Reviews (4)

Best buy
Definitely the best and clearest book so far on this subject!! Written by a real top expert in this field (I took his course, the best eco. course I have taken). Much better than Green's book. If you are a serious graduate student in economics and management, especially those of you who are pursuing a PhD instead of only taking a course, it is the best for you. In-depth! Also frankly, it is not for a vaint brain and a guy with weak background.

Only with this book and Johnston & Dinardo's, read and enjoy, then you will understand econometrics absolute confidently.

Don't wast your money on other books!

Hayashi Much Better
Campared to Hayashi, Davidson and Mackinnon's book is too "prose-like" and this style in my opinion isn't pedagogically suited for a first serious look into econometrics beyond the undergrad level. A model's assumptions and relevant properties are scattered throughout a chapter, burried in paragraphs, which can be annoying or even comfusing when you need to reference back. Hayashi, on the other hand, presents models with clear listed assumptions, propositions, relevant derivations. DM's book is in my opinion extremely pedagogically inferior in this sense.

However, there're still things you may take away from this book. For example, they present the classical regression model in the framework of matrix project, subspaces, etc., which is not usually treated this way in other texts. This approach makes many tedious matrix manipulation easier.

In my opinion, if you are looking for your first metrics book beyond the undergrad level, definately go for Hayashi first. This is simply the BEST book in terms of learning. For some more depth and alternative pespective, then consider this one.

The best so far!
Of several graduate econometric textbooks I've read so far, this is the best. Compared to Greene (2003), its explanations are much clearer and its mathematical results are adequately derived. Compared to Johnston & Dinardo (1997), its coverage is more complete. Compared to Hayashi (2000), its discussion of IV method is more explicit. To be fair, however, Hayashi is also extemely well-written.

Excellent revision of a classic
This new book is not a second edition of the classic 1993 book, but neither is it an 'all new' one. Now the book is clearer and it is easier to build a Graduate Course using this reference. There are not considerable new topics. I think this 2004 edition should be considered a mere 'lifting'. But it is worth the price. Work with this edition! ... Read more

Book Description

The techniques of multivariate statistics offer extremely powerful tools for use in solving everyday problems in a wide range of fields. Yet because of their statistical nature they are often out of reach of many of the people who could benefit from them.The rationale behind this book is that it is possible for an interested non-technical reader to gain a working understanding of multivariate analysis.It assumes a general but fairly basic statistical knowledge and concentrates on the statistical techniques specifically relevant to market research. ... Read more

Book Description

Applied Nonparametric Regression brings together in one place the techniques for regression curve smoothing involving more than one variable. The computer and the development of interactive graphics programs has made curve estimation popular. This volume focuses on the applications and practical problems of two central aspects of curve smoothing: the choice of smoothing parameters and the construction of confidence bounds. The methods covered in this text have numerous applications in many areas using statistical analysis. Examples are drawn from economics--such as the estimation of Engel curves--as well as other disciplines including medicine and engineering. For practical applications of these methods a computing environment for exploratory Regression--XploRe--is described. ... Read more

Reviews (1)

Very clear and readable account of nonparametric regression
This book deals with nonparametric regression, mainly kernel regression, though other estimators are also covered. This is a very clear and succinct discussion of the theory and application of this very important area of modern statistics. This book is one of the first few books on the subject (I saw a preprint of this book while a graduate student and bought a copy when it first appeared). Kernel estimators are known to be less efficient and suffer from boundary effects when the underlying regression is very smooth (twice differentiable). Local polynomial regression is the natural remedy and has experienced rapid developments in last 10 years. Fan and Gijbel's book in 1996 has detailed discussions on local polynomial estimation, an area which I also publish a few papers. But this book still contains substantial materials not found elsewhere. For example, this book has excellent discussion of nonparametric methods in econometric applications. I highly recommend it for its good introduction and as a valuable reference book on this subject. ... Read more

Book Description

Nonlinear Modelling of High Frequency Financial Time Series Edited by Christian Dunis and Bin Zhou In the competitive and risky environment of today's financial markets, daily prices and models based upon low frequency price series data do not provide the level of accuracy required by traders and a growing number of risk managers. To improve results, more and more researchers and practitioners are turning to high frequency data. Nonlinear Modelling of High Frequency Financial Time Series presents the latest developments and views of leading international researchers and market practitioners, in modelling high frequency data in finance. Combining both nonlinear modelling and intraday data for financial markets, the editors provide a fascinating foray into this extremely popular discipline. This book evolves around four major themes. The first introductory section focuses on high frequency financial data. The second part examines the exact nature of the time series considered: several linearity tests are presented and applied and their modelling implications assessed. The third and fourth parts are dedicated to modelling and forecasting these financial time series. ... Read more

