Econometrics

by Fumio Hayashi

Princeton University Press, 2000

List Price $95.00, Estima's Price $75.00

Hayashi's book approaches econometrics through the unifying framework of the Generalized Method of Moments (GMM). This makes for an excellent fit with RATS, as the RATS manual offers much of the same information without the technical details. The RATS 5 manual, for instance, includes a phrase like "Under the correct assumptions, some Central Limit Theorem will apply...". Hayashi provides both the assumptions and the precise form of CLT.

If you've ever wondered about the source of the ROBUSTERRORS option in RATS or what the weighting matrices really are, this book can answer your questions. Each of the chapters includes empirical exercises with real-world data sets. These are liberally laced with specific tips for users of RATS, TSP and Gauss.

This book is not for the mathematically challenged. While intended for first year Ph.D. students, it assumes significant knowledge of probability and mathematical statistics as a pre-requisite. In practice, we would imagine that the curriculum would include at least a quarter treatment of those subjects before moving into this.

Contents

1. Finite-Sample Properties of OLS
2. Large-Sample Theory
3. Single-Equation GMM
4. Multiple-Equation GMM
5. Panel Data
6. Serial Correlation
7. Extremum Estimators
8. Examples of Maximum Likelihood
9. Unit-Root Econometrics
10. Cointegration

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