This broadly based textbook covers the major models and statistical tools currently used in the practice of econometrics. It examines the classical, the decision theory and the Bayesian approaches, and contains material on single equation and simultaneous equation econometric models. It includes an extensive reference list for each topic.
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This broadly based textbook covers the major models and statistical tools currently used in the practice of econometrics. It examines the classical, the decision theory and the Bayesian approaches, and contains material on single equation and simultaneous equation econometric models. It includes an extensive reference list for each topic.
Read Less
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The Theory and Practice of Econometrics is a classic textbook. Any serious postgraduate student in econometrics should know it. There are good textbooks in the market (i.e., Greene, Johnston and Dinardo, Stock and Watson, etc.), but, at least for me, this remains the best in the market. Granted, the book has not been updated in more than 30 years, it is written in an outdated style, the examples are not many, it does not have supplementary materials nor a website. However, I should point out that it provides the most clear mathematical and statistical explanations regarding the fundamentals of advanced econometric theory. Indeed, I still use this textbook for my PhD lectures in econometrics.
Martin
May 26, 2011
My view
It is a classical text of econometrics focusing upon theoretical aspects of econometric modelling (methods, estimators and their properties) that are useful in practical econometrics. Having written that, it is not a book on applied econometrics and thus applications are not included in the book. The book ranks to the classical and well-established textbooks on econometrics aiming at advanced learners or practicioners.