Advanced Econometrics

[YAHA]

Could someone post what Econometrics texts are used in core classes (first and second year) of Econ Ph.D programs. Also, if your experience permits please express the preferences and opinions.

Thanks.

[commodore]

I think Greene's book is the most standard text for these courses. At Yale we mostly use lecture notes (this happens when you have Don Andrews -- his notes are great and could make a great book if published).

[YAHA]

Thanks for the reply. Let me be more clear. I am currently reading the undergrad econometrics by Dennis Halcoussis and its not challenging enough for me. For instance, on many occasions instead of explaining a method or technique it would just say "the details of this method are presented in advanced courses". Its really frustrating because most of the time it feels that its possibly omitting the most interesting topic. Also, it has very few appendix sections with derivations. Coincidentally, I find those extremely interesting as well. So, I guess I am looking for an advice on which text to get to self study the advanced econometrics.

[asianeconomist]

Johnston & DiNardo is a good intermediate text.

[economicus]

The following two books have very good ratings among grad students:

Davidson, Mackinnon: Econometric Theory and Methods
Hayashi: Econometrics

I would start with Davidson.

[italos]

From my undergraduate to my master courses, I always used Green's textbook.But if you find this book hard to study for a first contact approach to econometrics try one of those that economicus is suggesting.

[Weary]

Originally Posted by commodore

At Yale we mostly use lecture notes (this happens when you have Don Andrews -- his notes are great and could make a great book if published).

hey, could you please help him set up a homepage to post his notes there? Or at least ask if he would mind if it would appear online in some form or another?

[never6669]

I also used the Halcoussis book in undergraduate econometrics and agree that it is frustrating. I am now taking the first course in a graduate econometrics sequence and we use Jeffery Wooldridge's text "introductory Ecomometrics".

From a practical standpoint this text is a huge step from Halcoussis' text but not as technical as Greene I hear, so it's a good place to start, I venture.

[TruDog]

In the first course, we used Casella and Berger. In the second course, we pretty much use Bruce Hansen's lecture notes, which are used by a lot of other schools.

[YAHA]

Ok. Thanks a lot. Greatly appreciate the sharing.