Book Description

Almost without exception, everything human beings undertake involves a choice. In recent years there has been a growing interest in the development and application of quantitative statistical methods to study choices made by individuals with the purpose of gaining a better understanding both of how choices are made and of forecasting future choice responses. In this primer the authors provide an unintimidating introduction to the main techniques of choice analysis and include detail on themes such as data collection and preparation, model estimation and interpretation and the design of choice experiments. A companion website to the book provides practice data sets and software to estimate the main discrete choice models such as multinomial logit, nested logit and mixed logit. This primer will be an invaluable resource to students as well as of immense value to consultants and professionals, researchers and anyone else interested in choice analysis and modelling. ... Read more

Book Description

The telecommunications industry defies easy characterization. The long-distance sector is highly competitive and the local exchange sector much less so, while digital transmission and switching have blurred the distinction between traditional voice communication and the transmission of video and data messages. Regulation of this industry has generally been considered necessary because it has aspects of a natural monopoly.

This book takes an empirical approach to natural monopoly and the need for regulation of telecommunications. The centerpiece of the analysis is a sophisticated engineering cost proxy model, the local exchange cost optimization model (LECOM). The book, which is largely methodological, shows that a combination of LECOM, econometrics, and simulations can aid policy discussion of such contentious issues as incentive regulation, natural monopolies, estimating the cost of interconnection among networks, and the obligation of universal service. The book presents a theoretical framework to explain the incentives of firms and the power of regulation and then uses LECOM to test the theoretical implications. The work is unusual in that it applies the foundations of regulation theory to a model of an industry rather than applying econometric theory to historical cost data. The book includes a CD-ROM containing the data set the authors used to analyze their model. ... Read more

Book Description

This book provides a systematic exposition of mathematical economics, presenting and surveying existing theories and showing ways in which they can be extended. One of its strongest features is that it emphasises the unifying structure of economic theory in such a way as to provide the reader with the technical tools and methodological approaches necessary for undertaking original research. The author offers explanations and discussion at an accessible and intuitive level providing illustrative examples. He begins the work at an elementary level and progessively takes the reader to the frontier of current research. This second edition brings the reader fully up to date with recent research in the field. ... Read more

Reviews (3)

What role does this book serve?
Overall, this is a well-written book. It covers a variety of topics, from preference maximization through existence and stability of eq'ia, to optimal control and growth models.

However, I'm not sure what its niche is -- what this book provides that others don't, or that it covers more thoroughly. If you want math, read Simon and Blume or a math book. If you want micro theory, read Mas-Collel or Silberberg. If you want neoclassical macro theory, read Sargent. For optimal control, read Kamien/Schwarz or Seierstad/Sydsaeter. This book covers selected topics from each. Though it covers them well, much is left out.

Noticeably absent from the book is any uncertainty, randomness, or probability. There is also no game theory. These seek huge omissions for a book which seeks to show the usefulness of mathematical techniques in economic analysis.

Notation is also a bit unusual. I was a bit confused by some of the author's own notation for partial orderings and Cartesian products.

The best book in advanced Economics.
Economists can be divided into those who have read "Mathematical Economics" and those who are going to read it. I believe this book can furhter your knowledge as no other book can do. Usually it takes many months, or even years to be fully understood. I would advice undergraduate students to start with books like K. Lancaster 's "Mathematical Economics" or maybe Simon and Blume's book, to get the best out of Takayama's wisdom. The challenge of reading this book is something that no good economists can avoid.

Mathematical economics
This is an excellent book for every economist who want to learn more than what is taught in classic courses. It is true that its lecture demands solid knoeledge of the topic, but the author gives full explanations and foundations after each teorem or development, and it has helped me to get the necessary mathematical skills for building models. If you are not sure of your math abilities, try first simon and blume ones, which is easier. I highly recommend it! ... Read more

Book Description

Originating in economics but now used in a variety of disciplines, including medicine, epidemiology and the social sciences, this book provides accessible coverage of the theoretical foundations of the Logit model as well as its applications to concrete problems. It is written not only for economists but for researchers working in disciplines where it is necessary to model qualitative random variables. J.S. Cramer has also provided data sets on which to practice Logit analysis. ... Read more

