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数理经济学的学习书目
一、初级水平
1、Mathematics for Economists
by Carl P. Simon, Lawrence Blume
《经济数学》现流行于美国各高校，多在PHD的fall I学习，或在暑假集中学习，作为PHD的数学预科。
2、Elements of Dynamic Optimization
by Alpha C. Chiang
《动态最优化基础》，有中译本，是入门的极好书籍
3、Fundamental Methods of Mathematical Economics
by Alpha C. Chiang
《数理经济学的基本方法》，有中译本，是入门的极好书籍，此书尽管是1984年的版本，但在90年代还是非常流行的，内容和Mathematics for Economists by Carl P. Simon, Lawrence Blume的书差不多，但Simon的书较新，是MIT、哈佛的PHD数学预科教材
二、中级水平
1、Analytical Methods in Economics
by Akira Takayama
《经济分析的基本方法》，有中译本，人大版，数学上较Alpha C. Chiang 的书严密，推荐作进阶阅读
2、Mathematical Economics
by Akira Takayama
《数理经济学》，此书乃数理经济学的经典，推荐必读
三、高级水平
1、Recursive Methods in Economic Dynamics
by Nancy L. Stokey, Lucas Robert E. (Editor), Edward C. Prescott (Contributor), Robert E. Lucas (Contributor）
《动态经济学的递归方法》，有中译本，此书乃动态经济学方法的经典，Lucas还获得了Nobel经济学奖，推荐必读，最好与Recursive Macroeconomic Theory by Lars Ljungqvist (Author), Thomas J. Sargent (Author)的书一起读，是迈入现代宏观经济学的必由之路。
2、Recursive Macroeconomic Theory
by Lars Ljungqvist (Author), Thomas J. Sargent (Author)
Thomas J. Sargent的经典之作，英文最新有2nd版，可下载。
3、Dynamic Optimization
by Morton I. Kamien, Nancy L. Schwartz
《动态规划》，此书是动态规划领域的经典;
4、Stochastic Optimal Control: The Discrete Time Case
by Dimitri P. Bertsekas, Steven E. Shreve
《随机最优控制》，推荐阅读
5、Dynamic Programming and Optimal Control: 2nd Edition (Volumes 1 and 2)
by Dimitri P. Bertsekas
《动态规划与最优控制》，此书版本较新是MIT的经济学PHD动态规划课程的指定教材，但要求的数学背景较高，最好学过实分析和高等概率论再读此书，难度很高，推荐必读。
说明：1、阅读初级水平的书需要大学微积分、线性代数、概率统计、运筹学的基础知识，推荐《高等数学》同济第四版、《线性代数》同济第三版，更深的线性代数可参考《高等代数》北大数学系第二版、《概率论与数理统计》盛骤第四版、《运筹学》清华版；
2、阅读中级水平的书需要初级水平的数理经济学知识，最好再加上微分方程、复分析等方面的基础知识，然而国内这方面的书要么是数学系用的书?太深，要么是一般的入门书籍?太浅，笔者认为物理类、力学类用的《数学物理方法》比较适合中级水平的读者，内容包含了复变函数、积分变换、数学物理方程等内容，推荐《数学物理方法》（第三版）、梁昆淼、高教版；
3、阅读高级水平的书需要一点实分析和泛函分析、随机过程、高等概率论的知识，只求应用者只需稍加学习，想进一步深入研究者最好选修数学系相关课程。
数理经济学的学习书目
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至于前面那个爱下雨的兄台，可能是个很牛的人。但我只是想说点不同意见。SAS现在相对已经不是很热门的软件了，有的公司用它是因为它出来的比较早。美英以及欧洲各大高校或是公司，计量经济方面主要用的是STATA了，还有很多纯经济学或是金融分析用的是EViews。即便是市场，我知道的一个号称是准备做以市场方面研究冲击诺贝尔奖的的教授用的也不过是SPSS,更何况大多数作市场方面的博士生用的都是SPSS.
