Help Selecting Econometrics Text(s)

[Kshatriya]

Hey everyone! My first post here at Urch, was searching around and this forum seemed to have so many awesome members! I'm a pure Economics BSc undergrad in London, and I'm just about to start my second year after the holidays. Naturally we are going to begin Econometrics and my dad was telling me how he remembered struggling with it (he has a masters in econ) so I thought I'd get a small head start. I did a lot of research to find some good texts but there seems to be varied opinions and I'm a tad wrought with confusion. I found some threads on here too; with varying opinions. Would just like some clarification and fresh opinions.

 

I'm going to list some books that I've narrowed it down too, and I'd like to make it clear I have NO ISSUE with purchasing more than the one book. Especially if one introduces Econometrics generally, the other goes into more depth, and so on.

 

I'd just like to know out of the following (which you guys feel are the best) and perhaps rank them in quality or the order I should tackle them in!

Yes, I'm completely new to Econometrics, and I've done stats before but I've likely forgot most if not all of it, so I might need a hand-holder of a book to start me off.

 

Introduction to Econometrics - James H. Stock, Mark Watson

Econometrics - Fumio Hayashi

Introductory Econometrics - A Modern Approach - Woolridge

Econometric Theory & Methods - Russell Davidson

A guide to Modern Econometrics - Marno Verbeek

Basic Econometrics - Damodar Gujurati, Dawn C. Porter

Econometrics by Example - Damodar Gujurati

 

I've heard some good things about all these books, so I am a tad conflicted, as I said I don't mind getting more than one, even multiple if need be.

Thanks!

[h=1][/h]

[sevet]

Well I don't know if adding another idea is helping anything, but the only econometrics textbook I used in undergrad (only took the second part of the 2-part econometric series) was Greene's Econometric Analysis. I didn't read it cover to cover or anything but I thought it did a decent job explaining things, but again it was the only book I had exposure to so YMMV.

[crunchbangax]

if you want to get a headstart, probably the best way is to brush up your math/probability/statistics.I started with econometric from scratch, without a lot of probstatmath knowledge. And I suffered a lot in the beginning. I started to revise and learn those things lateron and suddenly I understood what was going on and the things I memorized by heart before suddenly made sence. what i want to emphasize is, that all these things serve as a broad foundation which helps a lot.most textbooks offer those things in their appendices. "Principles of Econometrics" by Hill,Griffiths,Lim has an outstanding review session because its very simple and intuitive. In addtition I think this book is an exellent introductory text. Our standard text was Wooldridge (which is very good as well), but sometimes I switched to PoE if I wasn't able to get the point in wooldrige. They use a slightly different approach. Sometimes that can be very helpful.To be specific: Linear Algebra is of particular importance. (Sound knowledge of matrix algebra, knowing what it means to solve Ax=b -> Gilbert Strangs videos on youtube help a lot) Do not just skim through it, make sure you really understood whats going on.In addition you have to know all probability concepts (from set theory to conditional probabilities, bayes rule, law of total probability, independence...). Furthermore statistical inference is also very useful (basic distributions, calculating moments, testing hypothesis...).In my eco-courses the vast majority of students had a lot of problems solely because they were not aware of the math...The good thing about having sound math basics is, they'll serve you well throughout your whole economics studies...Concerning the textbooks: I don't know all of them. Davidson MacKinnon is an advanced text. Econometrics by Example is good for training your skills. Wooldridge would probably the best starter. As I mentioned above, PoE (slightly easier then Wooldridge) may also be a good introductory text.PS: if you search carefully on the internet, i guess you should find downloadable .pdf versions of all of those books ;)

[sidus87]

before starting the econometrics class, make sure you understood well the topics they usually teach in basic statistics such as: random variables (and the main distributions like normal, student t and chi square), hypothesis testing, confidence intervals, maximum likelihood estimation. As for your choice, I highly reccomend you to buy Wooldridge's text. I think it's a great book. A lot of topics and not as shallow as other texts. You can learn a lot from it. Hayashi and Davidson are graduate books.