A Guide to Modern Econometrics [Paperback]

Marno Verbeek (Author)

Book Description

ISBN-10: 0470857730 | ISBN-13: 978-0470857731 | Publication Date: June 14, 2004 | Edition: 2

This revised and updated edition of A Guide to Modern Econometrics continues to explore a wide range of topics in modern econometrics by focusing on what is important for doing and understanding empirical work. It serves as a guide to alternative techniques with the emphasis on the intuition behind the approaches and their practical relevance.

New material includes Monte Carlo studies, weak instruments, nonstationary panels, count data, duration models and the estimation of treatment effects.

Features of this book include:

• Coverage of a wide range of topics, including time series analysis, cointegration, limited dependent variables, panel data analysis and the generalized method of moments
• Empirical examples drawn from a wide variety of fields including labour economics, finance, international economics, environmental economics and macroeconomics
• End-of-chapter exercises review key concepts in light of empirical examples
• A supplementary website, featuring additional materials including data sets for illustrations and exercises, can be found at www.wileyeurope.com/go/verbeek2ed

Editorial Reviews

From the Back Cover

This revised and updated edition of A Guide to Modern Econometrics continues to explore a wide range of topics in modern econometrics by focusing on what is important for doing and understanding empirical work. It serves as a guide to alternative techniques with the emphasis on the intuition behind the approaches and their practical relevance.

New material includes Monte Carlo studies, weak instruments, nonstationary panels, count data, duration models and the estimation of treatment effects.

Features of this book include:

• Coverage of a wide range of topics, including time series analysis, cointegration, limited dependent variables, panel data analysis and the generalized method of moments
• Empirical examples drawn from a wide variety of fields including labour economics, finance, international economics, environmental economics and macroeconomics
• End-of-chapter exercises review key concepts in light of empirical examples
• A supplementary website, featuring additional materials including data sets for illustrations and exercises, can be found at www.wileyeurope.com/go/verbeek2ed

About the Author

Marno Verbeek is Professor of Finance at the Rotterdam School of Management and the Econometric Institute of Erasmus University, Rotterdam. He held previous positions at KU Leuven and Tilburg University, and visiting appointments at Trinity College Dublin and Université Panthéon-Assas Paris II. He has published in a wide variety of international journals.

Product Details

• Paperback: 446 pages
• Publisher: Wiley; 2 edition (June 14, 2004)
• Language: English
• ISBN-10: 0470857730
• ISBN-13: 978-0470857731
• Product Dimensions: 9.4 x 6.6 x 1.2 inches
• Shipping Weight: 1.7 pounds
• Average Customer Review: 4.1 out of 5 stars  See all reviews (9 customer reviews)
• Amazon Best Sellers Rank: #1,317,825 in Books (See Top 100 in Books)

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Customer Reviews

Most Helpful Customer Reviews

33 of 35 people found the following review helpful:

5.0 out of 5 stars Econometrics Explained, October 22, 2000

By A Customer

This review is from: A Guide to Modern Econometrics (Paperback)

I'm an econ grad student - and I'm always looking for books that give me insight on econometrics. This book does precisely that! Verbeek writes econometrics like others write novels, he develops the models clearly and logically. This book should be used in graduate and undergraduate programs everywhere. It's also good for the practicing economist who wants to brush up on econometrics. It's hard to find a text that offers this much intuition and still gives a good solid mathematical treatment of the subject. I've also used the standard "kennedy" book (too simplified), the Greene's textbook - technically thorough but doesn't do much for intuitive understanding - Verbeek's book is much more readable and useful in my opinion.

22 of 22 people found the following review helpful:

5.0 out of 5 stars Nice balance between proofs and intuition., July 31, 2001

By A Customer

This review is from: A Guide to Modern Econometrics (Paperback)

The strength of this book lies in the nice balance between mathematics and intuition. Although Wooldridge is easier to understand and better in the intuition department, he doesn't prepare you as well as Verbeek for what is yet to come: books like Econometric Analysis by Greene or Econometric Society Monographs. Verbeek uses much of the language found in scientific articles and more advanced works, without making the explanations unneccesary difficult.

If your goal is, however, not to go much deeper than introductory econometrics, then do yourself a favour and buy Introductory Econometrics by Wooldridge.

9 of 10 people found the following review helpful:

5.0 out of 5 stars Just the Best!, November 12, 2006

By 

A Concerned Grad Student - See all my reviews

This review is from: A Guide to Modern Econometrics (Paperback)

I used to think that the book written by Davidson & Mackinnon (2004) is the best graduate book in econometrics. After reading this book, however, I changed my mind. This book is better for a number of reasons. First, it covers standard material (rather than non-standard one such as the geometry of OLS, artificial regressions, etc); this tailors to the need of most readers. Second, it covers OLS quickly and moves on to alternative estimators (rather than spending two chapters on hypothesis testing and confidence intervals, which is quite redundant). Third, it derives an estimator in a formal way (i.e. optimizing a particular objective function rather using the informal method of moment). Fourth, it complements econometric methods with empirical examples (rather than discussing econometric methods alone); this facilitates reader's understanding. Finally, its exposition is crystally clear (Bravo!).

One critique: An ideal graduate text should contain enough material for two semesters. However, this book is too short for two semesters but too long for one semester. So, I would suggest that he add two things. First, please expand the material on GMM and compare it to OLS as the organizing theme. Second, please add the material on bootstrap and Monte Carlo methods.