Statistical Methods in Econometrics

Rating:
Summary: Good for quick review
Review: If you want to have a book for quick reference and review on basic statistics, this is the one.

It is very well written, but it does not give extensive explanations on the topics it covers, because it assumes the reader has already studied the subject.

I think this is the perfect book for a Summer course, usually given to entrants PhD students in Economics.

All the important results that a PhD student in Economics is going to use are there, either derived in the body of the text, or as an exercise. By the way, the exercises are very well posed, they present very interesting results, and the difficulty level is pretty appropriate.

The high points are Part I - Probability theory, and Part II - Statistical Inference. In the former, generating functions and all relevant distributions in Statistics are discussed, as well as the mathematical relationship between the distributions. In the latter, the instructor should complete the asymptotic distribution theory with another reference. Part III - Econometrics - should be covered in a real Econometrics course, although it talks about heteroscedaticity, surprisingly including GARCH models.

Rating:
Summary: Very, very useful book
Review: When I first started grad school, I was pretty lost when it came to econometrics. I wondered why things were so difficult. Then I found out that there was a large gap between the statistics I knew, and the statistics I needed to know before starting econometrics. I read this book on my own, and it quickly taught me the stats I needed to know. It's very good for self study, since there are many worked out examples. The book is also relatively short, and is geared to get people up and running quickly. It seems designed for people in my situation. It's a prep course for graduate level econometrics. If you have done only basic statistics and econometrics in undergrad, definitely work through this stuff before you start grad school and apply the probability and statistics in this book to econometric models, especially if your grad dept, like mine, wrongly assumes that everybody knows this already and delves right into econometrics.