Econometrics

· Princeton University Press
4.3
7 reviews
Ebook
712
Pages
Eligible

About this ebook

The most authoritative and comprehensive synthesis of modern econometrics available

Econometrics provides first-year graduate students with a thoroughly modern introduction to the subject, covering all the standard material necessary for understanding the principal techniques of econometrics, from ordinary least squares through cointegration. The book is distinctive in developing both time-series and cross-section analysis fully, giving readers a unified framework for understanding and integrating results.

Econometrics covers all the important topics in a succinct manner. All the estimation techniques that could possibly be taught in a first-year graduate course, except maximum likelihood, are treated as special cases of GMM (generalized methods of moments). Maximum likelihood estimators for a variety of models, such as probit and tobit, are collected in a separate chapter. This arrangement enables students to learn various estimation techniques in an efficient way. Virtually all the chapters include empirical applications drawn from labor economics, industrial organization, domestic and international finance, and macroeconomics. These empirical exercises provide students with hands-on experience applying the techniques covered. The exposition is rigorous yet accessible, requiring a working knowledge of very basic linear algebra and probability theory. All the results are stated as propositions so that students can see the points of the discussion and also the conditions under which those results hold. Most propositions are proved in the text.

For students who intend to write a thesis on applied topics, the empirical applications in Econometrics are an excellent way to learn how to conduct empirical research. For theoretically inclined students, the no-compromise treatment of basic techniques is an ideal preparation for more advanced theory courses.

Ratings and reviews

4.3
7 reviews
Alexander Sokianos
August 7, 2018
I use this book for my graduate studies. If you know the basics in matrix algebra, calculus and statistics you can easily follow this book. It is highly recommended to those who are seeking graduate studies in economics.
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A Google user
September 22, 2011
A really good book, both for empirical and theoretical guys. Seriously.
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Marcos Aurelio Andrade Rocha
August 1, 2023
fake
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About the author

Fumio Hayashi is a professor at the National Graduate Institute for Policy Studies in Tokyo. He has taught at the University of Tokyo, Columbia University, and the University of Pennsylvania. He is the author of Understanding Saving: Evidence from the United States and Japan.

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