Sách tham khảo

Sách về kinh tế lượng (cơ bản)

1. Hill, R. C., Griffiths, W. E., & Lim, G. C. (2018). Principles of econometrics. John Wiley & Sons.(link)

2. Wooldridge, J. M. (2012). Introductory Econometrics: a modern approach. 5th. CENGAGE Learning, Canada. (link)

3. Gujarati, D. N., & Porter, D. C. (2009). Basic econometrics. McGraw-hill. (link)

4. Angrist, J. D., & Pischke, J. S. (2009). Mostly harmless econometrics: An empiricist's companion. Princeton university press. (link) - Link tài liệu liên quan (link)

5. Greene, W.  H., (2003). Econometric Analysis. W. Greene. Fifth edition.  Pearson Education. (link)

6. Verbeek, M. (2008). A guide to modern econometrics. John Wiley & Sons. (link)

7. Amemiya, T. (1994). Introduction to statistics and econometrics. Harvard University Press.

8. Davidson, R., & MacKinnon, J. G. (2004). Econometric theory and methods (Vol. 5, pp. 189-196). New York: Oxford University Press.

9. Davidson, R., & MacKinnon, J. G. (1993). Estimation and inference in econometrics (Vol. 63). New York: Oxford.

10. Johnston, J., & DiNardo, J. (1963). Econometric methods.

11. Judge, G. G., Griffiths, W. E., Hill, R. C., Lütkepohl, H., & Lee, T. C. (1991). The theory and practice of econometrics (Vol. 49). John wiley & sons.

12. Mittelhammer, R., Judge, G. G., & Miller, D. J. (2000). Econometric foundations pack with CD-ROM. Cambridge University Press.

13. Hayashi, F. (2011). Econometrics. Princeton University Press.

14. Kennedy, P. (2008). A guide to econometrics. John Wiley & Sons.

15. Pindyck, R. S., & Rubinfeld, D. L. (1988). Econometric models and economic forecasts, McGrawHill Book Company, 1991.

Sách về dữ liệu bảng

1. Wooldridge, J. M. (2010). Econometric analysis of cross section and panel data. MIT press. (link)

2. Hsiao, C. (2003). Analysis of panel data (No. 64). Cambridge university press. (link)

3. Arellano, M. (2003). Panel data econometrics. Oxford Univ Press. (link)

4. Frees, E. W. (2004). Longitudinal and panel data: analysis and applications in the social sciences. Cambridge University Press. (link)

5. Baltagi, B. H., & Baltagi, B. H. (2008). Econometric analysis of panel data (Vol. 4). Chichester: Wiley. (link)

6. Pesaran, M. H. (2015). Time series and panel data econometrics. Oxford University Press.

7. Baltagi, B. H. (Ed.). (2015). The Oxford handbook of panel data. Oxford University Press.

8. Cameron, A. C., & Trivedi, P. K. (2010). Microeconometrics using stata (Vol. 2). College Station, TX: Stata press.

Sách về phân tích chuỗi thời gian

1. Brooks, C. (2019). Introductory econometrics for finance. 2th. Cambridge university press. (link)

2. Enders, W. (2008). Applied econometric time series. John Wiley & Sons. (link)

3. Hamilton, J. D. (1994). Time series analysis. Princeton university press. (link)

4. Tsay, R. S. (2005). Analysis of financial time series. John wiley & sons. (link)

5. Kirchgässner, G., Wolters, J., & Hassler, U. (2012). Introduction to modern time series analysis. Springer Science & Business Media. (link)

6. Lütkepohl, H. (2005). New introduction to multiple time series analysis. Springer Science & Business Media. (link)

7. Durbin, J., & Koopman, S. J. (2012). Time series analysis by state space methods (Vol. 38). OUP Oxford. (link)

8. Brillinger, D. R. (2001). Time series: data analysis and theory. Society for Industrial and Applied Mathematics.

9. Brockwell, P. J., & Davis, R. A. (1991). Time series: theory and methods. Springer science & business media.

10. Brockwell, Peter J. and Davis, Richard A. (2002). Introduction to Time Series and Forecasting, 2nd edition. Springer-Verlag, New York.

11. Canova, F. (2007). Methods for applied macroeconomic research (Vol. 13). Princeton university press.

12. Martin, V., Hurn, S., & Harris, D. (2013). Econometric modelling with time series: specification, estimation and testing. Cambridge University Press.

13. Chatfield, C. (2004). The Analysis of Time Series. Chapman & Hall/CRC, Boca Raton, FL

14. Chatfield, C. (2000). Time Series Forecasting. Chapman & Hall/CRC, Boca Raton, FL.

15. Box, G. E. P., Jenkins, G. M., & Reinsel, G. C. (1994). Time Series Analysis: Forecasting and Control. Prentice - Hall, Inc., Upper Saddle River, NJ.