转自：http://www.tianya.cn/new/Publicforum/Content.asp?idWriter=0&Key=0&strItem=no20&idArticle=41387&flag=1
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介绍几种常用的计量经济学软件
最近经常听到网友想知道数学模型在区域经济学中应用到什么程度，要用到什么软件，应用都什么程度。本人在国外刚好看到有这方面的介绍，现copy给大家（是英文，不过很简单，我没时间翻译了，相信大家理解没问题），再结合自己的使用经验，分析一下几种常用软件使用的优劣势。
Econometric software package information
Amos
This package is designed for estimating linear structural equation models. It is particularly well suited for models with latent variables or measurement error components. Bootstrap methods are provided for the computation of standard errors. While this is not a general purpose econometrics package, it is useful in specialized applications. A free student version is available for Windows and OS/2 platforms.
AREMOS
This package, provided by Global Insight, is primarily designed for the analysis and manipulation of time-series and panel data. AREMOS estimates OLS, 2SLS, 3SLS, ARIMA, VAR, cointegration, and some nonlinear models. It is available on Windows platforms.
Autobox
A package that automates the identification of ARIMA and transfer function models. This package is available on DOS, Windows, and RISC platforms.
BMDP
A classic package that estimates regression, logit, survival function, maximum likelihood (user-specified function), and ARIMA models. Available Windows 2000/XP platforms.
DataDesk
A Mac/Windows program designed for exploratory data analysis. Peforms basic regression analysis.
Dataplore
Dataplore is a full-featured package for the analysis of time-series data using a frequency domain approach. Academic users may download evaluation copies of the software for Windows, Linux, and Sun Solaris platforms.
EasyReg
This package contains a wide variety of estimators for cross-sectional and time-series models. In addition to standard regression models, this package also estimates a variety of limited dependent variable (such as logit, probit, and Tobit models) and time-series models (including ARMA error processes, ARCH tests, VAR models, and tests for unit roots and cointegration). The program and sample data sets are downloadable from this site. This powerful software package operates on Windows platforms.
EasyPlot
A 3D data plotting package that will estimate some nonlinear relationships.
Egwald Statistics - Multiple Regression
This online regression package, created by Elmer G. Wiens, allows the user to estimate multiple regression models online (including models with parameter restrictions).
Epicure
A statistical package designed to deal with risk models.
EQS - Structural Equation Modeling Software
A package for estimating LISREL-type models.
EViews (Quantitative Micro Software)
The modern windows based replacement to the very popular MicroTSP package. This package offers state of the art time-series modelling capabilities and a good variety of single equation and simultaneous equation regression models. A variety of limited dependent variable, panel data, and ARCH models are also included to provide a very well-rounded econometrics package. Remote access to web-based data files is possible. Available for Windows.
Fair-Parke program
This program may be used to estimate systems of simultaneous equations (including rational expectations and autocorrelated error models). It is available in either an executable form for MS-DOS machines or as FORTRAN source code for other platforms.
First Bayes
A software package designed to teach Bayesian statistics. This package runs on Windows platforms and a download available at this site. (There is no charge for educational users.)
Frontier
This software package, written by Tim Coelli, provides a maximum likelihood estimator for the parameters of frontier regression models. This may be used for the estimation of cost or production functions with truncated normal error terms. It allows for time-variant and time-invariant efficiencies and may be used with either cross-sectional or panel data.
GAMS (General Algebraic Modeling System)
This is a modeling system that can be used for a variety of statistical, econometric, and other mathematical models. Model libraries are available for downloading.
Gauss
This econometrics package/matrix programming language is one of the most popular among those working with maximum likelihood estimators. Gauss is available on Dos, Windows, and Unix platforms. This site contains online tutorials and links to several libraries of Gauss code. Links to a variety of Gauss resources may be found at American University or at Eric Zivot''s Gauss Resources page.
GB-Stat
A reasonably comprehensive statistics package that can be used for many econometric applications. It is available for Windows or Mac platforms. www.6park.com
G*Power
A free software program that computes t, F, and Chi-Squared statistics and computes the power of an experimental test. PC and Mac versions are available and may be downloaded from this site.
