What are some further readings in Econometrics you recommend?Books to self-study applied econometricsIn econometrics what are induced jobs?What is the evidence that econometrics has empirical value?What statistical concepts are used in introductory econometrics?What are main methods for econometrics of Macroeconomics?What are some impressive economics models with very high explained variance?Housing econometrics: interpretation of a quadratic variableAbout studying econometrics in undergraduate(Macro)econometrics book recommendationWhat econometrics book or textbook should I use?Statistical Learning and Econometrics
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What are some further readings in Econometrics you recommend?
Books to self-study applied econometricsIn econometrics what are induced jobs?What is the evidence that econometrics has empirical value?What statistical concepts are used in introductory econometrics?What are main methods for econometrics of Macroeconomics?What are some impressive economics models with very high explained variance?Housing econometrics: interpretation of a quadratic variableAbout studying econometrics in undergraduate(Macro)econometrics book recommendationWhat econometrics book or textbook should I use?Statistical Learning and Econometrics
.everyoneloves__top-leaderboard:empty,.everyoneloves__mid-leaderboard:empty,.everyoneloves__bot-mid-leaderboard:empty margin-bottom:0;
$begingroup$
I've reached the end of my Econometrics courses for the undegraduate level at my university, but I would like to continue learning. I hope I could get some recommendations for further reading. I present a summary (off the top of my head) of what has already been covered in my courses:
- OLS, Multiple OLS, heteroskedasticity
- Time series, autocorrelation, ARDL
- Pooled model, fixed effects, random effects
- IVs, Diff-in-diff, Probit, Tobit
- Fuzzy and Sharp RD
As well as the relevant tests for each case. I'm also familiar with Econometric theory on matrix form.
econometrics
asked Jul 8 at 5:52
Pablo DerbezPablo Derbez
1119 bronze badges
$endgroup$
add a comment |
$begingroup$
I've reached the end of my Econometrics courses for the undegraduate level at my university, but I would like to continue learning. I hope I could get some recommendations for further reading. I present a summary (off the top of my head) of what has already been covered in my courses:
- OLS, Multiple OLS, heteroskedasticity
- Time series, autocorrelation, ARDL
- Pooled model, fixed effects, random effects
- IVs, Diff-in-diff, Probit, Tobit
- Fuzzy and Sharp RD
As well as the relevant tests for each case. I'm also familiar with Econometric theory on matrix form.
econometrics
asked Jul 8 at 5:52
Pablo DerbezPablo Derbez
1119 bronze badges
$endgroup$
$begingroup$
you might find this earlier question and answers useful: economics.stackexchange.com/questions/12405/…
$endgroup$
– Andrew M
Jul 11 at 0:20
add a comment |
$begingroup$
I've reached the end of my Econometrics courses for the undegraduate level at my university, but I would like to continue learning. I hope I could get some recommendations for further reading. I present a summary (off the top of my head) of what has already been covered in my courses:
- OLS, Multiple OLS, heteroskedasticity
- Time series, autocorrelation, ARDL
- Pooled model, fixed effects, random effects
- IVs, Diff-in-diff, Probit, Tobit
- Fuzzy and Sharp RD
As well as the relevant tests for each case. I'm also familiar with Econometric theory on matrix form.
econometrics
asked Jul 8 at 5:52
Pablo DerbezPablo Derbez
1119 bronze badges
$endgroup$
I've reached the end of my Econometrics courses for the undegraduate level at my university, but I would like to continue learning. I hope I could get some recommendations for further reading. I present a summary (off the top of my head) of what has already been covered in my courses:
- OLS, Multiple OLS, heteroskedasticity
- Time series, autocorrelation, ARDL
- Pooled model, fixed effects, random effects
- IVs, Diff-in-diff, Probit, Tobit
- Fuzzy and Sharp RD
As well as the relevant tests for each case. I'm also familiar with Econometric theory on matrix form.
