Hayashi's Econometrics
promises to be the next great synthesis of modern econometrics. It introduces first year
Ph.D. 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.
Endorsements:
"Students of
econometrics and their teachers will find this book to be the best introduction to the
subject at the graduate and advanced undergraduate level. Starting with least squares
regression, Hayashi provides an elegant exposition of all the standard topics of
econometrics, including a detailed discussion of stationary and non-stationary time
series. The particular strength of the book is the excellent balance between econometric
theory and its applications, using GMM as an organizing principle throughout. Each chapter
includes a detailed empirical example taken from classic and current applications of
econometrics."--Dale Jorgensen, Harvard University
"Econometrics will be a
very useful book for intermediate and advanced graduate courses. It covers the topics with
an easy to understand approach while at the same time offering a rigorous analysis. The
computer programming tips and problems should also be useful to students. I highly
recommend this book for an up-to-date coverage and thoughtful discussion of topics in the
methodology and application of econometrics."--Jerry A. Hausman, Massachusetts
Institute of Technology
"Econometrics covers
both modern and classic topics without shifting gears. The coverage is quite advanced yet
the presentation is simple. Hayashi brings students to the frontier of applied econometric
practice through a careful and efficient discussion of modern economic theory. The
empirical exercises are very useful. . . . The projects are carefully crafted and have
been thoroughly debugged."--Mark W. Watson, Princeton University
712 pages