Hayashi's "Econometrics" promises to be the next great synthesis of modern econometrics. It introduces first year PhD students to standard graduate econometrics material from a modern perspective. It covers all the standard material necessary for understanding the principal techniques of econometrics from ordinary least squares through cointegration. The book is also distinctive in developing both time-series and cross-section analysis fully, giving the reader a unified framework for understanding and integrating results. "Econometrics" has many useful features and covers all the important topics in econometrics in a succinct manner. All the estimation techniques that could possibly be taught in a first-year graduate course, except maximum likelihood, are treated as special cases of GMM (generalized methods of moments). Maximum likelihood estimators for a variety of models (such as probit and tobit) are collected in a separate chapter. This arrangement enables students to learn various estimation techniques in an efficient manner. Eight of the ten chapters include a serious empirical application drawn from labor economics, industrial organization, domestic and international finance, and macroeconomics. These empirical exercises at the end of each chapter provide students a hands-on experience applying the techniques covered in the chapter. The exposition is rigorous yet accessible to students who have a working knowledge of very basic linear algebra and probability theory. All the results are stated as propositions, so that students can see the points of the discussion and also the conditions under which those results hold. Most propositions are proved in the text. For those who intend to write a thesis on applied topics, the empirical applications of the book are a good way to learn how to conduct empirical research. For the theoretically inclined, the no-compromise treatment of the basic techniques is a good preparation for more advanced theory courses.
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[ch1-4/7-8]写得人畜易懂(CHRIS: HOW STUPID WOLF THINKS WE ARE SO WE HAVE TO USE HAYASHI)。HAYASHI大人对学生的无限同情也是值得一提:课后习题(SOME EXs ARE USELESS)的HINTS经常就可以直接当成答案了(还提供ONLINE SOLUTION,点赞无极限,还有ERRATA)。个别计量书写的语法华丽笑话连连都一个屁都看不懂,有用吗?向人家HAYASHI学着点平实易懂(IN TERMS OF MATH NOT APPLICATION)!ME那堆easy to show扣一星!
评分在明村呆久了的直接后果是对计量的兴趣越来越没有,看着这书复习,心理想的却是想要看macro论文
评分基于矩阵的计量,数学推导会显得更加简洁和美观,也更适合matlab来实现。内容比较难,属于高级计量的难度。读着很舒服,好想多给几颗星。
评分研究生计量入门良心之作
评分great GMM textbook
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