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Which good econometrics textbooks would you recommend?

Edit: there are quite a few books out there, with varying levels of mathematical sophistication. It would be good to get some idea of how technical the book you're recommending is.

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    $\begingroup$ Ben Lambert - Undergraduate and graduate Econometrics - youtube Burkey Academy - burkeyacademy.com/home/statistics-econometrics Econometrics by Mark Thomas - YouTube $\endgroup$ – user31892 Oct 24 '13 at 18:29
  • $\begingroup$ nptel.iitm.ac.in/courses/111105042 --- Regression Analysis nptel.iitm.ac.in/courses/111104024 --- Applied Multivariate Analysis $\endgroup$ – user31892 Oct 24 '13 at 18:32
  • $\begingroup$ nptel.iitm.ac.in/courses/110105053 --- Econometrics Modelling - slides nptel.iitm.ac.in/courses/110105030 --- Econometrics Modelling - Video lectures $\endgroup$ – user31892 Oct 24 '13 at 18:34
  • $\begingroup$ Any answer that does not explain why it is recommending a book does not conform to the expectations of this site (see our help center for more about this) and therefore will be deleted. $\endgroup$ – whuber Apr 3 '15 at 22:37
  • $\begingroup$ IMO, this thread does not need to be closed. I recognize the 'opinion-based' aspect here, but this thread is CW, & has been around for a long time serving many people w/ a good number of upvotes & upvoted answers. If this thread is too opinion-based to remain open, then probably a large fraction of [references] threads would need to be closed also, & we have traditionally seen them as within our purview. $\endgroup$ – gung Mar 11 '16 at 21:43

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Definitively Econometric Analysis, by Greene. I'm not an econometrician, but I found this book very useful and well written.

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    $\begingroup$ Greene's book is encyclopedic and a must-have reference. But I have two quibbles: (i) I feel it is a bit out of date relative to current econometric practice; (ii) the presentation is very non-linear, but at the same time, in his exposition Greene will use symbols that were defined maybe 100 pages prior in a completely different context, making things horribly confusing at times. As mentioned below, I would vote for Wooldridge coupled with Angrist and Pischke for an up to date and thorough perspective. $\endgroup$ – Cyrus S Nov 19 '10 at 3:05
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    $\begingroup$ Greene's book is indeed one of the most standard references, but it makes a weird assumption that you know some econometrics when you approach it -- enough to bridge some gaps in presentation. My wife, a game theorist, was trying to learn from it when taking a required econometrics sequence in grad school, and she would ask me at least a dozen questions per homework: "What does this symbol stand for? I cannot find it defined anywhere" or "Am I expected to make a normality assumption here? It is not specified explicitly, but there is no other way to solve this" etc. $\endgroup$ – StasK Aug 19 '12 at 13:25
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    $\begingroup$ In my personal opinion, Greene's book is more like a kitchen sink of econometrics. It tries to cover too much topics at once, while not going into enough depth where needed. Plus, as has been stated before, it's more of a reference than a classic textbook. $\endgroup$ – Durden May 23 '15 at 1:42
  • $\begingroup$ Could anyone comment on older editions? Has the material coverage evolved much since the 1st or 2nd edition? $\endgroup$ – mgilbert Nov 20 '15 at 19:37
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Depends on what level you're after. At a postgraduate level, the one i've most often seen referenced and recommended, and have therefore looked at most myself, is:

Wooldridge, Jeffrey M. Econometric Analysis of Cross Section and Panel Data. MIT Press, 2001. ISBN 9780262232197

Most of what little I know about econometrics I learnt from this book. 776 pages without a single graph.

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    $\begingroup$ My sense is that this, coupled with Angrist and Pischke, would provide the most up to date perspective, although both are geared more toward micro analysis, rather than the types of time series or time-series cross-section analysis that macro analyses entail. $\endgroup$ – Cyrus S Nov 19 '10 at 3:09
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"Mostly Harmless Econometrics: An Empiricist's Companion" (Angrist, Pischke 2008) is a less technical and entertaining summary of the field. I wouldn't describe it as a beginner book, but it's well worth reading once you understand the basics.

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    $\begingroup$ (+1) Worth reading, yes, entertaining, yes. But a textbook? Not exactly... I take the subtitle to mean it's intended as a companion to a textbook. Andrew Gelman's review of it is worth reading too: stat.columbia.edu/~gelman/research/published/… $\endgroup$ – onestop Nov 18 '10 at 0:56
  • $\begingroup$ @onestop: That's a fair point; I wouldn't regard this to be a textbook, but worth considering for someone wanting to learn Econometrics, regardless. $\endgroup$ – Shane Nov 18 '10 at 1:58
  • $\begingroup$ I would say this coupled with Wooldridge's Econometric Analysis of Cross Section and Panel Data would provide the most updated perspective. $\endgroup$ – Cyrus S Nov 19 '10 at 3:02
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It depends on what you really want, (GMM, time series, panel...) but i can recommand those two book : Fumio Hayashi's Econometric and Davidson and McKinnon Econometric Theory and methods and For a course in econometric time series, Hamilton's Time Serie Analysis is great

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    $\begingroup$ +1 for Davidson & McKinnon. I really appreciate its clarity. $\endgroup$ – johnny Nov 27 '12 at 20:45
  • $\begingroup$ Davidson and McKinnon is a great book, +1 $\endgroup$ – kirk Oct 25 '13 at 7:22
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I would definitely recommend M. Verbeek's A Guide to Modern Econometrics. Woolwridge is too worldly (and this long-windedness loses the reader's focus too early in the chapters). Greene (i'm referring to the 5th edition) often gets lost in minutiae: i.e. strives to catalog formulae that are orthogonal to the main subject of the chapter (good for references, but again, not ideal for learning).

i've not read the Hayashi (thought i suspect it's a bit outdated now). Hamilton, is really focused on...TSA so it's a bit off the mark for general econometrics.