econometrics
econometrics
asked Jul 8 at 5:52
Pablo DerbezPablo Derbez
1119 bronze badges
asked Jul 8 at 5:52
Pablo DerbezPablo Derbez
1119 bronze badges
asked Jul 8 at 5:52
Pablo DerbezPablo Derbez
1119 bronze badges
asked Jul 8 at 5:52
Pablo DerbezPablo Derbez
1119 bronze badges
asked Jul 8 at 5:52
Pablo DerbezPablo Derbez
1119 bronze badges
1119 bronze badges
$begingroup$
you might find this earlier question and answers useful: economics.stackexchange.com/questions/12405/…
$endgroup$
– Andrew M
Jul 11 at 0:20
add a comment |
$begingroup$
you might find this earlier question and answers useful: economics.stackexchange.com/questions/12405/…
$endgroup$
– Andrew M
Jul 11 at 0:20
$begingroup$
you might find this earlier question and answers useful: economics.stackexchange.com/questions/12405/…
$endgroup$
– Andrew M
Jul 11 at 0:20
$begingroup$
you might find this earlier question and answers useful: economics.stackexchange.com/questions/12405/…
$endgroup$
– Andrew M
Jul 11 at 0:20
add a comment |
5 Answers
5
active
oldest
votes
$begingroup$
I might be wrong but from what you write, it seems you've been given a "classical" introduction to econometrics: You've covered IVs and Diff-in-diff but apparently only in passing, and causal inference does not look like it was the core of the class you've taken.
If that's correct, then I would recommend reading:
- Mastering 'Metrics (https://www.amazon.com/Mastering-Metrics-Path-Cause-Effect/dp/0691152845),
- Mostly Harmless Econometrics (https://www.mostlyharmlesseconometrics.com/)
before reading anything else (e.g., Wooldridge or Greene, as referenced in E.Sommer's answer).
answered Jul 8 at 9:18
Martin Van der LindenMartin Van der Linden
3,81112 silver badges41 bronze badges
$endgroup$
1
$begingroup$
I agree that modern empirical work is less about using fancy estimators but to search for exogenous variation in the real world and exploit it. The main challenge there is to find the appropriate data and to exclude any confounding variation. The estimates itself are usually pretty simple, i.e. standard OLS or Panel Fixed Effects.
$endgroup$
– E. Sommer
Jul 8 at 9:49
add a comment |
$begingroup$
Wooldrige - Econometric Analysis of Cross Section and Panel Data
Greene - Econometric Analysis, 8th Edition. This is probably the 'bible', i.e. it covers everything, but I find it hard to digest.
answered Jul 8 at 9:05
E. SommerE. Sommer
8291 silver badge14 bronze badges
$endgroup$
add a comment |
$begingroup$
What types of software have you used? Seeing as you have a pretty good understanding of core econometric principles, the next step is to at least get a few packages on your tool belt. I imagine you have at been exposed to at least one, but having knowledge in multiple languages is very valuable to employers or to an academic career. I suggest having either R or Stata or both. Preferably both as each have their advantages and make any consecutive languages easier to learn.
answered Jul 8 at 16:17
BrennanBrennan
567 bronze badges
$endgroup$
add a comment |
$begingroup$
Not sure about the other fields, but for time series, I would recommend Time Series Analysis 1st Edition by James Douglas Hamilton. This is the book I used to learn time series when I was a graduate student.
answered Jul 8 at 15:33
Wu ShenanWu Shenan
91 bronze badge
$endgroup$
add a comment |
$begingroup$
Cheng Hsioa's (sp.?) "Analysis of Panel Data".
answered Jul 9 at 4:01
eSurfsnakeeSurfsnake
101
$endgroup$
1
$begingroup$
This does not provide an answer to the question. To critique or request clarification from an author, leave a comment below their post. - From Review
$endgroup$
– Bayesian
Jul 9 at 8:00
$begingroup$
It's a further recommended reading, so it does answer the question. Would be nice however to add the reasons for the recommendation.
$endgroup$
– Jan Höffler
Jul 11 at 9:54
$begingroup$
Usually we use either (1) cross-sectional data or (2) time series data. Hsiao's book is the classic on how to wring more juice from the fruit when you have concurrent cross-sectional and time-series data. And, it's really well written.
