Econometrics

by Fumio Hayashi

The most authoritative and comprehensive synthesis of modern econometrics availableEconometrics provides first-year graduate students with a thoroughly modern introduction to the subject, covering all the standard material necessary for understanding the principal techniques of econometrics, from ordinary least squares through cointegration. The book is distinctive in developing both time-series and cross-section analysis fully, giving readers a unified framework for understanding and integrating results.Econometrics covers all the important topics 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 way. Virtually all the chapters include empirical applications drawn from labor economics, industrial organization, domestic and international finance, and macroeconomics. These empirical exercises provide students with hands-on experience applying the techniques covered. The exposition is rigorous yet accessible, requiring 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 students who intend to write a thesis on applied topics, the empirical applications in Econometrics are an excellent way to learn how to conduct empirical research. For theoretically inclined students, the no-compromise treatment of basic techniques is an ideal preparation for more advanced theory courses.

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

704 pages, Kindle Edition

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.