GQOPT
The classic nonlinear optimization package that contains a large variety of options to solve difficult maximum likelihood problems. This package, written in Fortran, requires a user-written Fortran subroutine to evaluate the likelihood function. The user may also specify analytic derivatives (as a subroutine) or use a choice among a variety of built-in numerical derivative routines. Available for DOS, Windows, and mainframe environments. (A Fortran compiler is also required.)
Gretl
The Gnu Regression, Econometrics and Time-series Library (gretl) is a very useful econometrics package developed by Allin Cottrell. It offers a very easy to use graphical interface and a growing collection of statistical and econometrics routines.
Grocer
This is an econometrics toolkit for Scilab, a matrix processing language similar to Gauss and Matlab. Grocer and Scilab are both free open-source projects. Grocer provides an automatic general-to-specific model estimator that is analagous to PC-GETS. Estimators for 2SLS, SUR, 3SLS, VAR, VEC, VARMA, and GARCH models are also part of this package.
JMP
A package that contains a variety of ANOVA, regression, ARIMA, and time-series smoothing models.
Leading Market Technologies (producers of EXPO - a statistical package designed for financial analysts)
This site contains information about the EXPO package (a free student version is available).
LIMDEP 8.0
This econometrics software package was written by William Greene, the author of Econometric Methods. LIMDEP is updated frequently and contains state-of-the-art estimators. LIMDEP contains estimators for most single-equation and simultaneous equation econometric models. No other package contains as diverse a mix of estimators for limited dependent variable models. It''s only weakness is its limited capabilities for dealing with time-series models.
LISREL
LISREL is a statistical package designed to estimate models involving linear structural relationships among observed and latent (unobserved) variables.
MacAnova
A statistical and matrix algebra package that is strongest in ANOVA models with some basic regression and time series models. Available on Mac, Windows, and Linux platform. This package is free for educational users.
Macsyma
This is a commercial symbolic algebra package that is comparable to Mathematica and Maple.
Maple
One of the most popular mathematical processing languages. While this is not a statistical package, it is often used to teach statistical and econometric concepts. Software libraries are available for many applications.
Mathematica
The major competitor to Maple. (See the notes above for Maple.) A Mathematica Help Page is available at Yale
MathCad (from Mathsoft)
MathCad is another mathematical processing language.
Matlab
A mathematical processing language that is a competitor to Mathematica and Maple.
Matrixer
This Windows shareware program offers a large and growing selection of time-series, cross-sectional, and limited dependent variable models.
Maxima
An open source descendent of the original Macsyma symbolic algebra project.
Microfit
This is a general econometrics package, developed by B. and M. Hashem Pesaran, for Windows platforms. This package has a very good mix of estimators for ARCH, GARCH, cointegrating VAR models, and other time series models.
Minitab
A commonly used package for teaching basic statistics and econometrics. It does not have many of the features of modern econometric software, but it is easy to use and offers good online help facilities.
MLEQuick
MLEQuick is a menu-driven program that contains estimators for a wide variety of regression, limited dependent variable and survival models. Those with some programming experience in C++ may also wish to use MLE++ (a collection of MLE routines written in C++).
MuPAD
An alternative to Mathematica or Maple that is available on Windows, Linux, and Mac platforms. A free "Light" version of thhis package is available from this site.
Mx
Mx is a structural equation modeling program that allows the user to specify models using either a matrix algebra language or a graphical user interface. Linear and nonlinear equality constraints, missing data, and multilevel models may be handled with this package.
NAG (Numerical Algorithms Group)
A major supplier of Fortran 77, Fortran 90, C, and Ada code for statistical and other applications. This company also provides a variety of statistical packages including GLIM and a statistical add-on for Excel. (These packages can be used for a variety of ANOVA, linear, nonlinear, and (user-specified) maximum likelihood procedures.
O-Matrix
A matrix programming language that is can be used for statistical applications. A demo version may be downloaded from this site.
Octave
Another mathematical programming language.
Ox
Ox is an object oriented matrix programming language designed for statistical applications. Educational users may download a copy of Ox from this site (along with Pc-Give - described below). This package provides a nice free alternative to GAUSS for educational and noncommercial research applications.