$endgroup$
– eSurfsnake
17 hours ago
add a comment |
Your Answer
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5 Answers
5
active
oldest
votes
5 Answers
5
active
oldest
votes
active
oldest
votes
active
oldest
votes
$begingroup$
I might be wrong but from what you write, it seems you've been given a "classical" introduction to econometrics: You've covered IVs and Diff-in-diff but apparently only in passing, and causal inference does not look like it was the core of the class you've taken.
If that's correct, then I would recommend reading:
- Mastering 'Metrics (https://www.amazon.com/Mastering-Metrics-Path-Cause-Effect/dp/0691152845),
- Mostly Harmless Econometrics (https://www.mostlyharmlesseconometrics.com/)
before reading anything else (e.g., Wooldridge or Greene, as referenced in E.Sommer's answer).
answered Jul 8 at 9:18
Martin Van der LindenMartin Van der Linden
3,81112 silver badges41 bronze badges
$endgroup$
1
$begingroup$
I agree that modern empirical work is less about using fancy estimators but to search for exogenous variation in the real world and exploit it. The main challenge there is to find the appropriate data and to exclude any confounding variation. The estimates itself are usually pretty simple, i.e. standard OLS or Panel Fixed Effects.
$endgroup$
– E. Sommer
Jul 8 at 9:49
add a comment |
$begingroup$
I might be wrong but from what you write, it seems you've been given a "classical" introduction to econometrics: You've covered IVs and Diff-in-diff but apparently only in passing, and causal inference does not look like it was the core of the class you've taken.
If that's correct, then I would recommend reading:
- Mastering 'Metrics (https://www.amazon.com/Mastering-Metrics-Path-Cause-Effect/dp/0691152845),
- Mostly Harmless Econometrics (https://www.mostlyharmlesseconometrics.com/)
before reading anything else (e.g., Wooldridge or Greene, as referenced in E.Sommer's answer).
answered Jul 8 at 9:18
Martin Van der LindenMartin Van der Linden
3,81112 silver badges41 bronze badges
$endgroup$
1
$begingroup$
I agree that modern empirical work is less about using fancy estimators but to search for exogenous variation in the real world and exploit it. The main challenge there is to find the appropriate data and to exclude any confounding variation. The estimates itself are usually pretty simple, i.e. standard OLS or Panel Fixed Effects.
$endgroup$
– E. Sommer
Jul 8 at 9:49
add a comment |
$begingroup$
I might be wrong but from what you write, it seems you've been given a "classical" introduction to econometrics: You've covered IVs and Diff-in-diff but apparently only in passing, and causal inference does not look like it was the core of the class you've taken.
If that's correct, then I would recommend reading:
- Mastering 'Metrics (https://www.amazon.com/Mastering-Metrics-Path-Cause-Effect/dp/0691152845),
- Mostly Harmless Econometrics (https://www.mostlyharmlesseconometrics.com/)
before reading anything else (e.g., Wooldridge or Greene, as referenced in E.Sommer's answer).
answered Jul 8 at 9:18
Martin Van der LindenMartin Van der Linden
3,81112 silver badges41 bronze badges
$endgroup$
I might be wrong but from what you write, it seems you've been given a "classical" introduction to econometrics: You've covered IVs and Diff-in-diff but apparently only in passing, and causal inference does not look like it was the core of the class you've taken.
If that's correct, then I would recommend reading:
- Mastering 'Metrics (https://www.amazon.com/Mastering-Metrics-Path-Cause-Effect/dp/0691152845),
- Mostly Harmless Econometrics (https://www.mostlyharmlesseconometrics.com/)
before reading anything else (e.g., Wooldridge or Greene, as referenced in E.Sommer's answer).
answered Jul 8 at 9:18
Martin Van der LindenMartin Van der Linden
3,81112 silver badges41 bronze badges
answered Jul 8 at 9:18
Martin Van der LindenMartin Van der Linden
3,81112 silver badges41 bronze badges
answered Jul 8 at 9:18
Martin Van der LindenMartin Van der Linden
3,81112 silver badges41 bronze badges
answered Jul 8 at 9:18
Martin Van der LindenMartin Van der Linden
3,81112 silver badges41 bronze badges
3,81112 silver badges41 bronze badges
1
$begingroup$
I agree that modern empirical work is less about using fancy estimators but to search for exogenous variation in the real world and exploit it. The main challenge there is to find the appropriate data and to exclude any confounding variation. The estimates itself are usually pretty simple, i.e. standard OLS or Panel Fixed Effects.
