Reading

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

The basic textbook for this course is Davidson and MacKinnon. However, it's almost always a good idea to get a couple of different perspectives on any topic. Accordingly, we list some alternative textbooks below. We recommend that you acquire the starred texts.

Davidson-MacKinnon93

This is the only required text, and provides the best general background for most of the material we'll be covering.

Greene96*

This text is excellent and its coverage of material fairly comprehensive. It's available in a brand new edition that covers approximately the same ground as Davidson-MacKinnon. It may 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.

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.

Kennedy92

This provides a very accessible overview of econometrics.

Amemiya85

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

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.