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A Guide to Econometrics - 4th Edition [Paperback]

Peter E. Kennedy
4.9 out of 5 stars  See all reviews (15 customer reviews)

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A Guide to Econometrics A Guide to Econometrics 4.6 out of 5 stars (43)
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Book Description

May 8, 1998 0262611406 978-0262611404 4
A Guide to Econometrics has established itself as the first-choice text for teachers and students throughout the world. It provides an overview of the subject and an intuitive feel for its concepts and techniques without the notation and technical detail often characteristic of econometrics textbooks. The fourth edition updates the contents and references thoughout, while retaining the basic structure and flavor of earlier editions. New material has been added on several topics, such as bootstrapping, count data, duration models, generalized method of moments, instrumental variable estimation, linear structural relations, Monte Carlo studies, neural nets, time series analysis, and VARs. A new appendix and a new type of exercise underline the importance of the sampling distribution concept.

Editorial Reviews


"Peter Kennedy's book, which provides intuitive, narrative explanations for a wide range of topics covered in undergraduate and graduate econometrics courses, occupies a unique position in the econometrics textbook market."
David Ribar, Department of Economics, the George Washington University

About the Author

The late Peter E. Kennedy was Professor Emeritus of Economics at Simon Fraser University.

Product Details

  • Paperback: 468 pages
  • Publisher: The MIT Press; 4 edition (May 8, 1998)
  • Language: English
  • ISBN-10: 0262611406
  • ISBN-13: 978-0262611404
  • Product Dimensions: 8.9 x 5.9 x 1 inches
  • Shipping Weight: 1.4 pounds
  • Average Customer Review: 4.9 out of 5 stars  See all reviews (15 customer reviews)
  • Amazon Best Sellers Rank: #264,851 in Books (See Top 100 in Books)

Customer Reviews

Most Helpful Customer Reviews
143 of 146 people found the following review helpful
By A Customer
Unfortunately, I found this book at the END of too many PhD courses where I was swamped by assumptions the instructor and various authors were making. If I had only read this book FIRST - and then read Green, Greene, Johnston, Goldberger, etc., I would have gotten much more out of the courses with less stress. Peter Kennedy writes the type of book that students dream of finding (and I dream of writing someday). Each chapter is in 3 parts: 1) Overview of what and why, 2) Some more detail and 3) The nitty gritty that you'll worry about in Amemiya's book and others. This is the perfect book for PhD students interested in learning econometrics as a tool instead of an area of research (i.e. developing new models). Once you learn the basics, you can go to Greene's Econometrics Analysis for the details regarding implementation. My recommendation for "reading" this book is to whip through Part 1 of each chapter for the best overview of econometrics ever. (Peter Kennedy is an excellent writer, so this is actually an enjoyable and interesting experience.) Then revisit the relevant chapters before tackling the assigned readings for your course.
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34 of 34 people found the following review helpful
5.0 out of 5 stars Where were you when I needed you! November 15, 2000
This is the book that they don't tell you about to make your lives a living hell. This is the handbook that explains what the heck the econometrics professor is talking about. It should be a required companion to the Greene, Judge, Hamilton, whatever. Every time I have an econometrics question, I pick this up and the answer is inside. Last year, it was survival models. This year, it is neural networks. Both times, the book has come through with a rational explanation of what was going on.
The fact that it doesn't cost a hundred bucks like every other econometrics book seems to these days makes it that much greater. I would recommend it to any student who was beginning a PhD program in economics.
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24 of 25 people found the following review helpful
5.0 out of 5 stars basic text on econometrics January 23, 2008
This is the fourth edition of a very popular text for an introductory graduate level course in econometrics. Although designed for econometricians and economics majors, the book has a lot to offer the statistician (time series analyst). There is good coverage of both the classical econometric models and the classical ARIMA time series models. The difference, as Kennedy points out, is that most univariate statistical time series models use only the past history to model and forecast the future while the econometric models emphasize the inclusion of economic predictor variables and not the past history.
However, in recent years, and partly because in fair-fight forecasting competitions the Box-Jenkins time series methods have done better than the econometric models, the econometricians are beginning to incorporate the Box-Jenkins approach in their models. As Kennedy points out,the new theory of multivariate ARIMA models is providing the econometricians with a methodology that is similar to their simultaneous equation models.

