Econometrics

by Fumio Hayashi

Hayashi's Econometrics promises to be the next great synthesis of modern econometrics. It introduces first year Ph.D. students to standard graduate econometrics material from a modern perspective. It covers all the standard material necessary for understanding the principal techniques of econometrics from ordinary least squares through cointegration. The book is also distinctive in developing both time-series and cross-section analysis fully, giving the reader a unified framework for understanding and integrating results.Econometrics has many useful features and covers all the important topics in econometrics in a succinct manner. All the estimation techniques that could possibly be taught in a first-year graduate course, except maximum likelihood, are treated as special cases of GMM (generalized methods of moments). Maximum likelihood estimators for a variety of models (such as probit and tobit) are collected in a separate chapter. This arrangement enables students to learn various estimation techniques in an efficient manner. Eight of the ten chapters include a serious empirical application drawn from labor economics, industrial organization, domestic and international finance, and macroeconomics. These empirical exercises at the end of each chapter provide students a hands-on experience applying the techniques covered in the chapter. The exposition is rigorous yet accessible to students who have a working knowledge of very basic linear algebra and probability theory. All the results are stated as propositions, so that students can see the points of the discussion and also the conditions under which those results hold. Most propositions are proved in the text.For those who intend to write a thesis on applied topics, the empirical applications of the book are a good way to learn how to conduct empirical research. For the theoretically inclined, the no-compromise treatment of the basic techniques is a good preparation for more advanced theory courses.

Genres: Economics, Reference, Textbooks, Finance, Mathematics, Nonfiction

Paperback

First published October 30, 2000

Reviews

[Carter · Rating 4 out of 5]

I have some misgivings about the field of econometrics, fundamental elements are missing, and traditionally even if GMM estimation, is within the realm of admissable methods in statistics, it is quite fringe. This is also true of MA, ARMA and ARIMA for me, because in the case of economics they are not backed by fundamentals, nor do they elucidate them, given a theoretical mismatched. This is on some level, the same misgivings I have for Robert Lucas Jr.'s attempt to bridge micro to macro, through the use of statistical methods. There is some intuition or concept gap, where certain things are not being bridged. At least from what limited I have read. Perhaps, this is worthy of some further exploration.

[Matt · Rating 4 out of 5]

A great introduction to graduate-level econometrics, especially because it ties almost everything under a generalized method of moments (GMM) framework (OLS, GLS, IV, 2SLS, SUR, 3SLS, random and fixed effects models, etc.), something which I failed to appreciate until the end of the first year of my graduate econometrics curriculum.

The one criticism I have is that occasionally the notation was hard to follow, since most textbooks reserve X for (possibly endogenous) regressors and Z for instruments, whereas Hayashi prefers the complete opposite.

[Rafael · Rating 4 out of 5]

banger

[Aaron Kearsley · Rating 2 out of 5]

routinely chose the wrong greek letters

[Mtaboga · Rating 4 out of 5]

Nice overview of several topics in econometrics, with a unifying GMM approach.