Graduate Econometrics

Main book

Introduction to Econometrics, Update, Global Edition, 4/E James H Stock Mark W. Watson, Princeton University ISBN: 9781292264455 ©2020 • Pearson Education

Reading list

The lecture slides are self-contained and serve as the primary reference. The material covered in the slides can be found in most graduate-level econometrics textbooks. For those students who feel they would benefit from additional readings, Below a list of textbooks and relevant chapters for your reference. All the books listed below can be found and downloaded online. If you cannot find a particular text, please contact the course coordinator.

OLS, MME, MLE (Part I):

1. Hayashi, F. (2011). Econometrics. Princeton University Press: Chapters 1-3.
2. Hansen, B. (2022). Econometrics. Princeton University Press: Chapters 3-5, 7, 12, 13, 14.20, 14.22-14.23, 15.6, 16.17, and 25.
3. Cameron, A.C. and Trivedi, P.K. (2005). Microeconometrics: Methods and Applications. Cambridge University Press: Chapters 2 and 4-7.
4. Davidson, R. and MacKinnon, J.G. (2004). Econometric Theory and Methods. Oxford University Press: Chapters 1-5 and 8-9.
5. Greene, W.H. (2011). Econometric Analysis (7th Edition). Pearson Education Press: Chapters 1-5, 8-9, and 12-14.
6. Wooldridge, J.M. (2010). Econometric Analysis of Cross Section and Panel Data (2nd Edition). MIT press: Chapters 4-5 for IV.

Endogeneity and causal inference (Part II):

7. Stock, J. H., and Watson, M. W. (2019). Introduction to Econometrics (4th ed.). Pearson: Chapters 10, 12 and 13 (read Chapters 13.1, 13.2, 13.3 first and then the rest)

Those of you particularly interested in causal inference or applied microeconomics may wish to read the two textbooks below. These books provide just enough statistical detail for practical instruction, coupled with excellent economic intuition:

8. Angrist, J.D., and Pischke, J.S. (2009). Mostly Harmless Econometrics: An Empiricist's Companion. Princeton University Press.

9. Angrist, J.D., and Pischke, J.S. (2014). Mastering 'Metrics: The Path from Cause to Effect. Princeton University Press.