One nice feature of the book is that it treats classical linear regression theory early, highlights the key assumptions and then provides specific chapters that cover how to deal with the violations of the assumptions taken one by one.

The book is clear, up-to-date and has an excellent bibliography. It introduces the structural econometric time series approach along with multivariate Box-Jenkins methodolgy. Advanced topics such as dealing with roots on the unit circle in Box-Jenkins models and cointegration are covered. Also robust estimation procedures are discussed. It even introduces bootstrap methodology and the Bayesian approach to inference.

There is some coverage and some warnings about neural networks.
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18 of 20 people found the following review helpful
5.0 out of 5 stars Non-Optional Reading for ANYONE involved in econometrics. November 17, 1998
By A Customer
If you are taking a course in econometrics, graduate or undergraduate, there is no good excuse for failing to purchase this book. Kennedy has a tremendous gift for giving readers a vision for the "Forest" of econometrics, which is very handy for those readers trapped in the "trees" of Pindyck & Rubinfeld and William Greene's texts (both of which are excellent, but relatively technical).
Kennedy covers an amazingly broad selection of topics in his books. While those having difficulty understanding the field will definitely get a great deal out of the book, don't think for a second that the book is overly simplistic -- an econometrics primer. No, this is not a mere review of OLS for the Gauss-Markov impaired. Kennedy's text covers Bayesian Analysis, Vector Error-Correction Models, and even touches, albeit lightly for my tastes, on such subjects as Kalman filtering and recursive least squares. Kennedy's notes are also very insightful and bring up many issues that dominant textbooks skirt around.
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10 of 10 people found the following review helpful
5.0 out of 5 stars Sin non qua August 11, 2001
An essential back-up book for graduate econometrics. An elegant presentation--very few equations and no footnotes--makes it the antithesis of econometrics textbooks. This is the go-to book by which many survive basic graduate econometrics. Even after taking more advanced econometric theory courses and getting my degree, I find myself refering to it [albeit mostly in the technical notes]. The fourth edition is an improvement over the third; buy it and pass the third on to a student.
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Most Recent Customer Reviews
5.0 out of 5 stars Econometrics is good.
Very helpful Infomation for a statistical mathematician and economists who want to really understand what is going on in economics.
Published 7 months ago by patricia falcone
4.0 out of 5 stars Mandatory Reading for Economists
Kennedy's Guide to Econometrics explains econometrics more clearly than any other book I have read. This book will not make you into an econometrician. Read more
Published on March 6, 2003 by D. W. MacKenzie
5.0 out of 5 stars the best backup there is
I have tried three econometrics textbooks so far (Johnston and DiNardo, Hayashi and Greene) but this is the only one that I can read without having a headache. Read more
Published on November 30, 2002 by man
5.0 out of 5 stars Excellent book - A must read
Its abolutely an excellent book. It gives the intuition of different methods and concepts without any mathematical notation. Read more
Published on March 19, 2001 by Sudeshna Banerjee
5.0 out of 5 stars Beautifully written work
The text is doubtless beautiful. If you get stuck with the convoluted and ambiguous terms/concepts while reading other econometrics text, such as Greene, Johston-DiNardo, Amemiya,... Read more
Published on March 12, 2001 by Vuong Quan Hoang
4.0 out of 5 stars Good guide !
Although it is not necessary to introduce once again a book that is already this well known, I can say that this "guide" has helped me to understand better some... Read more
Published on September 4, 2000 by Jurgen Schraepen
5.0 out of 5 stars Excelent
This is the best econometric text for students and teachers
Published on June 1, 2000
5.0 out of 5 stars Intuitive and non-mathematical
If you have studied econometrics using books as Maddala, Green, Hamilton etc then this book is definetly for you. Read more
Published on November 22, 1999 by Henrik Degrer
5.0 out of 5 stars Great Intuition Builder!
The best intuition builder in both statitics and econometrics. I have been reading the various editions throught my career. Please, keep updating it, Peter Kennedy!
Published on May 25, 1999 by N N Taleb
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