Reading

 

I will indicate as we go along what material I expect to cover week to week. I expect students to have examined starred readings in advance of the relevant lectures.

There is no basic textbook for this course; I'm the author of the lectures you'll be hearing. I'll generally try to make these lectures fairly self-contained, so that in principle no textbook should be required. However, it's almost always a good idea to get a couple of different perspectives on any topic, and my lectures probably won't make for great reference material. Accordingly, I list some textbooks below. I recommend that you acquire the starred texts.

Greene93*

Although my lecture notes were written with very little reference to this textbook, this text is excellent and its coverage of material fairly comprehensive. I'd guess it to be the most commonly required econometric textbook for graduate courses.

Judge-etal88*

This important text is the standard reference for a large class of estimation problems and techniques, and does an excellent job of covering what it covers very thoroughly. This text covers most (but not all) of the material we'll cover in this course, though the order and manner of presentation will differ substantially.

In addition to these, there are a wide variety of other econometric textbooks. I list some of these below, including some more specialized texts.

Johnston84

A classic. Chapters 2-5 provide an excellent introductory development of classical least squares. Particularly good for those whose grasp of linear algebra may be a little weak.

Kennedy79

There are later editions I'm not familiar with, but this provides a very `talky' adjunct to other texts. I like the dedication in the first edition.

Amemiya85

This may still be the standard text for courses in econometrics somewhat more advanced than ARE 212.

Davidson-MacKinnon93

I like this text very much. However, it relies heavily on the framework of nonlinear least squares. There's nothing wrong with this approach; it's just not the one we'll take, which limits the usefulness of the text for this course. Nonetheless, you may find this book occasionally useful. It focuses more than most on non-linear estimation, and has a nice chapter on GMM, which is unusual.

Hamilton94

This recent book is a great reference, and is rapidly becoming the standard text on time series analysis.

Hsiao86

The nicest text I know of on panel data. Reasonably complete, with consistent notation throughout.

Maddala83

The standard text on limited dependent variables.