed for detailed topic references may change between editions.

**Software Guides**

The statistical packages, SPSS and STATA are available for use in the computer labs.

Useful books for learning these packages are:

Field, Andy, ** Discovering Statistics Using SPSS**,Sage 2009, Third Edition

Rabe-Hesketh, Sophia and
Everitt, Brian, ** A Handbook of Statistical Analyses Using Stata**, Chapman and
Hall 2000 Second Edition

Baum, Christopher, ** An introduction to modern econometrics using Stata**, Stata Press, 2006

**Econometrics Software (free download) **

For students who wish to complete computer lab assignments on their home computers or laptops we recommend using the GRETL software package. This is a cross-platform software package for econometric analysis, written in the C programming language. It is free, open-source software published by the Free Software Foundation. Gretl can be downloaded from the web site: http://gretl.sourceforge.net

**Other Readings**

Kennedy, Peter, E.,
'Sinning in the Basement: What are the Rules? The Ten Commandments of Applied
Econometrics' in *Journal of economic surveys..*, 16(4), 2002, pages 569-589.

Kennedy, Peter, 'Oh No! I
Got the Wrong Sign! What Should I Do?' in *Journal of Economic Methodology*, 36, 2005, pages 77-92

Other readings will be provided as handouts and/or posted on the VLE as the course progresses

**Important Note !**

You are **NOT** expected to read everything on this
reading list. You have been provided with a variety of references that explain
the material in different ways. You need to find one or other of them to your
taste. It is recommended that you sample each of the textbooks and decide which
of them you find easiest to get on with. Then, stick with this as your main
reference, but do occasionally sample the others if you find that a particular
topic is not covered well by your chosen text. Notation can and does!) vary
significantly between different textbooks. It is important that you use the
statistical software and analyse the data sets provided. 'Hands-on' is a good
way to start to learn econometric techniques and their applications in finance.

**Semester 2 reading will be
provided at the end of Semester 1 and much of the required semester 2 material
will be provided as handouts or online pdf within the VLE**

This list was last updated on 25/09/2015