PcGive
PcGive is a statistical package written by Doornik and Hendry that is particularly well suited for time-series models. This package has been designed with to encourage the general to specific model building practice for which the London School is known. (This package now includes PcFiml.)
R
The R Project for Statistical Computing is a GNU project that has developed a set of mathematical tools and statistical procedures that provide a free alternative to AT&T''s S package.
RATS and CATS
A very powerful time-series package that runs on Windows and Mac platforms. This package is very well suited for estimating VARS and a variety of time-series models. The CATS package provides additional cointegration tests and features.
Resampling Stats
A site that contains information about an alternative approach to teaching statistics and downloadable software programs that can be used for this approach.
S Plus
An exploratory/visual data analysis package with limited econometric functionality.
SAS
For many years, SAS has been the dominant mainframe package for dealing with large econometric models.
Shazam
A popular package that contains estimators for most basic econometric models. This page contains sample documentation, data, and allows visitors to run Shazam programs remotely.
Soritec
Soritec is a reasonably full-featured econometrics software package with nice graphical capabilities. Estimators are available for OLS, 2SLS, 3SLS, SURE, ARIMA, logit, probit, and transfer function models. A student version is available for $10. Soritec is available for DOS and Windows platforms. While this package contains most regression model estimators, it is still a bit limited in sample selectivity models.
Spatial Statistics Software, Spatial Data, and Articles
This site, provided by Kelley Pace, contains free spatial software written in Matlab that makes it possible to estimate large spatial autoregression models. A Fortran 90 version of the software (Spacestatpack) is also available, as well as spatial data, spatial articles, and links to other sites that contain information related to spatial statistics model。
STAMP (Software for Structural Time Series Modeling)
A structural time series package that models and forecasts time series variables.
StatsDirect
A basic statistics package that estimates regression, probit and logit, and survival analysis.
SPSS
A very popular package among econometricians in the late 1970s and early 1980s.m
SST
An econometrics package that can be used to estimate a variety of maximum likelihood problems. A variety of regression and limited dependent models are available.
Stata
During the last decade, Stata has become one of the most widely used econometric software packages. It now includes a wide variety of robust estimators for regression, limited dependent variable, panel data, and time-series models. Only SAS comes close to the variety of estimators provided by this package.
UCLA''s Stata tutorial
StatTransfer
While this is not an econometric software package, this program is an extremely valuable tool that provides conversion among most commonly used data formats. These data formats include speadsheet and database formats as well as the internal storage formats for virtually all major econometric and statistical software packages.
StatView
A now discontinued product that was very popular among Mac users (a Windows version was also available). This package provides basic regression and survival analysis models, but does not contain many fundamental econometric estimators.
Stixbox
A free library of statistical routines for use with MATLAB.
SYSTAT
Systat is a popular statistical package distributed by SPSS. It is available on Windows and Mac platforms.
TSP International
The home of the original makers of TSP. This package was the first widely used econometrics software package on mainframe computers. The current version of this package runs on mainframe and PC platforms and contains several estimators that are not available on the current Micro-TSP and EViews packages. It still relies on the command-line user interface that should be familiar to econometricians who used earlier versions of the package. Those who are prefer using a mouse may wish to try the simpler interface available on EViews or MicroTSP. TSP is available for mainframe, DOS, Windows, OS/2, Mac, and unix machines.
WinSolve
A package for anlalyzing nonlinear economic models. A full demo version is available that functions for 120 days. w
Xlisp-Stat
A statistical package written in Lisp by Luke Tierney at the University of Minnesota. The package may be downloaded from this FTP site. www.6park.com
XploRe
This package is designed for exploratory data analysis and nonparametric econometric applications. www.6park.com
XTREMES
A software package designed to analyze extreme data. This is primarily used for the analysis of insurance and speculative price data. XPGL, a graphical programming language in statistics, operates within the XTREMES package.
Yorick
Another free matrix language with numerous built-in statistical functions.
