An Introduction to Classical Econometric Theory [Hardcover]

Paul A. Ruud (Author)

Book Description

ISBN-10: 0195111648 | ISBN-13: 978-0195111644 | Publication Date: March 23, 2000 | Edition: First Edition

In An Introduction to Classical Econometric Theory Paul A. Ruud shows the practical value of an intuitive approach to econometrics. Students learn not only why but how things work. Through geometry, seemingly distinct ideas are presented as the result of one common principle, making econometrics more than mere recipes or special tricks. In doing this, the author relies on such concepts as the linear vector space, orthogonality, and distance. Parts I and II introduce the ordinary least squares fitting method and the classical linear regression model, separately rather than simultaneously as in other texts. Part III contains generalizations of the classical linear regression model and Part IV develops the latent variable models that distinguish econometrics from statistics. To motivate formal results in a chapter, the author begins with substantive empirical examples. Main results are followed by illustrative special cases; technical proofs appear toward the end of each chapter. Intended for a graduate audience, An Introduction to Classical Econometric Theory fills the gap between introductory and more advanced texts. It is the most conceptually complete text for graduate econometrics courses and will play a vital role in graduate instruction.

Editorial Reviews

Review

"A number of interesting topics found here are common in backroom talk but are not as easily found treated systematically as they are here."--David A. Belsley, Boston College

"The author provides an elegant, unified presentation of the material which forms the core of econometrics."--Richard T. Carson, University of California, San Diego

"Ruud is a fine scholar and he is well known as an outstanding teacher. His pedagogical style is certainly evident in the book."--Francis X. Diebold, New York University

"This book fills an important need for a clear and precise graduate textbook in econometrics. Its theoretical discussions are first rate and it includes nice empirical examples, making it a useful resource for any graduate student."--Whitney Newey, Massachusetts Institute of Technology

"This book has the same breadth of coverage as competing texts, with remarkably clear and compelling explanations and motivation of the theoretical concepts."--James L. Powell, University of California, Berkeley

"Paul Ruud's text combines clarity with rigor and is an excellent text for students and professionals alike. The strengths are apparent in every chapter. The author consistently tackles problems in more depth than any other text on the market."--Douglas Steigerwald, University of California, Santa Barbara

"The book covers least squares, methods of moments (GMM), and maximum likelihood which are three major frameworks for estimation and inference. Within the subset of chapters relating to each major topic, the key results are developed and given due prominence and subsequently used in further developments."--Pravin K. Trivedi, Indiana University

"This textbook is rigorous yet accessible. I believe it is destined to become the standard against which all other econometrics textbooks will be measured. Superb!"--Dr. James J. Jozefowicz, Indiana University of Pennsylvania

About the Author

Paul A. Ruud is at University of California, Berkeley.

Product Details

• Hardcover: 976 pages
• Publisher: Oxford University Press, USA; First Edition edition (March 23, 2000)
• Language: English
• ISBN-10: 0195111648
• ISBN-13: 978-0195111644
• Product Dimensions: 9.6 x 7.9 x 1.7 inches
• Shipping Weight: 4.1 pounds (View shipping rates and policies)
• Average Customer Review: 4.2 out of 5 stars  See all reviews (5 customer reviews)
• Amazon Best Sellers Rank: #579,653 in Books (See Top 100 in Books)

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Customer Reviews

Most Helpful Customer Reviews

24 of 27 people found the following review helpful:

5.0 out of 5 stars Simply the Best, January 18, 2001

By 

[e-mail] (Albany, CA, USA) - See all my reviews

This review is from: An Introduction to Classical Econometric Theory (Hardcover)

I have just completed reading Professor Ruud's textbook from cover to cover. It is the clearest, most insightful graduate-level econometrics book I have read. Whereas many texts seem to be compendiums of theorems and proofs with little in the way of explanation, Ruud takes the time to explain things thoroughly. At over 800 pages, however, Ruud's book is never verbose. A good explanation takes time, but Ruud never takes more time than is needed. Yet, in addition to all concepts being thoroughly explained, they are introduced with practical examples, and--what is most amazing--the proofs are built up systematically in such a way that you can actually read though them and be enlightened rather than convinced.

Previous econometrics texts have a "Losing sight of the forest for the trees" sort of feel to them. Ruud's text, however, works like the old drill Seargent in the Kipling poem who explained his teaching method as "Firsts I tells 'em what I'ms goings to tells em; then I tells 'em; and then I tells 'em what's I tolds 'em." Ruud does this by first building up the fundamental concept of matrix projection. Then he demonstrates how that can be used to explain Ordinary Least Squares regression. Then he adds onto that all the common assumptions: independent, identically distributed errors; normality of the errors, etc. He builds things up one assumption at a time. And all the while he tells you what he's doing and why the content of each chapter matters and how it is related to what has come before and to what will come afterwards.

But, then--in a master stroke of pedagogy--he tears it all down. He starts taking away, one at a time, all the assumptions like normality that he just spent chapters building up and shows how econometricians deal with matters when they *do* in fact remove the standard assumptions. In this way he can introduce consistent estimators, non-linear regression, latent variables, and so on as what they were historically: practical solutions needed when the assumptions of the classical model fail to hold.

By systematically showing which assumptions imply which results and then showing how to deal with things when a given assumption fails to hold, Ruud's book produces a better econometrician. Too often have previous books left previous readers unable to really understand the art of data analysis, which involves taking a data set, seeing what assumptions can be fairly made about it, and then analyzing it given those fairly made assumptions.

Professor Ruud deserves many plaudits for writing what will surely become the standard text for the next generation of graduate students.

27 of 31 people found the following review helpful:

5.0 out of 5 stars Excellent text, April 5, 2000

By A Customer

This review is from: An Introduction to Classical Econometric Theory (Hardcover)

This is the best text I have encountered for an advanced graduate text in econometrics. The style is less terse than Amemiya, but Ruud does not skimp on content. There are many (useful) details, particularly on some subjects other authors assume (in my experience, incorrectly) the student knows. Finally, the geometric approach Ruud frequently espouses is somewhat unique in econometric presentation, and one I find quite useful.

14 of 15 people found the following review helpful:

5.0 out of 5 stars Econometrics finally makes sense!, January 12, 2001

By A Customer

This review is from: An Introduction to Classical Econometric Theory (Hardcover)

Econometrics seemed to me a technically demanding subject with results that are either magic (stated without derivation) or based on some arcane mathematical tricks. But after reading Ruud's textbook, econometrics finally makes sense. It provides a great exposition of graduate econometrics with all the main results and techniques clearly spelled out. Furthermore, it actually has derivations of the results. I also really like the emphasis on the geometry behind econometrics; it provides a systematic approach and the results even become intuitive.

So, if you want more than just a recipe book and actually understand econometrics, read this book!