$endgroup$
– E. Sommer
Jul 8 at 9:49
add a comment |
1
$begingroup$
I agree that modern empirical work is less about using fancy estimators but to search for exogenous variation in the real world and exploit it. The main challenge there is to find the appropriate data and to exclude any confounding variation. The estimates itself are usually pretty simple, i.e. standard OLS or Panel Fixed Effects.
$endgroup$
– E. Sommer
Jul 8 at 9:49
1
1
$begingroup$
I agree that modern empirical work is less about using fancy estimators but to search for exogenous variation in the real world and exploit it. The main challenge there is to find the appropriate data and to exclude any confounding variation. The estimates itself are usually pretty simple, i.e. standard OLS or Panel Fixed Effects.
$endgroup$
– E. Sommer
Jul 8 at 9:49
$begingroup$
I agree that modern empirical work is less about using fancy estimators but to search for exogenous variation in the real world and exploit it. The main challenge there is to find the appropriate data and to exclude any confounding variation. The estimates itself are usually pretty simple, i.e. standard OLS or Panel Fixed Effects.
$endgroup$
– E. Sommer
Jul 8 at 9:49
add a comment |
$begingroup$
Wooldrige - Econometric Analysis of Cross Section and Panel Data
Greene - Econometric Analysis, 8th Edition. This is probably the 'bible', i.e. it covers everything, but I find it hard to digest.
answered Jul 8 at 9:05
E. SommerE. Sommer
8291 silver badge14 bronze badges
$endgroup$
add a comment |
$begingroup$
Wooldrige - Econometric Analysis of Cross Section and Panel Data
Greene - Econometric Analysis, 8th Edition. This is probably the 'bible', i.e. it covers everything, but I find it hard to digest.
answered Jul 8 at 9:05
E. SommerE. Sommer
8291 silver badge14 bronze badges
$endgroup$
add a comment |
$begingroup$
Wooldrige - Econometric Analysis of Cross Section and Panel Data
Greene - Econometric Analysis, 8th Edition. This is probably the 'bible', i.e. it covers everything, but I find it hard to digest.
answered Jul 8 at 9:05
E. SommerE. Sommer
8291 silver badge14 bronze badges
$endgroup$
Wooldrige - Econometric Analysis of Cross Section and Panel Data
Greene - Econometric Analysis, 8th Edition. This is probably the 'bible', i.e. it covers everything, but I find it hard to digest.
answered Jul 8 at 9:05
E. SommerE. Sommer
8291 silver badge14 bronze badges
answered Jul 8 at 9:05
E. SommerE. Sommer
8291 silver badge14 bronze badges
answered Jul 8 at 9:05
E. SommerE. Sommer
8291 silver badge14 bronze badges
answered Jul 8 at 9:05
E. SommerE. Sommer
8291 silver badge14 bronze badges
8291 silver badge14 bronze badges
add a comment |
add a comment |
$begingroup$
What types of software have you used? Seeing as you have a pretty good understanding of core econometric principles, the next step is to at least get a few packages on your tool belt. I imagine you have at been exposed to at least one, but having knowledge in multiple languages is very valuable to employers or to an academic career. I suggest having either R or Stata or both. Preferably both as each have their advantages and make any consecutive languages easier to learn.
