Statistics and Econometric Models: Volume 1, General Concepts, Estimation, Prediction and Algorithms (Themes in Modern Econometrics)

Rating:
Summary: Theoretically rigorous and useful
Review: Gourieroux & Monfort's (translated) 2-volume set has beautiful theory but at the same time lends itself to applications. The theory is intuitive, rigorous and fun to read. It also makes the connection between the theory and application understandable and meaningful (something that other books, e.g., Casella & Berger, fail to do). Highly recommended.