Book Description

This is the essential companion to Jeffrey Wooldridge's widely-used graduate text Econometric Analysis of Cross Section and Panel Data (MIT Press, 2001). Already established as a leading graduate econometrics text, the book offers an intuitive yet rigorous treatment of two methods used in econometric research, cross section and panel data techniques. The numerous end-of-chapter problems are an important component of the book, encouraging the student to use the analytical tools presented in the text. This manual contains answers to selected problems, new examples, and supplementary materials designed by the author. Users of the textbook will find the manual a necessary adjunct to the book. ... Read more

Book Description

Covering all of the main topics, including panel data, that are expected in first econometrics course, Understanding Econometrics uses a new, understandable approach that explains theory intuitively in English, not through a series of mathematical derivations. Recognizing that most students will not be doing economics graduate work, but that they may well need to understand econometrics and how to apply it, this new text focuses on the connection between theory and practice.The text uses a simplified notation system and examples that are integrated with the explanations of the material, fostering comprehension so that the instructor can focus more readily on theory and applications. ... Read more

Book Description

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. ... Read more

Reviews (10)

Excellent
This book has excellent qualities:
1) Its clarity and concision, in exposition and proofs.
2) The modern approach and well structured and complete contents
3) The empirical exercises

But, for pure theory I prefer Davidson & McKinnon's "Estimation and inference", and for an empirical approach Berndt's "Practice of Econometrics".

Hayashi's is a good intermediate alternative, with great theory exposition and good empirical exercises.

One of the best options for a graduate student.

future classic
This book will definitely be a classic. It's clearly written, well structured and covers a very modern approach to econometrics. In my opinion it's by far the best graduate econometrics text available.

Seems to me that Brian Phillips wouldn't know a good econometrics book if you hit him over the head with it. I have no hesitations in recommending this text.

Just read it
What a great book it is! I saw two undergraduate book such as gujarati, johnston. But I can't understand what econometrics is.Hayashi put me on the right road to Econometrics.
I think it suffices to kwow some matrix and algebra concepts for reading Hayashi's econometrics! He explains every concepts clearly in plain english.
Thanks to Joon-yong Park(SNU) and Hayashi(U of Tokyo) ^^

Clear Exposition
I find it a delight to follow this book. There are numerous footnotes and brief recaps of concepts in linear algebra that are necessary to follow the proofs. Despite the size of the book, the exposition is concise and clear (the font size is large using double-spacing). There are also ample examples and problems in economics to illustrate the theories.

number of pages
Just wanna let you know the number of pages of this book is at least 675 not 452 pages ... Read more

Book Description

Offering a broad overview of the state-of-the-art developments in the theory and applications of state space modeling, fourteen chapters from twenty-three contributors present a unique synthesis of state space methods and unobserved component models important in a wide range of subjects. They include economics, finance, environmental science, medicine and engineering. A useful reference for all researchers and students who use state space methodology, this accessible volume makes a significant contribution to the advancement of the discipline. ... Read more

Book Description

Economic behavior is inherently dynamic. While things change continuously over time, much of economic analysis is based on discrete time, such as a month, quarter or a year reflecting the periodic nature of data-collecting and decision-making.

This book introduces and develops the techniques of discrete time modelling starting with first order difference equation models and building up to systems of difference equations, along the way covering such topics as:

* Non-linear difference equation modles
* Random walks and chaotic processes
* Optimisation in discrete time models

This well-written and easy to follow book will be primarily of interest to upper level students carrying out economic modelling. The nature of the book--bridging a gap between economics and econometric literature--will mean that is also of interest to all academics with an interest in econometrics and mathematical economics. ... Read more

Book Description

The advent of accurate and continuous equity price histories made possible the study of equity price movement as a function of time, independent of all other variables.

Early studies of such data produced the conclusion that equity prices vary in a random, hence unpredictable, way.

This conclusion has been replaced in the last decade as evidence mounts that equity price variation is ordered and quasi-predictable.

The relationship between past and future prices is found to be complex and nonlinear.Current simplified models represent price movement as consisting of a linear combination of wave functions with specific and consistent interrelationships.This viewpoint has led to the development of the Wave Theory of Price Action.

From this Wave Theory, a body of practical application methods called Cyclic Analysis has been evolved which permits a fully integrated and wholly technical approach to the problem of trading and investing successfully in the stock and commodity markets.

