Customer Reviews

Econometric Analysis (5th Edition)

5 star:		(4)
4 star:		(4)
3 star:		(4)
2 star:		(3)
1 star:		(4)

 

 

The 5/e is much better organised, though, there are still lots of typos.

Some of the important formulas that can be found in 2/e vanish in 5/e.

Most importantly, certain example results cannot be duplicated by using the data provided in the author's web site.

Fumio Hayashi's "Econometrics" is still the best in terms of learning.

Paul Arthur Ruud's "An introduction to classical econometric theory" provides many good exercises, but no empirical examples at all.

John Johnston's "Econometric methods" is highly readable but not enough to get to the literature.

For Greene's 5/e, it is a good reference but not a good textbook.

This intermediate book has a broad coverage of modern econometric topics. The author is also the developer of the Limdep software and certainly has pretty good understanding this subject.

Although his effort of bringing some theoretical points into the book should be encouraged, many concepts would be better understood if he hadn't used his vague notations. In addition, It would be more appropriate to introduce the general ideas of MLE, GMM, and GLS in the first chapter so the following chapters would be easy to follow.

One strength is that this book covered a lot of time series analysis. This may serve well since this book is likely used in applied instead of theoretical econometric students.

Nevertheless, I think it may worthwhile to take this book.

The book is comprehensive certainly, but its explanations are so confusing that I just could not understand the differences between GMM, GLS, 2SLS, and IV estimation. Moreover, its index is just about the worst I have ever seen -- it'll introduce GLS, for example, earlier in the text, but if you look up GLS in the index, it'll point you to an obscure reference several chapters down! I would recommend getting Hayashi instead for a gorgeous GMM treatment or Davidson & McKinnon for a thorough intuition of linear projections; Greene may be good as a reference but I don't see it being too helpful. Plus, it's over-priced.

Having used Greene's text for my undergraduate econometrics course I think its really important to point out its faults.
1The layout is confusing and hard to follow,
2the math is clunky and inelegant
3its more useful as a weapon (SO heavy)
4Plus it gives asymptotic results in a somewhat misleading manner.
5It is far from impossible to cover results of the same level in a clearer and more COHERENT way
6Probably its only strong point is that it covers a vast number of topics.
7Why is this text so widely used?

I used the first edition of this book as a graduate student in my econometrics class. The book is very confusing and hard to understand. It's still of no help to me now that I am a professor and writing research paper. Whenever I need a review in econometrics I use Judge et all; "The Theory and practice of econometrics." It is a better book, well written, and easy to follow. Unfortunately it is off print. We need a better book than the one by Greene. If it was for me, this book should be put where it belongs, in the garbage.

Don't buy this book unless you are 'advanced reader' who can detect typos and figure out what Mr Greene is trying to say. If you really want to know the advanced econometrics without getting lost in meaningless technique details, read Hayashi's book. That book is much more readable.

I'd like to make three points. First, Greene claimed that the only econometrics background needed to study this book is a typical undergraduate econometrics book such as Gujarati's Basic Econometrics. I strongly disagree with his view after studying (or being forced to study) this book. In my opinion, the correct prerequisite would be an intermediate level of econometrics book that employs matrix algebra notation such as Johnston & Dinardo's (J&D) Econometric Methods.

Second, even if one meets this intermediate-level-econometrics requirement, it's still hard to understand Greene's book due to his habit of presenting results without showing the necessary algebraic steps leading to the results (I'm not saying that he must show ALL algebraic steps but at least show SOME; read J&D to verify this). Third, Greene's book is not entirely bad; at least, his coverage of graduate econometrics is almost comprehensive and he made a great effort to update the materials from time to time.

Greene's book (or tome, more accurately) is a detailed treatement of contemporary econometric practices. It assumes prior knowledge in econometrics, statistics, and linear algebra. That said, it is possible to use Greene as a primary reference for a first course in econometrics, provided the stat and math background is present (if it's not, I suppose the appendices offer an abbreviated course).

Greene uses almost exclusively matrices, which is nice because it is practical (ie, all contemporary data sets are in matrix form) but also somewhat confusing as it hides some of the intuition. Where Greene skips over a derivation in, say, summation form, a more basic book would be inclusive. It is personal preference as to whether this is good or bad for the reader. For my first econometrics course, I supplemented this with Wooldridge, but ended up using exclusively Greene by the end of the quarter (Wooldridge was too verbose).

As I have continued to take more econometrics, I have started using Greene as a reference book rather than a primary source. In this capacity, I struggle to imagine a more useful book. All theorems are developed, all results are derived (at least in matrices), and the index is comprehensive.

Again, as a first book, Greene might be too rigorous or too cursory. After a short introduction to the craft, it will become an indispensible resource.

i bought this book as a grad student a couple of years ago. as the title of this review suggests, this book stinks. it's poorly organized, and the proof and derivations (when included) are difficult to follow not because the math is hard but because greene's not a good mathematical writer. if you have to learn econometrics, go with hayashi and hamilton; they're way better.

To be fair, I've only used this book for an undergrad microeconometrics course, so take that for what it is worth. The book is difficult. Ideas are often not presented in a clear manner, and the few examples are very often of poor quality. That being said, the book is probably best used as a applied reference and not as a text book. It won't steer you wrong, but if you're looking for good examples to help guide you through the fog or for well presented proofs they really aren't there. But any time I've got a problem I go for Greene.