reply to: Thanks a lot, zhao. You are definitely right.

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Please note that there are more that people can take than taking my word literally.

I found many Master students choose to use some complicated Econometric Modesl in their master thesis. And such model normally asks for making code (either GAUSS, Metlab, c, ...). But they have only very very veyr poor experience with Eviews or SPSS. The thesis is normally required to be completed within 2-3 month. But to learn GAUSS only may takes them 2 month! My words may not be targetted at you. But I hope you can pick up some useful information here.

Thank you for taking so much time to help me. I deeply appreciate your kindness.

I am going to pursue my Phd in finance soon. Maybe specialize in empricial finance. Could you suggest some good introductory books in econometrics, math, stats that I should read? Many thanks in advance.

It is also nice to hear more people coming to suffer the Phd program.

(1) If you can not program, learn to program immediately! You can choose GAUSS, Matlab, OX, and any many others.

GAUSS is more popular with econometricians, Matlab, economists. OX is relatively new.

This is a very serious suggestion. You can learn Eviews and SPPS etc. But need to be able to program.

If you wnat to work in the Investment Bank after PhD, learn c++.Of course this depends on which sector you are going to enter in the IB. for c++ you can do it later.

During the first year of the program, in general, you will not have free time to learn programming. You will be occupied by course after course.

[此贴子已经被作者于2006-5-4 1:22:02编辑过]

Econometric Models, Techniques, and Applications, Intriligator, Bodkin and Hsiao, 2edn, Prentice Hall, 1996 is also a good text. '

00000000000000000000000 some graphs in Gujarati are very helpful for beginner. Wooldridge properly explains the different assumptions in econometric models. This is also correct in his cross-sectional textbook.

(3) for probability and statistics, "Prob and statis inference" by Hogg and Tanis; "Ststistical inference" by G. Casella, and R. L. Berger is at a higher level. of there are numerous texts on statistics. But they do not touch measure theory.

Probability: theory and examples, Richard Durrent, 1991, wadsword and

Probability Essentials, John Jacod, and Philip Protter, 2000 (very concise introduction to measure and etc.?)

Mathematics for Econometrics, P. J. Dhrymes, 2000, Springer is about Matrix. my undergraduate program taught me something in matrix too basic. You need to know seomthing about the derivative of matrix, vec vech diagonalization of a matrix which become very important for advanced econometrics. And you can learn such from no course, after you enter the phd program, no one will provide such course(maybe I am wrong). You can learn it by your self. those are also available from many advanced econometrics texts (in the Appendix)

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[此贴子已经被作者于2006-5-4 1:20:58编辑过]

Unfortunately I find all books in our library. I think they,including GAUSS, are vell enough for the next few months. Life becomes busy again. Thanks.

For GAUSS, which book do you think is good for an beginner?