可能介绍的比较多，大家也没必要每种软件都要试一试，可重点关注eviews,tsp，gauss,limdep,mathematica,matlab, sas,spss和stata。实际上我也只不过经常使用这几种软件，下面我就把使用心得和大家分享一下，刚好我也梳理一下，助人助已。
1、 eviews相信大家最熟悉了，这是目前高校里面使用最普遍的软件，是tsp（dos版）的windiows版本。其以界面的友善、使用的简单而著称，基本上操作是傻瓜式，但是非常实用，处理回归方程是它的长处，能处理一般的回归包括多元回归问题。我比较喜欢它的单位根检验和granger因果关系检验这两个命令，以及协整模型、ARIMA模型。我向入门者推荐这门软件。不过这个软件的劣势在于它的处理过程（傻瓜菜单）是个黑箱，出来的结果可能会不够精确，有的人可能会为得到一些结论造一些结果，可信度不是很高。（不过对于回归分析我相信对于同一组数据所有软件做出来的结果都是一样的）；另一个不足是只能处理时间序列数据。
tsp软件现在没人用了，因为没有再用dos操作系统了。
2、gauss软件比较强大，在国内有林光平博士《计算计量经济学：计量经济学家和金融分析师GAUSS编程与应用》这本书，附带一个guass软件的轻量版。这本书非常好，附带有许多已经编好的、可信赖的软件包，你只要编点简单的程序按你的目标把这些软件包串联起来就行了，很简单，这等于是把黑箱打开了一部分，提高的可信度。遗憾的是我没见到完整的gauss 软件，可能有的也是盗版。
3、spss软件。我以前非常喜欢使用这个软件，界面友好，使用简单，但是功能很强大，也可以编程，eviews能处理的它全能处理，另外横截面数据的处理是它的强项，能处理多变量问题，如进行因素分析、主成份分析、聚类分析、生存分析等。目前我这里有正版的11.5版本。大家学有余力我强力推荐。
4、sas软件。这个软件非常强大，也被吹嘘的很神秘。可以说spss的功能它全有，另外它还带有一些帮助企业决策的功能。但是有两个方面的问题影响它的使用。一是相对前面几种软件它使用相对比较复杂，不是很容易学；另外sas软件非常大，盗版的太多，一般企业购买正版的较多，对于我们穷苦学生和学者来说安装正版有点奢侈，我以前机子里装的就是盗版。盗版可能影响数据处理的可信度。
5、mathematica软件。这是一个数学软件，现在有5.0版。使用非常方便，用一些简单的命令就可以得到你要的结果，对数据拟合、模型拟合处理的很好，得到的图形也非常漂亮。以前在本科数学建模的时候经常用，但是统计功能不是很强大。
6、matlab软件。这是一种工科软件，功能非常强大，在建筑、工程中使用比较多，做出来的图形能够用完美来形容，编程能力很强，不过用在统计上有点大才小用，编程也相对复杂。但是用做数学建模绝对是个好的工具。
7、 limdep软件。这是一门专业的统计软件，不大，安装盘不到8M，目前版本是8.0。我有正版软件及三大卷使用guide。除了时间序列、横截面数据外，处理面板数据是它的强项。但是我感觉这个软件使用太复杂了，命令非常复杂，界面也不友好，学习起来太费时间，使用效率不高，我不推荐。
8、 stata软件。说到最后才说到她，这才是我的最爱。只能用无数个“太好。。。”来形容。正当我使用limdep软件处理面板数据，做 stochastic frontier analysis模型痛苦万分时，我找到了这个软件，太爽了。这个软件兼有常用的eviews,spss,limdep,gauss有长处，使用简单，真正是把傻瓜菜单和命令、编程完美结合起来，目前版本是9.0。处理面板数据是它的优势，功能是太多了，技术细节处理的非常好，而且如果你是用正版的话，基本上每个星期都有在线升级，网站的支持功能也做得非常好。如果你有课题经费报销的话我绝对支持你去买一个正版，绝对值得！
说得这么多，可能弄得有点复杂了，对于上面几种统计软件的选择，对于初学者我有几点建议：
1、只选对的。如果你是入门，依据实用性原则，eviews应是你的首选，其次是spss。依照简单性原则，时间序列用eviews，横截面数据用spss，面板数据用stata，具体的依照你的水平和处理对象。各种软件各有优劣势。我也是把各种软件结合起来用，根据需要来选择。
2、最好用正版软件。我知道我们都是穷苦子弟，导师课题费使用也很抠门，但是从对你学习的帮助程度、数据处理的可信性来说选正版是理性的。如果真要用盗版的话用eviews和spss吧，简单也有点可信。