16. Madsen, H. (2008). Time Series Analysis. Chapman & Hall/CRC, Boca Raton, FL.

17. Wei, W. W. S. (2006). Time Series Analysis: Univariate and Multivariate Methods (2ed.). Pearson, Boston, MA.

18. Hyndman, R. J., & Athanasopoulos, G. (2018). Forecasting: principles and practice. OTexts.

19. Granger, C. W. J. (2014). Forecasting in business and economics. Academic Press.

20. Mills, T. C., & Markellos, R. N. (2008). The econometric modelling of financial time series. Cambridge university press.

21. Maddala, G. S. and Kim, I. M. (1998). Unit Roots, Cointegration and Structural Change, Cambridge University Press, Cambridge.

22. Gourierousx, C. (1997): Arch Model and Financial Applications, Springer, New York.

23. Shumway, R.H., Stoffer, D.S. (2006). Time Series Analysis and Its Applications (with R examples). Springer-Verlag, New York

Phân tích chuỗi thời gian với machine learning và deep learnings

• Nielsen, A. (2019). Practical time series analysis: Prediction with statistics and machine learning. O'Reilly Media.

• Peters, T. (2019). Data-driven science and engineering: machine learning, dynamical systems, and control: by SL Brunton and JN Kutz, 2019, Cambridge, Cambridge University Press.

Sách về hồi quy với biến phụ thuộc bị giới hạn

1. Long, J. S., & Freese, J. (2006). Regression models for categorical dependent variables using Stata (Vol. 7). Stata press. (link)

2. Martin, P. (2022). Regression models for categorical and count data. (link)

Sách về hồi quy không gian

1. LeSage, J. (2009). Spatial econometrics. In Handbook of research methods and applications in economic geography (pp. 23-40). Edward Elgar Publishing. (link)

2. Anselin, L. (2005). Spatial regression analysis in R: a workbook. Urbana, 51, 61801. (link)

3. Griffith, D. A., & Paelinck, J. H. P. (2011). Non-standard spatial statistics and spatial econometrics. Springer Science & Business Media. (link)

4. Haining, R. P. (2003). Spatial data analysis: theory and practice. Cambridge university press. (link)

Kinh tế lượng với Stata

1. Schopohl, L., Wichmann, R., & Brooks, C. (2019). Stata Guide to Accompany Introductory Econometrics for Finance. (link)

2. Adkins, L. C. (2011). Using Stata for principles of econometrics. John Wiley & Sons. (link)

3. Cameron, A. C., & Trivedi, P. K. (2010). Microeconometrics using stata (Vol. 2). College Station, TX: Stata press. (link)

4. Stata Time-Series Reference Manual, Stata Press Publication. StataCorp LLC. College Station, Texas (link)

5. Baum, Christopher F. 2016. An Introduction to Stata Programming, Second Edition. Stata Press.

Kinh tế lượng với  R

1. Shumway, R. H., Stoffer, D. S., & Stoffer, D. S. (2000). Time series analysis and its applications (Vol. 3). New York: springer. (link)

2. Racine, J. S. (2019). Reproducible econometrics using R. Oxford University Press, USA. (link)

Phân tích chuỗi thời gian bằng R

3. Cryer, J. D., Chan, K. S., & Kung-Sik.. Chan. (2008). Time series analysis: with applications in R (Vol. 2). New York: Springer.

4. Galit Shmueli and Kenneth C. Lichtendahl Jr (2016). Practical Time Series Forecasting with R: A Hands-On Guide, 2nd Edition, Axelrod Schnall Publishers.

5. Tsay, R. S. (2013). Multivariate time series analysis: with R and financial applications. John Wiley & Sons.

Hướng dẫn sử dụng Eviews

1. Griffiths, W. E., Hill, R. C., & Lim, G. C. (2012). Using EViews for principles of econometrics. John Wiley & Sons, Inc. (link)

2. EViews 12 User’s Guide II (link)

Tài liệu ôn tập về Thống kê

1. A.S. Goldberger, A Course in Econometrics, Harvard Univ. Press, 1991.

2. G. Casella and R.L. Berger, Statistical Inference, 2nd ed., Duxbury, 2002.

3. R.V. Hogg, J. McKean and A.T. Craig, Introduction to Mathematical Statistics, 7th ed., Pearson, 2012.

4. R.C. Mittelhammer, Mathematical Statistics for Economics and Business, 2nd ed., Springer, 2013.

5. T.W. Epps, Probability and Statistical Theory for Applied Researchers, World Scientific, 2014.

6. Good help for foundations in linear algebra:

7. A.S. Anton, Elementary Linear Algebra, Harvard Univ. Press, 1991.

8. P. Dhrymes, Mathematics for Econometrics, Springer, 1984.