"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
""Econometrics" strikes a good balance between technical rigor
and clear exposition. . . . The use of empiricalexamples is well
done throughout. I very much like the use of old 'classic'
examples. It gives students a sense of history--and shows that
great empirical econometrics is a matter of having important ideas
and good data, not just fancy new methods. . . . The style is just
great, informal and engaging."--James H. Stock, John F. Kennedy
School of Government, Harvard University
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