This approach features the following unique capabilities:prediction of price-reversal timing, prediction of the price at an anticipated reversal, estimation of the extent of the price move expected to follow a reversal, and evaluation of a transaction before entry in terms of risk and profit potential.

Cyclic Analysis methodology has been field tested since 1971, and computerized analysis aids are available. ... Read more

Reviews (2)

Not telling you how to trade
This is a pamphlet that is basically a primer on J.M. Hurst's Cyclic Analysis Trading Program that he did back in the '70's. Whether or not Cyclic Analysis even works, you decide, but I sure would love to find somebody who can make the returns he promised in his book "Profit Magic of Stock Transaction Timing." If you want to learn about Cyclic Analysis, move on, this won't help you. I'd imagine the person who actually makes the returns Hurst suggested would be the richest person in the U.S. in no time at all. Last time I checked, Bill Gates made his money on Microsoft, not on the theory that stocks will make bottoms every 3 months or every 14 days.

Teaser for the whole course
This book is a brief introduction to cycles and how they are used in trading. But it does not have info on how cycle lengths are determined; it appears the author uses a computer program. It might stimulate more interest in cycles, but by itself, won't help your trading, in my opinion. ... Read more

Reviews (3)

The best applied econometric book
This is simply the best.
Many books have excellent theory, but no real cases for study and test. Hayashi?s book, for example, try to combine theory and empirical exercises, but I think is a far better approach take a good theory book and a good applied-empirical book. The best option for the theory is a polemic debate but the best option for the applied econometric book is not, because you have this one.
Enjoy it.

The best applied econometric book
This is simply the best.
Many books have excellent theory, but no real cases for study and test. Hayashi's book, for example, try to combine theory and empirical exercises, but I think is a far better approach take a good theory book and a good applied-empirical book. The best option for the theory is a polemic debate (maybe Davidson and MacKinnon's Estimation and Inference) but the best option for the applied econometric book is not, because you have this one.
Enjoy it.

A great econometric resource.
I think this is an excelent econometric book. At the beginning of every chapter, you can find excelent case-examples describing the econometric tools you are about to study. However, I think it is recomendable tocomplete some statistics issues and topics with some other books likeKmenta's "Elements of Econometris" or Johnston & DiNardo,since Mr. Berndt is mainly focused in real world applications. ... Read more

Book Description

Offering students a unifying theoretical perspective, this innovative text emphasizes nonlinear techniques of estimation, including nonlinear least squares, nonlinear instrumental variables, maximum likelihood and the generalized method of moments, but nevertheless relies heavily on simple geometrical arguments to develop intuition.One theme of the book is the use of artificial regressions for estimation, inference, and specification testing of nonlinear models, including diagnostic tests for parameter constancy, series correlation, heteroskedasticity and other types of misspecification.Other topics include the linear simultaneous equations model, non-nested hypothesis tests, influential observations and leverage, transformations of the dependent variable, binary response models, models for time-series/cross-section data, multivariate models, seasonality, unit roots and cointegration, and Monte Carlo methods, always with an emphasis on problems that arise in applied work.Explaining throughout how estimates can be obtained and tests can be carried out, the text goes beyond a mere algebraic description to one that can be easily translated into the commands of a standard econometric software package.A comprehensive and coherent guide to the most vital topics in econometrics today, this text is indispensable for all levels of students of econometrics, economics, and statistics on regression and related topics. ... Read more

Reviews (12)

the best intermediate level textbook in econometrics
This book covers the majority of standard topics in econometrics. It's very readable, you will need only knowledge of matrix algebra, calculus and basic probability in order to understand it. The book starts with geometric interpretation of least squares, and I do not understand why other reviewers complaining about that. You have to know those projection results if you want to understand what regression is about. Besides, they really simplify treatment of the subject, so it is worth to spend some time on projections. The book provides a good discussion of asymptotic theory, I think one just cannot do it better at this level of mathematics. It has a very nice presentation of GMM, nonlinear regression, maximum likelihood estimation. The discussion of Instrumental Variables estimation is just great. It also has chapters on time series econometrics, unit roots and cointegration. It's even has a small section devoted to bootstrap. In my opinion it's a must have for applied researchers in social science, and it's the best book for the first graduate course in econometrics, and it is much better than Greene (the usual choice for the first econometrics course).

Much Better Than Green's In Terms of Quality and Price.
Green's textbook was the assigned text when I took my econometrics sequence. Like many others, I found it not well written and the explanations are pretty bad. Also, Green's is priced sky-high (around $100 for a brand new copy).

