This Second Edition of the highly acclaimed introduction to econometrics retains its comprehensive nature and strong authorship, while incorporating much new material. New to this edition are a complete treatment of Bayesian inference, sampling theory, an appendix on linear algebra, and a computer handbook. Presentation covers modern statistical models and focuses on the sampling theory process by which the data were generated, and the statistical consequences of alternative decisions under uncertainty. Asymptotics are introduced early on, for use throughout. Includes at least one applied example to illustrate each model, and contains many analytical and numerical exercises.
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Editorial Reviews
From the Publisher
This Second Edition of the highly acclaimed introduction to econometrics retains its comprehensive nature and strong authorship, while incorporating much new material. New to this edition are a complete treatment of Bayesian inference, sampling theory, an appendix on linear algebra, and a computer handbook. Presentation covers modern statistical models and focuses on the sampling theory process by which the data were generated, and the statistical consequences of alternative decisions under uncertainty. Asymptotics are introduced early on, for use throughout. Includes at least one applied example to illustrate each model, and contains many analytical and numerical exercises.
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12 of 13 people found the following review helpful:
4.0 out of 5 stars
Introduction to the Theory and Practice of Econometrics,
This review is from: Introduction to the Theory and Practice of Econometrics, 2nd Edition (Hardcover)
The book is excellent for the mathematically inclined student who masters well linear lagebra. It uses matrix notaion extensively and enables one to generalize results without getting lost. I used that book in my intermediate econometrics course at the undergraduate level. I am convinced it is a mistake to start learning econometrics by first using the algebraic approach then the matrix approach. This only brings about confusion. This book is excellent as when one thinks hard through theoretical results it is much easier to get a good grasp of the empirical results one finds in applied work. I always consult this book first when I am a bit rusty in classical and special topics in econometrics. The book is not up to date to more modern econometrics such as cointegration and unit root analysis (those subjects don't exist in it).
1 of 1 people found the following review helpful:
5.0 out of 5 stars
Econometrics Book,
A Kid's Review
This review is from: Introduction to the Theory and Practice of Econometrics, 2nd Edition (Hardcover)
This is an excellent book for a first year course at the Master's level.
The topics are are diverse and well explained. The best part about the book is that it prepares you well for intermediate level econometrics. All the derivations are in Matrix form, which is what it should be. Overall, this is an excellent book for econometrician to get his fundamentals clear!
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Inside This Book
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First Sentence:
This book is concerned with the problem of measurement in economics, and it is directed toward developing, reviewing, and synthesizing some of the analytical methods that may be employed to analyze and learn from economic data. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
estimated generalized least squares estimator, indirect least squares estimator, error loss measure, sampling theory properties, pretest estimator, nonsample information, indirect least squares method, geometric lag model, general linear statistical model, inequality restricted estimator, drawn cookie, dummy variable estimator, underlying sampling process, small characteristic roots, sampling theory approach, least squares rule, restricted least squares estimator, sampling theory framework, presample values, unrestricted maximum likelihood estimator, minimizes expected posterior loss, statistical sampling model, linear algebra appendix, broiler weights, systematic parameter variation Key Phrases - Capitalized Phrases (CAPs): (learn more)
New York, Monte Carlo, Journal of the American Statistical Association, Computer Handbook, Journal of Econometrics, Repeat Exercise, Econometric Methods, Principles of Econometrics, Academic Press, Algebraic Exercises, International Economic Review, Regression Analysis, United States, Annals of Statistics, Elements of Econometrics, Handbook of Econometrics, Cambridge University Press, Econometric Reviews, Economics Letters, The American Statistician, Department of Commerce, Duxbury Press, Englewood Cliffs, Journal of the Royal Statistical Society, North Scituate New!
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Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
This book is concerned with the problem of measurement in economics, and it is directed toward developing, reviewing, and synthesizing some of the analytical methods that may be employed to analyze and learn from economic data. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
estimated generalized least squares estimator, indirect least squares estimator, error loss measure, sampling theory properties, pretest estimator, nonsample information, indirect least squares method, geometric lag model, general linear statistical model, inequality restricted estimator, drawn cookie, dummy variable estimator, underlying sampling process, small characteristic roots, sampling theory approach, least squares rule, restricted least squares estimator, sampling theory framework, presample values, unrestricted maximum likelihood estimator, minimizes expected posterior loss, statistical sampling model, linear algebra appendix, broiler weights, systematic parameter variation Key Phrases - Capitalized Phrases (CAPs): (learn more)
New York, Monte Carlo, Journal of the American Statistical Association, Computer Handbook, Journal of Econometrics, Repeat Exercise, Econometric Methods, Principles of Econometrics, Academic Press, Algebraic Exercises, International Economic Review, Regression Analysis, United States, Annals of Statistics, Elements of Econometrics, Handbook of Econometrics, Cambridge University Press, Econometric Reviews, Economics Letters, The American Statistician, Department of Commerce, Duxbury Press, Englewood Cliffs, Journal of the Royal Statistical Society, North Scituate New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
Citations (learn more)
This book cites 68
books:
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100
books
cite this book:
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- The Theory and Practice of Econometrics (Wiley Series in Probability and Statistics) by George G. Judge on 18 pages
- Principles of Econometrics by Henri Theil on 8 pages
- Elements of Econometrics: Second Edition by Jan Kmenta on 5 pages
- on 4 pages
- Introduction to the Theory of Statistics 3rd Edition by A M Mood on page 57, page 116, and page 915
See all 68 books this book cites
- Learning and Practicing Econometrics by William E. Griffiths on 25 pages
- Maximum Entropy Econometrics: Robust Estimation with Limited Data by Amos Golan on 4 pages
- Econometric Foundations Pack with CD-ROM by Ron C. Mittelhammer on page 492, page 669, and page 696
- Economic Losses From Marine Pollution A Handbook for Assessment by Douglas D. Ofiara on page 225, page 270, and page 321
- Market Demand/Dairy Products-92 by S. R. Johnson on page 139, and page 231
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