Advanced Econometrics

by Takeshi Amemiya

Advanced Econometrics is both a comprehensive text for graduate students and a reference work for econometricians. It will also be valuable to those doing statistical analysis in the other social sciences. Its main features are a thorough treatment of cross-section models, including qualitative response models, censored and truncated regression models, and Markov and duration models, as well as a rigorous presentation of large sample theory, classical least-squares and generalized least-squares theory, and nonlinear simultaneous equation models.

Although the treatment is mathematically rigorous, the author has employed the theorem-proof method with simple, intuitively accessible assumptions. This enables readers to understand the basic structure of each theorem and to generalize it for themselves depending on their needs and abilities. Many simple applications of theorems are given either in the form of examples in the text or as exercises at the end of each chapter in order to demonstrate their essential points.

521 pages, Hardcover

First published January 1, 1985

Reviews

[Jay Bhattacharya · Rating 5 out of 5]

I took Amemiya's advanced econometrics class in graduate school and I cannot imagine a better introduction to graduate econometrics. The book reflects Amemiya's brilliance; topics are presented lucidly and logically. However, this book requires some mathematical background -- real analysis and linear algebra -- and is not a good first text in econometrics. Overall, I highly recommend it for people who want to learn how to think like an econometrician. It is absolutely essential for practicing econometricians.