Econometrics (Hardcover)

~ (Author)

Editorial Reviews

Review

Students of econometrics and their teachers will find this book to be the best introduction to the subject at the graduate and advanced undergraduate level. Starting with least squares regression, Hayashi provides an elegant exposition of all the standard topics of econometrics, including a detailed discussion of stationary and non-stationary time series. The particular strength of the book is the excellent balance between econometric theory and its applications, using GMM as an organizing principle throughout. Each chapter includes a detailed empirical example taken from classic and current applications of econometrics.
(Dale Jorgensen, Harvard University )

Product Description

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.

See all Editorial Reviews

Product Details

• Hardcover: 690 pages
• Publisher: Princeton University Press (December 15, 2000)
• Language: English
• ISBN-10: 0691010188
• ISBN-13: 978-0691010182
• Product Dimensions: 10.2 x 7.1 x 1.8 inches
• Shipping Weight: 2.7 pounds (View shipping rates and policies)
• Average Customer Review: 4.8 out of 5 stars  See all reviews (17 customer reviews)
• Amazon.com Sales Rank: #209,751 in Books (See Bestsellers in Books)

  Popular in this category: (What's this?)

  #92 in

  Books > Business & Investing > Economics > Econometrics

Customer Reviews

Most Helpful Customer Reviews

40 of 43 people found the following review helpful:

5.0 out of 5 stars The modern approach to econometrics, January 28, 2001

By A Customer

The title is accurate. This is 'Econometrics' done properly.

Unlike the vast majority of econometrics texts, this book combines solid economic theory with a thorough grounding in basic mathematical statistics. The worked practical examples introduce some classic empirical papers and provide an excellent motivation to study the theory. The little bit of effort required to put on the GMM-tinged glasses makes everything look so much clearer.

The incidental treatment of linear algebra is better than that of any 'Math. for Economists' book I have ever come across.

Anyone at the graduate level of study should own this book. It would also be of value to advanced undergraduates, and out-of-touch academics.

It should be noted that an important aspect of statistical analysis is the treatment of 'outliers', such as the 'review' presented by Mr. Brian J. Phillips.

22 of 22 people found the following review helpful:

5.0 out of 5 stars Solid basis for econometric analysis, April 2, 2006

By	Phome "phome" (NY, USA) - See all my reviews

I have a love/hate relationship with this book. Perhaps I should state as a precursor that I was never formally trained in economics before learning econometrics. And, that the last time I'd done matrix algebra or calculus was some 15 years prior.

We used this book as part of a taught graduate course. It took half a semester to go through the first two chapters - an investment of time that proved well worth it for the rest of the topics which were covered in the remainder of the semester.

Basically, if you can understand the first two chapters on ordinary least square regression for finite and large samples, the required assumptions and properties, then the rest of the chapters are a piece of cake:
- generalized method of moments for single and multiple equations
- panel data
- time series analysis (including unit root analysis)
- extremum estimators
- maximum likelihood
- cointegration.

In short, the book covers all major econometrics topics and does so in a succinct, clear manner. The way in which Hayashi builds on each topic, showing that all models are basically different versions of the same method, with slightly different assumptions is just brilliant. It put statistics in a different light for me, and gave me a much deeper, intuitive understanding of it than any other book or class had done before.

There is a caveat however. This book assumes that you have substantial mathematical grounding. In particular, I found the succinct use of notation, without any verbal explanation, irritating at first. I invested quite some time in a mathematical economics book reminding myself what sets were, rules of matrices, calculus functions, expectations and probability.

Without the support and input of our brilliant teacher who (very patiently) took us through the end of chapter exercises step-by-step, I would never have managed to successfully read this book on my own! While those exercises honed my skills and deepened my understanding, I relied heavily on Hayashi's home page notes and hints to complete them.

For those of you that have strong mathematical skills and an economic background, this book is probably one of the best introductions to econometrics. For those of you who do not, it will prove to be a difficult read at best.

What's certain is that after succesfully completing it, your econometrics and statistical skills will provide a solid enough basis for any graduate program.

21 of 22 people found the following review helpful:

5.0 out of 5 stars The Most Readable Econometrics Text There Is. Period, October 17, 2004

By	jose - See all my reviews

I think Hayashi is the best econometrics textbook to come along in a long time. The treatment has that rare quality of being simultaneously sophisticated yet very easy to follow. In that sense, this book is much different than Greene - whereas Greene is (I think) much more of a reference, you can actually sit down and learn a lot of econometrics with this book. Hayashi not only takes the time to explain key concepts in good prose, but in some cases even writes down step-by-step instructions. All this while not compromising the material.

The treatment is also slightly different in that GMM is a central theme instead of something off to the side, which is very nice. There are plenty of empirical examples - these are somewhat helpful, and the exercises are fairly easy but still illustrative.

Two downsides - it would have been nice to see some treatment of Bayesian econometrics, since this appears to be used much more widely (Lancaster is a good supplement). Second, either I got a faulty book, or there are no tables of critical values. This is ultimately a minor gripe since just about every other book has tables (and you really don't even need them these days with packages and such), but it can be annoying.

Ultimately, the combination of sophistication and readability of this book is what sets it apart from all others. If you're looking to learn econometrics, buy this book.