This text provides a unified treatment of modern econometric theory and practical econometric methods. The geometrical approach to least squares is emphasized, as is the method of moments, which is used to motivate a wide variety of estimators and tests. Simulation methods, including the bootstrap, are introduced early and used extensively. The book deals with a large number of modern topics. In addition to bootstrap and Monte Carlo tests, these include sandwich covariance matrix estimators, artificial regressions, estimating functions and the generalized method of moments, indirect inference, and kernel estimation. Every chapter incorporates numerous exercises, some theoretical, some empirical, and many involving simulation. Econometric Theory and Methods is designed for beginning graduate courses. The book is suitable for both one- and two-term courses at the Masters or Ph.D. level. It can also be used in a final-year undergraduate course for students with sufficient backgrounds in mathematics and statistics.
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This unconventional setting of econometrics with lots of geometrical intuition is simply awesome.
评分another example of how to explain metrics from a higher intellectual dimension. although old but very classic book, and MacKinnon is a well established scholar.
评分Another great grad level econometrics textbook. It has the best prose among all textbooks. And it's quite user-friendly. "Sadly", it's not applied-friendly :P
评分700頁的篇幅卻沒有一個application，介紹得非常詳細，缺陷則是大篇幅的文字，看起來像是在做閱讀理解，部分章節甚至有點囉嗦
评分Another great grad level econometrics textbook. It has the best prose among all textbooks. And it's quite user-friendly. "Sadly", it's not applied-friendly :P
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