Econometrics

Over the past four or five decades, econometric methods have been borrowed and used more or less effectively by social scientists in a broad range of disciplines. Generally, though certainly not in every case, those who use econometric methods in other social sciences are not as well trained in mathematics as economists, and they have little or no knowledge of economic theory. To meet the demand for accessible econometric literature in other disciplines, authors and publishers have produced textbooks that are much less mathematically demanding than the staple sources. Examples include Wooldridge's Introductory Econometrics, Gujarati's Essentials of Econometrics, Stockman and Watson's Introductory Econometrics, and Mirer's Economic Statistics and Econometrics. Also, Peter Kennedy's Guide to Econometrics is an accessible catalog of tests and correctives for violation of assumptions, provided the non-specialists stay out of the technical appendices. However, Hayashi's Econometrics clearly does not belong in the category of textbooks that appeal to a broad-based audience of social scientists. Hayashi, quite rightly, has a different audience in mind, and he assumes that the reader knows and has facility in applying the mathematics that is legitimately expected of economists. He also liberally incorporates economic theory into his presentation. While the econometric texts mentioned above lean heavily on OLS estimators, Hayashi treats OLS as just a special case of the generalized method of moments, a concept that is entirely alien to most students and practitioners who are not well schooled in the mathematical methods of economics. One consequence is that social scientists who are not cautious in selection of self-instructional materials order Hayashi's text and are then dumbfounded when they encounter mathematics and economic theory that they are not prepared to handle. Sure, they could take the time and effort needed to get up to speed, but most folks are in a hurry and have more pressing concerns for released time and sabbaticals. I was introduced to econometrics in an independent study thirty-five years ago. I was assigned sections from the first edition of Johnston's Econometric Methods and Kmenta's Elements of Econometrics, as well as few journal articles, and was then on my own. As a result, I can sympathize with other non-economists' frustration. Johnston and Kmenta may seem pretty accessible now, but at the time they were regarded as difficult. I initially preferred Kmenta because his first edition (as well as his second) did not require practiced facility with matrix algebra. I'm still embarrassed to recall, however, how mystified I was when Kmenta began introducing alternatives to OLS estimators. I didn't know there were any! I eventually learned a lot, but making sense of Johnston forced me teach myself the rudiments of matrix algebra. I know that textbook publishing is a racket, just look at the prices. But I think that publishers have an obligation to very conspicuously apprise prospective readers that a text like Hayashi's understandably makes demands on the reader that non-economists typically will not meet. Otherwise, social scientists who might use applied econometrics in their less mathematically-intensive disciplines will waste money and be deprived of statistical tools they might put to good use.

Great book for 1st year Econ PhD student

My favorite PhD metrics textbook. It is great for learning as opposed to being a dense reference like Greene. The beautiful typesetting makes it an easy read. And it is so cheap!

One of the best books I've ever read. Hayashi explains everything very clearly and never leaves any details out. The end of chapter exercises, especially the projects where the readers works with a real paper and data, are amazing.

Used this in my PhD econometrics course. Fantastic book and reference.

good

The modern standard econometric theory is fully covered in this excellent book. I felt very comfortable with the moment approach to econometrics conducted from first to last page. Also the exercises and examples are quite illuminating. You will not regret!

This is the best! Excellent character development with mysteries hidden in matrix algebra and differential equations and first order conditions. I would recommend reading this book over two semesters in graduate school.

GMMの視点から統一的に記述されたテキスト。Wooldridgeは説明が冗長になる場面がやや多い気がするのに対し、Hayashiの説明はコンパクトでとても読みやすい。 (ただエルゴート定理の部分は誤っており、林先生自身も指摘されている。) また理論と実証のバランスもよくとれている。 1章から3章までを読めばOLS、漸近理論、GMMの基礎が習得でき、院レベルの計量を学ぶ土台はしっかりできると思う。計量のコースワークの前の予習として最適。 また7章のextremum estimatorも、非常に分かり易く説明されている。AmemiyaやNewey and McFaddenは敷居が少し高いという人は、ますHayashiから始めると良いと思う。 また時系列についても必要十分なことがコンパクトにまとまっていて分かり易い。近年の計量経済学はミクロ計量が主流であり、院レベルの時系列がコンパクトにまとまっているテキストはあまりない気がするため、評者はとても重宝した（ハミルトンもいいが時系列をやらない人間には少し重い気がする）。 演習問題はテキストの行間を埋めるような問題が多く、時間の許す限り解いた方がいいと思う。 解答は林先生のホームページにいけばある。 林先生がマクロ経済学者であるため離散選択、conditional expectationの話等、ミクロ計量よりの話は結構あっさり書かれているため、他の本で補うのも良いと思う。 値段も洋書の専門書の割に安いし、とて良心的な本。

Sin lugar a dudas uno de los mejores manuales de econometría. No es recomendable que lo compre alguien que quiera empezar de cero en esta disciplina, pues el libro tiene un nivel de máster y doctorado. Me encanta la edición, personalmente creo que está muy bien estructurado y considero que es bastante claro. El envío perfecto, el libro ha llegado en perfectas condiciones y en la fecha fijada.

Testo avanzato di econometria, in lingua inglese ovviamente, considerato un importante riferimento per economisti ed ovviamente econometrici. E' ovviamente adatto a tutti i corsi avanzati di Econometria nelle università e per i Master di I e II livello in Economia e finanza. Molto utile ovviamente anche per chi svolge ricerche di marketing e in campo aziendale. Spedizione rapida e libro in condizioni perfette.

Essential book for an aspiring econometrician.

Mastefully comprehensive and pretty dictatical.