econometricsbooks.com

 

This website provides information on econometrics books and on-line resources.

Econometrics books

Undergraduate textbooks
Graduate textbooks

  • Econometric AnalysisEconometric Analysis 7th edition by William H. Greene, Prentice Hall (2011, 1232pp) --- Greene's Econometric Analysis, now in its 6th edition, has long stood as a prominent choice among first-year graduate econometrics textbooks.  The book covers an amazing number of different topics, ranging from finite sample to asymptotic, cross-sectional to time-series, frequentist to Bayesian, and so on.  The appendices themselves are extremely valuable, serving as review material on linear algebra and statistical theory (without having to reference other sources for these topics).  Additional resources:  book website, datasets, solutions manual.

  • Econometric Analysis of Cross Section and Panel Data WooldridgeEconometric Analysis of Cross Section and Panel Data 2nd edition by Jeffrey M. Wooldridge, MIT Press (2010, 1096pp) --- Unlike many graduate econometrics textbooks, this book jumps right into the asymptotic treatment of linear regression models (rather than spending the first few chapters on finite-sample results).  The topic coverage is impressive.  The first part of the book devoted to estimation of linear regression models (single equation, multiple equation, with and without endogeneity).  After a couple of chapters on the theory of different estimators (M-estimators, maximum likelihood estimators), the book proceeds to cover a wide range of models, including panel data models, binary choice models, censored/selection models, count data models, etc.  Additional resources:  book website, datasets, solutions (odd-numbered problems), errata, Stata examples from the textbook, sample chapter, Google preview.

  • Econometrics HayashiEconometrics by Fumio Hayashi, Princeton University Press (2000, 690pp) --- Hayashi's Econometrics textbook provides a modern formal treatment of graduate econometrics.  The book uses generalized method of moments (GMM) estimation as a unifying tool for many of the topics that are covered.  (Maximum likelihood methods, and the connected models, are considered separately.)  The book starts with linear regression and continues on to models with endogeneity and panel-data models.  Unlike some graduate textbooks, this book has a serious treatment of both stationary and nonstationary time-series models.  An impressive amount of material is covered both concisely and clearly.  Additional resources:  book website, datasets, some solutions, sample chapter, errata, revised chapter on maximum likelihood.

  • Microeconometrics Methods and Applications Cameron and TrivediMicroeconometrics: Methods and Applications by A. Colin Cameron and Pravin K. Trivedi, Cambridge University Press (2005, 1056pp) --- The authors cover an impressive amount of material in this textbook, covering nearly every model used in empirical microeconomics today.  Illustrative examples and datasets are used throughout.  Additional resources:  Book website, datasets, some solutions and extra exercises, errata, Google preview.  The book Microeconometrics Using Stata (2009) by Cameron and Trivedi is a valuable resource for Stata users, covering much of the same materials and empirical examples as the Microeconometrics: Methods and Applications textbook.

  • Mostly Harmless EconometricsMostly Harmless Econometrics: An Empiricist's Companion by Joshua D. Angrist and Jorn-Steffen Pischke, Princeton University Press (2008, 392pp) --- This book is not your standard econometrics textbook but is already popular among empirical economists.  Rather than focusing too much on theory and models, the authors use examples from published papers to illustrate some of the most common econometric techniques available to today's researchers.  The book would make a nice companion to a more theoretical textbook.  Additional resources:  book website, datasets, sample chapter from publisher, Google preview.

  • A Guide to EconometricsA Guide to Econometrics 6th edition by Peter Kennedy, Wiley-Blackwell (2008, 600pp) --- This book is Kennedy's sixth edition of the "Guide", which has been a widely used reference since its early editions.  The "Guide" is not a replacement for your favorite econometrics textbook, but it is a useful reference to have on your bookshelf.  A large part of the book (roughly 200 pages) is devoted to the classical regression model and the various violations of its assumptions.  The book then hits the big ideas within several additional topics, including limited-dependent variable models, panel-data models, and time-series models.  Additional resources:  book website, datasets, book preface.

  • A Course in Econometrics by Arthur S. Goldberger, Harvard University Press (1991, 432pp) --- A shorter option than most modern graduate textbooks, but it provides a concise and rigorous treatment of the material.  Google preview.  Publisher website.

  • An Introduction to Classical Econometric Theory by Paul A. Ruud, Oxford University Press (2000, 976pp) --- Prof. Ruud provides some of the most rigorous treatments of topics within first-year graduate econometrics.  His use of projections and graphical intuition for regression is very appealing.  Author's textbook website (with solutions, errata, and datasets).

Bayesian econometrics
Bootstrap

  • An Introduction to the Bootstrap by Bradley Efron and R. J. Tibshirani, Chapman & Hall (1994, 456pp) --- This book provides an easy-to-read introduction to the bootstrap.

  • Bootstrap Methods and Their Applications by A. C. Davison and D. V. Hinkley, Cambridge University Press (1997, 594pp) --- This book is another easy-to-read guide to the bootstrap for applied researchers.  Several statistical models, in addition to the linear regression model, are covered.

Business statistics/econometrics
Count data

  • Regression Analysis of Count Data by A. Colin Cameron & Pravin K. Trivedi, Cambridge University Press (1998, 432pp) --- This overview of count-data models and estimation methods was written prior to Cameron and Trivedi's more general books in graduate econometrics.  Google preview.

Duration data

  • The Econometric Analysis of Transition Data by Tony Lancaster, Cambridge University Press (2008, 368pp) --- Prof. Lancaster's classic book on duration models is now available in its second edition, updated to account for recent developments in the field.  Google preview (note that this preview is for the first edition).

Macroeconometrics
Monte Carlo methods
Nonparametric econometrics
Panel data

  • Econometric Analysis of Panel Data by Badi Baltagi, Wiley (2008, 366pp) --- Now in its fourth edition, this book covers a wide range of panel-data models (linear, non-linear, dynamic, etc) and their associated estimators.  A companion volume is also available.

  • Analysis of Panel Data by Cheng Hsiao, Cambridge University Press (2002, 368pp) --- Prof. Hsiao has updated his classic book on panel data in this second edition and now covers many of the developments of the last 20 years.  Sample chapter.  Google preview.

  • Panel Data Econometrics by Manuel Arellano, Oxford University Press (2003, 248pp) --- Prof. Arellano covers many panel-data topics, including a very complete treatment of dynamic linear panel-data models.  Google preview.

Quantile regression

  • Quantile Regression by Roger Koenker, Cambridge University Press (2005, 366pp) --- This book, written by the foremost expert on quantile regression, contains a comprehensive treatment of quantile regression models and estimation methods.

Stata
Theoretical probability
Theoretical statistics
Time Series