Hayashi's "Econometrics" promises to be the next great synthesis of modern econometrics. It introduces first year PhD students to standard graduate econometrics material from a modern perspective. It covers all the standard material necessary for understanding the principal techniques of econometrics from ordinary least squares through cointegration. The book is also distinctiv...
Hayashi's "Econometrics" promises to be the next great synthesis of modern econometrics. It introduces first year PhD students to standard graduate econometrics material from a modern perspective. It covers all the standard material necessary for understanding the principal techniques of econometrics from ordinary least squares through cointegration. The book is also distinctive in developing both time-series and cross-section analysis fully, giving the reader a unified framework for understanding and integrating results. "Econometrics" has many useful features and covers all the important topics in econometrics in a succinct manner. All the estimation techniques that could possibly be taught in a first-year graduate course, except maximum likelihood, are treated as special cases of GMM (generalized methods of moments). Maximum likelihood estimators for a variety of models (such as probit and tobit) are collected in a separate chapter. This arrangement enables students to learn various estimation techniques in an efficient manner. Eight of the ten chapters include a serious empirical application drawn from labor economics, industrial organization, domestic and international finance, and macroeconomics. These empirical exercises at the end of each chapter provide students a hands-on experience applying the techniques covered in the chapter. The exposition is rigorous yet accessible to students who have a working knowledge of very basic linear algebra and probability theory. All the results are stated as propositions, so that students can see the points of the discussion and also the conditions under which those results hold. Most propositions are proved in the text. For those who intend to write a thesis on applied topics, the empirical applications of the book are a good way to learn how to conduct empirical research. For the theoretically inclined, the no-compromise treatment of the basic techniques is a good preparation for more advanced theory courses.
原文摘录
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...joint estimation is asymptotically more efficient. Even if you are interested in one particular equation... (查看原文)
First of all, the small-sample properties of coeffcient estimates of the equation might be better without joint estimation. Second, the asympotic result presumes that the model is correctly specified...And chances of misspecification increases as you add equations to the system. (查看原文)
Hayashi's style is plain and math-textbook-like, but not losing its touch as an economist. Reading through the book, one easily sees his "knack" of introducing time-series concepts (for instance in pr...Hayashi's style is plain and math-textbook-like, but not losing its touch as an economist. Reading through the book, one easily sees his "knack" of introducing time-series concepts (for instance in proving asymptotic theory). Another book on par (in terms of style and expositional clarity) with this is Davidson and MacKinnon.(展开)
因扎吉
上海财经大学出版社2005版
1 有用 CL 2017-01-08 02:48:52
原来大家都好好用着pdf来着，结果好多同学为了让来做讲座的hayashi签名都赶紧订了一本。。我那个时候抠嘛，就没买，合了个影。。哪晓得hayashi是典型日本人做派，非常认真的签to xxx，祝学习顺利一类的话，fumio hayashi。啊！一下子就成为个人珍藏级别的了！我真是。。好气啊！
3 有用 假冒萌一姐 2013-08-15 22:24:32
大爷的介个日本人的介本书十分精确干净，除了基本上也不咋说人话以外应该没有不好的。但是太JB费劲了好吗，把定义明显的放着不行么靠。。。。每次看看哪儿都想哭。。。靠靠靠
0 有用 J 2015-12-08 10:11:20
notation不好follow..
2 有用 SuSo 2015-01-29 20:17:54
Hayashi's style is plain and math-textbook-like, but not losing its touch as an economist. Reading through the book, one easily sees his "knack" of introducing time-series concepts (for instance in pr... Hayashi's style is plain and math-textbook-like, but not losing its touch as an economist. Reading through the book, one easily sees his "knack" of introducing time-series concepts (for instance in proving asymptotic theory). Another book on par (in terms of style and expositional clarity) with this is Davidson and MacKinnon. (展开)
2 有用 Renco 2016-10-07 09:21:42
不管外面的世界多么乱，总是有那么些认真低头做事的学者。这本书写得实在是亲民了。完全没有一点教授常见的自以为是，一点节省时间赶活的迹象都没有。
1 有用 Promise 2022-07-14 23:31:46
在因果推断的统计推断方面，这本教材还是非常扎实的，可以结合施里亚耶夫的《概率》阅读。
0 有用 ray 2021-09-20 12:07:03
比较适合做一本研究生水平上的“回归分析”课程的教材，前两章，7、8章真的太过精彩
0 有用 穆天宁 2021-06-02 19:10:31
我其实就是想知道，文科生学的数学最难是什么 level……
1 有用 未央 2020-05-13 02:16:14
great GMM textbook
0 有用 billism 2019-12-17 01:24:28
跟 Greene 搭配着看的.