answered Jul 8 at 16:17
BrennanBrennan
567 bronze badges
$endgroup$
add a comment |
$begingroup$
What types of software have you used? Seeing as you have a pretty good understanding of core econometric principles, the next step is to at least get a few packages on your tool belt. I imagine you have at been exposed to at least one, but having knowledge in multiple languages is very valuable to employers or to an academic career. I suggest having either R or Stata or both. Preferably both as each have their advantages and make any consecutive languages easier to learn.
answered Jul 8 at 16:17
BrennanBrennan
567 bronze badges
$endgroup$
add a comment |
$begingroup$
What types of software have you used? Seeing as you have a pretty good understanding of core econometric principles, the next step is to at least get a few packages on your tool belt. I imagine you have at been exposed to at least one, but having knowledge in multiple languages is very valuable to employers or to an academic career. I suggest having either R or Stata or both. Preferably both as each have their advantages and make any consecutive languages easier to learn.
answered Jul 8 at 16:17
BrennanBrennan
567 bronze badges
$endgroup$
What types of software have you used? Seeing as you have a pretty good understanding of core econometric principles, the next step is to at least get a few packages on your tool belt. I imagine you have at been exposed to at least one, but having knowledge in multiple languages is very valuable to employers or to an academic career. I suggest having either R or Stata or both. Preferably both as each have their advantages and make any consecutive languages easier to learn.
answered Jul 8 at 16:17
BrennanBrennan
567 bronze badges
answered Jul 8 at 16:17
BrennanBrennan
567 bronze badges
answered Jul 8 at 16:17
BrennanBrennan
567 bronze badges
answered Jul 8 at 16:17
BrennanBrennan
567 bronze badges
567 bronze badges
add a comment |
add a comment |
$begingroup$
Not sure about the other fields, but for time series, I would recommend Time Series Analysis 1st Edition by James Douglas Hamilton. This is the book I used to learn time series when I was a graduate student.
answered Jul 8 at 15:33
Wu ShenanWu Shenan
91 bronze badge
$endgroup$
add a comment |
$begingroup$
Not sure about the other fields, but for time series, I would recommend Time Series Analysis 1st Edition by James Douglas Hamilton. This is the book I used to learn time series when I was a graduate student.
answered Jul 8 at 15:33
Wu ShenanWu Shenan
91 bronze badge
$endgroup$
add a comment |
$begingroup$
Not sure about the other fields, but for time series, I would recommend Time Series Analysis 1st Edition by James Douglas Hamilton. This is the book I used to learn time series when I was a graduate student.
answered Jul 8 at 15:33
Wu ShenanWu Shenan
91 bronze badge
$endgroup$
Not sure about the other fields, but for time series, I would recommend Time Series Analysis 1st Edition by James Douglas Hamilton. This is the book I used to learn time series when I was a graduate student.
answered Jul 8 at 15:33
Wu ShenanWu Shenan
91 bronze badge
answered Jul 8 at 15:33
Wu ShenanWu Shenan
91 bronze badge
answered Jul 8 at 15:33
Wu ShenanWu Shenan
91 bronze badge
answered Jul 8 at 15:33
Wu ShenanWu Shenan
91 bronze badge
91 bronze badge
add a comment |
add a comment |
$begingroup$
Cheng Hsioa's (sp.?) "Analysis of Panel Data".
answered Jul 9 at 4:01
eSurfsnakeeSurfsnake
101
$endgroup$
1
$begingroup$
This does not provide an answer to the question. To critique or request clarification from an author, leave a comment below their post. - From Review
$endgroup$
– Bayesian
Jul 9 at 8:00
$begingroup$
It's a further recommended reading, so it does answer the question. Would be nice however to add the reasons for the recommendation.
$endgroup$
– Jan Höffler
Jul 11 at 9:54
$begingroup$
Usually we use either (1) cross-sectional data or (2) time series data. Hsiao's book is the classic on how to wring more juice from the fruit when you have concurrent cross-sectional and time-series data. And, it's really well written.
