- Paperback: 598 pages
- Publisher: Wiley-Blackwell; 6 edition (February 19, 2008)
- Language: English
- ISBN-10: 1405182571
- ISBN-13: 978-1405182577
- Product Dimensions: 7.4 x 1.2 x 9.6 inches
- Shipping Weight: 2.3 pounds (View shipping rates and policies)
- Average Customer Review: 67 customer reviews
- Amazon Best Sellers Rank: #298,787 in Books (See Top 100 in Books)
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A Guide to Econometrics. 6th edition 6th Edition
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“The exceptional success of this work is due to its clarity and economy of expression and the accessibility of the subject matter to a broad range of scholars. Now in its sixth edition, this guide brings practitioners and researchers up to date on the popular techniques in estimation. It holds a unique position among econometric texts. Highly recommended.” (Choice, November 2008)
From the Back Cover
This is the perfect (and essential) supplement for all econometrics classes--from a rigorous first undergraduate course, to a first master's, to a PhD course. It explains what is going on in textbooks full of proofs and formulas. Kennedy’s A Guide to Econometrics offers intuition, skepticism, insights, humor, and practical advice (dos and don’ts). The sixth edition contains new chapters on instrumental variables and on computation considerations, more information on GMM and nonparametrics, and an introduction to wavelets.
Top customer reviews
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Kennedy takes his time explaining the absolutely crucial parts. He goes through several mistakes and pitfalls one can make in the field in careful detail (Violating assumptions chapters). His book also has a great introduction to bootstrapping which is widely used in later applied courses and seminars.
One subject I wish he gave more detail on would be robust estimation. I felt the chapter was very short and he could have gone into the subject in more detail.
All in all, an excellent introduction to the field of econometrics. If you were assigned Cassella/Berger or Greene, do yourself a favor and get Kennedy's book because the others will not make any sense whatsoever. It also makes a fantastic reference book for when you are working in the private sector.
I have used this book as a reference in the following classes:
- Statistical Inference
- Applied Microeconometrics (markov chain monte carlo methods)
I have a MS in Math and a MA in Economics and work as a quant at an investment bank
As somebody who is pretty weak in statistics, this book definitely gave some very clear explanations of a whole slew of statistical methods for analyzing data sets, so I'd say it's useful even to non-econometricians as well as its intended audience of econometricians.
Very clear and well-written. Kennedy breaks down the concepts very well.
You can actually use this book to teach yourself econometrics. Highly recommended as a supplement to other econometric texts.
I always used to read Kennedy if I got stuck on Hayashi or other econometrics text books.