davidson 和mackinnon的Econometric theory and Methods是很赞的。特别是他们对

Geometry of Linear regression 的强调和处理，使得以后的章节的推导简洁了许多。

他们的90年代出版的可以称的上是theory and methods 第一版的‘Estimation and inference in econometrics'

也是相当的好，但在难度上要高与theory and methods

good

Goldberger:A Course in Econometrics这本书有没有电子版的？另外，好像有个Goldberg，此人在1958年有本书叫“Difference Equation”（现在好像也有新版的，晕，搞不清楚他的年龄到底有多大），这个好像在Econometrics中也有应用，谁有这两本书，不妨发出来！

我想我应该看第一个

感谢

怎么没有人提曼德拉的计量经济入门啊, 个人感觉是本极其难得的入门好书, 对于基础计量经济的动机, 基本问题基本解决方法等都很明朗的清晰的阐述.

伍的面班数据横截面数据那本主要是书名所说的那些内容, 很流行不过不至于取代格林的书, 毕竟格林的书很经典也覆盖的东西多呀. 伍的着本书对于想研究微观计量经济的人, 算是很对口的. 各林的是比较全面的, 虽然对于BINARY CHOICE, LIMITED DEPENDENT VARIABLE 这些微观计量椰油相当可观的论述(LIMDEP 就是各林作的).

伍好象是怀特的徒弟, 那本ASYMPTOTIC THEORY FOR...的书里还有伍跟怀特的定理呢.这本书应该说很经典, 把大样本的东西都归类概括(或者说详细阐述), 可以当作专类小词典用.

个人感觉, 曼 的书入了门, 各林的书加深拓宽, 再加上伍的计量入门加入写实践的成分, 这样的话, 计量经济的一般东西就可以应付的不错了, 应该够非计量经济专业的硕士用. 如果想在计量经济某个分支上继续研究的话,那就需要看些相应的书了.

多谢楼主！！多谢指点！！！

为什么没有评价古扎拉蒂的Basic Econometrics——我在看得计量入门书籍，与楼主说的 Introductory econometrics : a modern approach有很大区别吗？

如果看到本帖，能否评价一下？再次感谢！

同问啊,我也是在用古扎拉蒂的,希望大家评价一下

补充了内容的古扎拉蒂的Basic Econometrics第四版比伍德里奇的Introductory econometrics : a modern approach要稍微好些，这两本书其实是一个等级的。可以看格林的评论。

许多人喜欢用伍德里奇的导论，不过是觉得例题习题多一些。

有人认为古的书适合作为计量经济学专业的入门教材，而伍的书更适合作为非计量经济学专业的入门教材，这两本书都很经典，好好学习一本就行了。

刚开学，供大家参考

why my prof. uses  Greene's ?

这里附贴一个 艾春荣老师 上财的讲课Curriculum ，供大家参考

Graduate Econometrics

Core Curriculum

1. Econometrics I: Statistics and classical linear regression

Self-contained introduction to probability and statistics as background for advanced econometrics. Elements of probability theory; sampling theory; asymptotic approximations; decision theory approach to statistical estimation focusing on regression, hypothesis testing, and maximum-likelihood methods. Specification and estimation of the linear regression model. Illustrations from economics and application of these concepts to economic problems.

Require students to be able to use software to run basic least squares, and to replicate an empirical paper. Students should feel comfortable to download big data sets such as CPS or census, and be able to run least square using these data sets.

Textbooks:

PROBABILITY AND STATISTICS, DeGroot, M. and M. Schervish, Addison Wesley, 3^rd ed. 2002（86版 民大图书）

ECONOMETRIC ANALYSIS OF CROSS SECTION AND PANEL DATA, Jeffrey Wooldridge. MIT Press.

Possible instructors: Yuanyuan Chen, Shuaizhang Feng, Li Gan, Junji Xiao, Jian Zhou, Yahong Zhou,

2. Econometrics II:

Departures from the standard Guass-Markov assumptions include heteroskedasticity, serial correlation, and errors in variables. Advanced topics include generalized least squares, instrumental variables, nonlinear regression, linear panel regression, and limited dependent variable models.