$endgroup$
– eSurfsnake
17 hours ago
add a comment |
$begingroup$
Cheng Hsioa's (sp.?) "Analysis of Panel Data".
answered Jul 9 at 4:01
eSurfsnakeeSurfsnake
101
$endgroup$
1
$begingroup$
This does not provide an answer to the question. To critique or request clarification from an author, leave a comment below their post. - From Review
$endgroup$
– Bayesian
Jul 9 at 8:00
$begingroup$
It's a further recommended reading, so it does answer the question. Would be nice however to add the reasons for the recommendation.
$endgroup$
– Jan Höffler
Jul 11 at 9:54
$begingroup$
Usually we use either (1) cross-sectional data or (2) time series data. Hsiao's book is the classic on how to wring more juice from the fruit when you have concurrent cross-sectional and time-series data. And, it's really well written.
$endgroup$
– eSurfsnake
17 hours ago
add a comment |
$begingroup$
Cheng Hsioa's (sp.?) "Analysis of Panel Data".
answered Jul 9 at 4:01
eSurfsnakeeSurfsnake
101
$endgroup$
Cheng Hsioa's (sp.?) "Analysis of Panel Data".
answered Jul 9 at 4:01
eSurfsnakeeSurfsnake
101
answered Jul 9 at 4:01
eSurfsnakeeSurfsnake
101
answered Jul 9 at 4:01
eSurfsnakeeSurfsnake
101
answered Jul 9 at 4:01
eSurfsnakeeSurfsnake
101
101
1
$begingroup$
This does not provide an answer to the question. To critique or request clarification from an author, leave a comment below their post. - From Review
$endgroup$
– Bayesian
Jul 9 at 8:00
$begingroup$
It's a further recommended reading, so it does answer the question. Would be nice however to add the reasons for the recommendation.
$endgroup$
– Jan Höffler
Jul 11 at 9:54
$begingroup$
Usually we use either (1) cross-sectional data or (2) time series data. Hsiao's book is the classic on how to wring more juice from the fruit when you have concurrent cross-sectional and time-series data. And, it's really well written.
$endgroup$
– eSurfsnake
17 hours ago
add a comment |
1
$begingroup$
This does not provide an answer to the question. To critique or request clarification from an author, leave a comment below their post. - From Review
$endgroup$
– Bayesian
Jul 9 at 8:00
$begingroup$
It's a further recommended reading, so it does answer the question. Would be nice however to add the reasons for the recommendation.
$endgroup$
– Jan Höffler
Jul 11 at 9:54
$begingroup$
Usually we use either (1) cross-sectional data or (2) time series data. Hsiao's book is the classic on how to wring more juice from the fruit when you have concurrent cross-sectional and time-series data. And, it's really well written.
$endgroup$
– eSurfsnake
17 hours ago
1
1
$begingroup$
This does not provide an answer to the question. To critique or request clarification from an author, leave a comment below their post. - From Review
$endgroup$
– Bayesian
Jul 9 at 8:00
$begingroup$
This does not provide an answer to the question. To critique or request clarification from an author, leave a comment below their post. - From Review
$endgroup$
– Bayesian
Jul 9 at 8:00
$begingroup$
It's a further recommended reading, so it does answer the question. Would be nice however to add the reasons for the recommendation.
$endgroup$
– Jan Höffler
Jul 11 at 9:54
$begingroup$
It's a further recommended reading, so it does answer the question. Would be nice however to add the reasons for the recommendation.
$endgroup$
– Jan Höffler
Jul 11 at 9:54
$begingroup$
Usually we use either (1) cross-sectional data or (2) time series data. Hsiao's book is the classic on how to wring more juice from the fruit when you have concurrent cross-sectional and time-series data. And, it's really well written.
$endgroup$
– eSurfsnake
17 hours ago
$begingroup$
Usually we use either (1) cross-sectional data or (2) time series data. Hsiao's book is the classic on how to wring more juice from the fruit when you have concurrent cross-sectional and time-series data. And, it's really well written.
$endgroup$
– eSurfsnake
17 hours ago
add a comment |
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$begingroup$
you might find this earlier question and answers useful: economics.stackexchange.com/questions/12405/…
$endgroup$
– Andrew M
Jul 11 at 0:20