以上是我的一些介绍，有未尽之处、不对之处对象大家补充和指正。
(一些新的补充：
EXCEL也能做一些简单直观的统计分析，如果已经安装宏的话还能做一些数值分析，也很实用。
EVIEWS也能进行面板数据的处理，但是很不方便。
有网友说spss在多元统计分析方面较突出，而eviews在计量经济模型方面较优，二者结合应用比较理想；sas在数据挖掘方面功能较强，matlab、mathematica软件可能在数值计算方面占优,这些说得很有道理。）
转自：http://spaces.msn.com/nobodyfei/blog/cns!5B3CA2DDB66336FB!152.entry?_c=BlogPart
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R－统计分析的利器
大学毕业之后也作了一年多的工程师，期间免不了和数据打交道，况且公司中绝大多数设备并不是内部设计制造的，因而常常被看作一个黑盒模型来推测这个系统的输入和输出的关系。所以，对此类控制优化问题，基于数理统计思想的数据分析显得非常重要。同时，数据分析得出定量决策也避免了主观上的判断，有利于保证质量和成本的最优化以及团队之间的合作，这点对大的系统工程项目尤其有用。另外，好的统计分析在决策者注意到之前很早就可以得到微小的系统信号，及早地发现这些变化，就可以在这些变化发展为问题之前让企业有更多机会来进行纠正或者调整。
对大多数类似我所在公司的欧美制造型企业来说，Minitab作为 SixSigma风潮所推荐的数据分析工具，是一个比较常见的应用统计软件，但是其灵活性和可扩展性都并不强，属于那种易于菜单操作的入门产品而已，基本上不能有效地利用数据来进行过程控制。所以，我一直在寻找一个可替代的产品。不过，Minitab附带的帮助系统是一个很有用的参考文件，详细的阐述了制造业涉及的取样、测量、分析、优化和控制过程，甚至还包含了涉及到的绝大多数的统计算法，无论对初学者和深入研究者都有很大的借鉴意义，我非常推荐这个文件。
近来，在网上发现了一个很棒的免费统计分析软件： TheRProjectforStatisticalComputing。R是一个用于统计计算的成熟的开源软件，是一种为统计计算和图形显示而设计的语言及环境，它和贝尔实验室开发的S系统相似。它提供了一系列统计和图形显示工具，其中包括线性和非线性模型，统计检验，时间序列分析，分类，聚类等等。它的使用是基于命令行方式的，需要一定的统计学背景知识。R并不是要成为一门编程语言，而是要成为一个用于研究数据集，包括范围广泛的数据属性图形化描述的生成的交互式工具，也能够和数据库和其它应用程序交换数据。有空大家可以下载一个试用一下。它的官方网址是：::URL::http://www.r-project.org。
最后，引用两段名言来说明统计和现实的关系：
Allmodelsarewrongbutsomeareuseful.
Sofarastheoriesofmathematicsareaboutreality;theyarenotcertain;sofarastheyarecertain,theyarenotaboutreality.
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人大经济论坛 → 学术交流 → 计量经济学 → 帖子列表
>> 计量经济学、统计学、数学、软件、数据等经济学相关问题交流
转自：https://bbs.pinggu.org/forum-5-1.html
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SAS6.12学习版 SPSS11.5下载 Stata8.0破解版 MatLab6.5下载 S-plus试用版 EVIEWS3.1下载 SYSTAT10.0DEMO文件 补丁 Minitab下载 Statistica6试用版 NoSA5下载
转自： 安徽财经大学统计与应用数学学院 http://www.aufe.edu.cn/newweb/college/tjyysx/type.asp?typeID=18
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