Require students: (1) to simulate datasets with features such as heteroskedasticity, serial correlation, endogenous independent variables, errors in variables, and limited dependent variables; (2) to estimate the simulated datasets.

Textbooks:  

ECONOMETRIC ANALYSIS OF CROSS SECTION AND PANEL DATA, Jeffrey Wooldridge. MIT Press.

Possible instructors: Chunrong Ai, Yanqin Fan (Vanderbilt), Li Gan 

3. Econometrics III

Generalized method of moments, estimation of censored and truncated specifications and duration models, nonlinear panel data regressions, and quantile regressions, and average treatment effects models.

Require students to write a publishable paper (may be in a good Chinese journal or in an English journal) by (i) extending a publishable paper in a meaningful way with additional data or more complicated model; or (ii) by collecting his/her own data to finish a publishable paper (may be a Chinese journal).

Text books:

ECONOMETRIC ANALYSIS OF CROSS SECTION AND PANEL DATA, Jeffrey Wooldridge. MIT Press, supplemented with journal articles.

THE PRACTICE OF ECONOMETRICS: CLASSIC AND CONTEMPORARY（财大图书）

Possible instructors: Chunrong Ai, Xiaohong Chen, Qi Li, Yanqin Fan

4. Topics in Econometrics: Cross Sectional Data

Advanced and newly developed theory and application for microeconometric models. Microeconometric models, including large sample theory for estimation and hypothesis testing, generalized method of moments, nonparametric and semiparametric estimation, bootstrapping, and simulation methods. Methods illustrated with economic applications.

Textbooks:

ADVANCED ECONOMETRICS, T. Amemiya, Harvard University Press, 1985（武大、华科图书）

APPLIED NONPARAMETRIC REGRESSION, W. Hardle, Cambridge University Press, 1992

Possible instructors: Chunrong Ai, Desheng Ouyang, Yahong Zhou

5. Topics in Econometrics: Times Series Data

Advanced and newly developed theory and application for times series models. Theory and application of time series methods in econometrics, including representation theorems, decomposition theorems, prediction, spectral analysis, estimation with stationary and nonstationary processes, VARs, unit root process, and cointegration.

Textbooks:

TIME SERIES ANALYSIS, J. D. Hamilton, Princeton University Press, 1994

Possible instructors: Xiaohong Chen, Zhijie Xiao

6. Topics in Econometrics: Panel Data

Advanced and newly developed theory and application for Panel Data models. Theory and application of panel data methods in econometrics, including dynamic panel data models, discrete data, unbalanced panel, and non-stationary panel.

Textbook:

ANALYSIS OF PANEL DATA, Cheng Hsiao, Cambridge University Press

Possible instructors: Chunrong Ai, Gan Li, Ji Tao,

7. Topics in Econometrics: Financial Econometrics

Advanced and newly developed econometric theory and application used in financial data. Theory and application of financial econometrics, including estimation and testing of asset pricing models, derivative models, term structure models, and high frequency data analysis.

Textbook:

THE ECONOMETRICS OF FINANCIAL MARKETS, Campbell, J. Y., A. W. Lo, and A. C. MacKinlay, Princeton university press, 1996

FINANCIAL ECONOMETRICS: PROBLEMS, MODELS, AND METHODS, Gourieroux C. and J. Jasiak: Princeton university press, 2001（武大图书）

Possible instructors: Dan Liang

This curriculum is pretty much similar to the one adopted at the top departments at US.  Textbooks for each course have been suggested.  For second and three year courses, some papers should be used to supplement the textbooks. All students are required to take Econometrics I. Doctoral students must also take Econometrics II and III. Students with major in econometrics are also required to take Econometrics IV and V. Finance students and students who plan to write a dissertation in macroeconomics are encouraged to take Econometrics V.