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I really like Kennedy's A Guide to Econometrics, which is unusual in its setup, since every topic is discussed on three different levels, first in a non-technical way, then going into details of application and finally going into theoretical details, although the theoretical parts are a bit superficial.

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"Applied Econometrics with R" (Kleiber, Zeileis 2008) is a good introduction using R, and is accompanied by the AER package.

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  • $\begingroup$ That one is a bit too superficial and 'hand-on' imho. $\endgroup$ – user603 Nov 17 '10 at 17:00
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    $\begingroup$ @user603 The question doesn't specify anything like that; I also don't see how it's "superficial". It is very high level and shows how to do analysis in R. I wouldn't recommend it as a textbook for an econometrics course, but it certainly serves a purpose. $\endgroup$ – Shane Nov 17 '10 at 17:18
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I am an econometrics lecturer. Definitely, the best book depends on what you want and the level that is suitable for you. However, my first option is "Basic Econometrics" written by Gujarati. The fourth edition of that textbook provides a good and well-written overview of the subject (Gujarati, 2002). Sadly, I cannot say the same regarding the fifth one (Gujarati and Porter, 2008). I use that textbook in undergraduate and postgraduate courses. For the undergraduate ones, I use it as the main textbook. For the postgraduate ones, I use it in addition to "Econometric Analysis" by Greene (2012). I believe necessary to do this in order to develop the econometric intuition behind the formulae. Econometrics involves intuition, art and technique. Currently, no book provides them in an adequate nor equilibrated manner.

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    $\begingroup$ Welcome to the site, Antonio! Given that another respondent has mentioned Gujarati and Porter in a positive light, it would be nice to have more specifics on your criticisms of it relative to the previous edition. :-) $\endgroup$ – cardinal Nov 27 '12 at 20:48
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One at a somewhat lower level of mathematical sophistication than Wooldridge (less dense, more pictures), but a bit more up to date on some of the fast-moving areas:

Murray, Michael P. Econometrics: A Modern Introduction. Addison Wesley, 2006. 976 pp. ISBN 9780321113610

Seems that it's not available for preview on the web and the publisher is out of stock, but you can view pdfs of 11 web extensions to get an idea of its style.

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  • $\begingroup$ As it happens, I am using this text in a course that I am TAing. The students hate this book. Stock and Watson is a common intro book, with Wooldridge's Introductory Econometrics a bit more sophisticated, but very clear. $\endgroup$ – Charlie Nov 17 '10 at 15:16
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(Disclaimer: I'm not an economist.) I gather you might like to have a range of possibilities listed, however, most of the answers focus on more advanced texts. Should someone want a very introductory text, I can recommend:

Gujarati, D., & Porter, D. (2008). Basic Econometrics. McGraw-Hill/Irwin.

This is very basic (i.e., little math), very comprehensive (~1k pages--there's a ~30p chapter on every conceivable topic that can be read very quickly), and very clear. Moreover, huge numbers of these seem to have been printed and used in classes a few years back, so you can pick up an old copy for a few bucks in a used book store in any college town.

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I like Cameron and Trivedi's Microeconometrics. It strikes a nice balance between breadth, intuition, and rigor (if you follow up on the references). The target audience is the applied researcher. Their Microeconometrics Using Stata is also quite good if you're a Stata user, though it covers less ground. At advanced undergrad or MA level, I love Johnston and DiNardo's Econometric Methods. I hope there's a new edition soon. Kennedy's book is great for intuition if any of the above are tough going.

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I prefer the fourth edition of "Basic Econometrics", among other reasons, because the text is completely self-contained. The fifth edition requires to have access to the web in order to replicate the exercises contained in the text ( Users of the previous edition did not have this problem because the book was packed with an additional cd). This change, that seems a simply technological update, extremely reduces the possibility to replicate the textbook exercises for third-world students (like the ones I teach). Indeed, in my university exists the proposal to eliminate "Basic Econometrics" as textbook due to this reason among others (an additional one refers to the difficulties that local lecturers have to obtain access to the Online Learning Center).

Another problem of the fifth edition relates to the the writing style. According to the authors, one "improvement" of the new edition was the simplification of the analyses included in several chapters (see preface). However, I do not agree with them: The explanations contained in previous editions definitively are better than the ones contained in the fifth one. Evidently, I am aware that it can be argued that this situation may be the result of translation problems (I use the Spanish version of the book). However, users of the fifth edition in English have pointed out the same situation (see comments in amazon.com).

Despite all these problems, I believe that "Basic Econometrics" is the best undergraduate textbook in the market. Even the fifth edition is a good one. Hopefully the next edition may be as good as the fourth one.

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Hashem Pesaran's book looks very promising. It covers such topics as dependencies in panel data and others that I haven't seen in other books.

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