Davidson and MacKinnon is different. Both expositions and explanations are clear and easy to follow. I was so delighted after picking up a copy from the libarary. This is the one econometrics students should have. The price is also hard to beat. The reason I think it is not widely adopted is because of the geometric analysis of regression (Chapter 2). But if you don't like geometrics, you can simply skip it.

An improved version of this book is just published under the new title "Econometric Theory and Methods". This new version contains a chapter on unit-root and cointegration, as well as some new numerical methods. I urge interested buyers to take a look at the new version.

No one like this
It's a nice piece of work.
There is no one like this.
The only problem is the way the contents are presented. There is no a logical order that help us in a course. I agree that there is not a clear structured inside the chapters or in the entire work. But this is the book that reach the deepest point being readable. Another books are better structured or more intutive but too superficial or old-fashioned.
With the modern computers and software the old classical books based on small sample theory are unsuitable. Davidson and MacKinnon point us to the econometry of the future.
It would be a good idea to combine this book with Berndt's one on applied econometrics, plus a good software like Stata 8 or matrix-based programming software like MATLAB.
That's the best way to access the econometry.

This is the book!
I do not know better book on nonlinear estimation and inference in econometrics.

Overall the book is very well written and relatively easy to understand, considering its subject. However, if you have not been introduced to linear econometrics, the book can become very hard, mainly if the reader is not acquainted with matrix algebra.

The first chapter on the geometrics of regression is simply marvelous, although a better picture is in Ruud's.

The style is someway formal, but different from the traditional lemma-theorem-proof-corollary way. This makes the book easier to read.

Future improvements include:

a. More examples (please);
b. Make the early 2 chapters on asymptotics clearer;
c. Extend the GMM approach interconnecting it with other chapters (it's more general);
d. Put exercises, with solutions, with selected solutions, whatever, but exercises, including computational ones;
e. Some economics - this does not mean applications per se, but it means to explain where and why such techniques are necessary in the real world.

Very Readable Book
I recently bought a copy of this book and have read the first 5 chapters. This is not a bad book and quite easy going. I quite like the way it emphasize the M and P matrix in linear and non linear regression. But I found section 4.7 has been badly written. It tried to squeeze a lot of non elementary probalibilistic results in a few pages without giving appropriate explanations and examples. For examples, it briefly defines stationary and ergodic without further details. This book is written for economic students with only limited training in probability. I just don't know how those students will be able to understand. This is a very important section to the whole area of convergence and consistence. I hope the authors should keep this on mind for future edition. ... Read more

Book Description

The generalized method of moments (GMM) estimation has emerged over the past decade as providing a ready to use, flexible tool of application to a large number of econometric and economic models by relying on mild, plausible assumptions. The principal objective of this volume, the first devoted entirely to the GMM methodology, is to offer a complete and up to date presentation of the theory of GMM estimation as well as insights into the use of these methods in empirical studies. It is also designed to serve as a unified framework for teaching estimation theory in econometrics. Contributors to the volume include well-known authorities in the field based in North America, the UK/Europe, and Australia. ... Read more

Reviews (1)

A good book about a different way of estimation
This book focus in a different method of econometric estimation. The information about this method is quite difficult to understand. This is a excellent aproximation to start to known about the generalized method of moments. I want to remark this book allows us to find a fantastic way to discover this method. ... Read more

Book Description

Differential geometry has become a standard tool in the analysis of statistical models, offering a deeper appreciation of existing methodologies and highlighting the issues that can be hidden in an algebraic development of a problem. This volume is the first to apply these techniques to econometrics. An introductory chapter provides a brief tutorial for those unfamiliar with the tools of differential geometry. The following chapters offer applications of geometric methods to practical solutions and offer insight into problems of econometric inference. ... Read more

Book Description

A non-technical introduction to the question of modeling with time-varying parameters, using the beta coefficient from Financial Economics as the main example. After a brief introduction to this coefficient for those not versed in finance, the book presents a number of rather well known tests for constant coefficients and then performs these tests on data from the Stockholm Exchange. The Kalman filter is then introduced and a simple example is used to demonstrate the power of the filter. The filter is then used to estimate the market model with time-varying betas. The book concludes with further examples of how the Kalman filter may be used in estimation models used in analyzing other aspects of finance.Since both the programs and the data used in the book are available for downloading, the book is especially valuable for students and other researchers interested in learning the art of modeling with time varying coefficients. ... Read more