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Econometrics


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Author:
Bruce E. Hansen
Publisher: Princeton University Press
Copyright: 2022
ISBN-13: 978-0-691-23589-9
Pages: 1,044; hardcover
Author:
Bruce E. Hansen
Publisher: Princeton University Press
Copyright: 2022
ISBN-13:
Pages: 1,044; eBook
Author:
Bruce E. Hansen
Publisher: Princeton University Press
Copyright: 2022
ISBN-13:
Pages: 1,044; Kindle

Comment from the Stata technical group

Bruce E. Hansen’s Econometrics provides one of the best introductions to this foundational subject in economics. The book presents the core of econometric theory and its methods intuitively and accessibly to readers of many backgrounds without sacrificing statistical or mathematical rigor. It also provides readers with real-world examples, research-level datasets (available in a supplementary website), and a brief description on how to fit many different statistical models using Stata. This book is the ideal companion for graduate students, researchers, and practitioners.

Some prior background in multivariate calculus, linear algebra, probability, and mathematical statistics is required. However, previous knowledge in econometrics or economics is not. The relevant mathematical background in probability and statistics can be found in the accompanying textbook Probability and Statistics for Economists, by the same author.

The broad scope of Econometrics is truly exceptional. It covers the fundamentals of linear regression, hypothesis testing, time series, panel-data methods, nonparametric econometrics, general method of moments (GMM), and modern machine learning. It also contains in-depth appendices on matrix algebra and inequalities. For each topic, there is a clear exposition of the underlying theory, a practical guide on how to apply the methods covered, real-world examples, historical notes, and an appendix containing all the mathematical proofs. This book is ideal for both readers who want to better understand the theoretical aspects of econometrics and those more interested in its applications.

Econometrics contains the core material typically taught in a first-year PhD course in econometrics. Some of its content can also be used as part of a second-year graduate course. The book features hundreds of theoretical and empirical exercises to help students learn by doing. The rigor, clarity, and simplicity of exposition make Econometrics a fundamental reference in the field.

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