There's a question for textbooks here, but I would like to ask similar question about handbooks: what econometrics handbooks would you recommend?

Assumed audience is researchers and graduate-level students. It needs to include the material of Greene's Econometric Analysis and Wooldridge's Econometric Analysis of Cross Section and Panel Data in a denser form (without discussions and proofs), as well as mainstream techniques not mentioned in these two books.

One option is Elsevier's 6 volumes of Handbook of Econometrics series edited by Griliches and Instriligator. However, perhaps you would recommend other handbooks, more concise or otherwise?

I suggest two possible formats: one is a reference-card format with minimum explanations, and the other one is a more extended format with proofs and more detailed exposition.

  • $\begingroup$ For recommendations to have some objective support, they need to respond to a more specific question than this. Please consider indicating the intended audience (and their background) and the purpose of the text. Also, a "handbook" is so close to a "textbook" that it does not appear sufficiently to distinguish this question from the predecessor, at least not without further elaboration of your aims. $\endgroup$
    – whuber
    Oct 15, 2013 at 5:02
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    $\begingroup$ @whuber Thank you for your commentary. I described the details. The difference between "handbook" and "textbook," as I see it, is in the depth of details and scope of topics. Handbooks in this case exclude discussions and explanation and concern upper-level topics usually omitted in textbooks. $\endgroup$ Oct 15, 2013 at 8:40
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    $\begingroup$ possible duplicate of Good econometrics textbooks? $\endgroup$
    – StasK
    Oct 15, 2013 at 14:50

1 Answer 1


I think Cameron and Trivedi's Microeconometrics fits the bill. It strikes a nice balance between breadth, intuition, and rigor (if you follow up on the references). The target audience is the applied researcher. Not everything is Greene is covered:

1. Overview
2. Causal and Noncausal Models
3. Microeconomic Data Structures

4. Linear models 
5. ML and NLS estimation
6. GMM and Systems Estimation
7. Hypothesis Tests
8. Specification Tests and Model Selection
9. Semiparametric Methods 
10. Numerical Optimization

11. Bootstrap Methods
12. Simulation-based Methods
13. Bayesian Methods

14. Binary Outcome Models
15. Multinomial Models
16. Tobit and Selection Models
17. Transition Data: Survival Analysis
18. Mixture Models and Unobserved Heterogeneity
19. Models of Multiple Hazards
20. Count Data Models

21. Linear Panel Models: Basics
22. Linear Panel Models: Extensions
23. Nonlinear Panel Models

24. Stratified and Clustered Samples
25. Treatment Evaluation
26. Measurement Error Models
27. Missing Data and Imputation

A. Asymptotic Theory
B. Making Pseudo-Random Draws

Peter Kennedy's Principles of Econometrics book does the same with more emphasis on intuition. The target audience is students of different sorts. All the material is covered at three levels. The first one provides the intuition and the main idea, the second one introduces some very basic notation, and the last one provide references to the more complicated topics. Sadly the 6th edition is the last one. TOC is here.


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