Econometrics

Customer Reviews

Unlike the vast majority of econometrics texts, this book combines solid economic theory with a thorough grounding in basic mathematical statistics. The worked practical examples introduce some classic empirical papers and provide an excellent motivation to study the theory. The little bit of effort required to put on the GMM-tinged glasses makes everything look so much clearer.

The incidental treatment of linear algebra is better than that of any 'Math. for Economists' book I have ever come across.

Anyone at the graduate level of study should own this book. It would also be of value to advanced undergraduates, and out-of-touch academics.

It should be noted that an important aspect of statistical analysis is the treatment of 'outliers', such as the 'review' presented by Mr. Brian J. Phillips.

But, for pure theory I prefer Davidson & McKinnon's "Estimation and inference", and for an empirical approach Berndt's "Practice of Econometrics".

Hayashi's is a good intermediate alternative, with great theory exposition and good empirical exercises.

One of the best options for a graduate student.

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