A Guide to Modern Econometrics

By Marno Verbeek

Book Overview

Marno Verbeek's intermediate level textbook explores a wide range of topics in modern econometrics and focuses on what is important for doing and understanding empirical work. A wide range of new topics are covered including time series analysis, limited dependent variables, cointegration and panel data analysis. FEATURES Concentrates on the intuition behind various techniques and their practical relevance rather than the formulae End of chapter exercises review key concepts in light of empircal examples discussed in the chapter Examples are drawn from a wide variety of fields including labour economics, environmental economics, finance, international economics and macroeconomics CONTENTS: Introduction; An Introduction to Linear Regression; Interpreting and Comparing Regression Models; Heteroskedasticity and Autocorrelation; Stochastic Regressors; Maximum Likelihood Estimation; Models with Limited Dependent Variables; Univariate Time Series Modelling; Multivariate Time Series Analysis; Models Based on Panel Data.

• Format: Paperback
• Language: English
• ISBN: 0471899828
• ISBN13: 9780471899822
• Release Date: June 2000
• Publisher: Wiley
• Length: 400 Pages
• Weight: 1.50 lbs.
• Dimensions: 9.8" x 0.8" x 6.7"

Customer Reviews

language and presentation is good

I like the book because it's among the few econometrics books that I can understand by the frist read, but as the book title says it is only a "guide", it does not include anything about survival models, which I think is an important part of modern econometrics.

Just the Best!

I used to think that the book written by Davidson & Mackinnon (2004) is the best graduate book in econometrics. After reading this book, however, I changed my mind. This book is better for a number of reasons. First, it covers standard material (rather than non-standard one such as the geometry of OLS, artificial regressions, etc); this tailors to the need of most readers. Second, it covers OLS quickly and moves on to alternative estimators (rather than spending two chapters on hypothesis testing and confidence intervals, which is quite redundant). Third, it derives an estimator in a formal way (i.e. optimizing a particular objective function rather using the informal method of moment). Fourth, it complements econometric methods with empirical examples (rather than discussing econometric methods alone); this facilitates reader's understanding. Finally, its exposition is crystally clear (Bravo!). One critique: An ideal graduate text should contain enough material for two semesters. However, this book is too short for two semesters but too long for one semester. So, I would suggest that he add two things. First, please expand the material on GMM and compare it to OLS as the organizing theme. Second, please add the material on bootstrap and Monte Carlo methods.

must have it

One of the very few econometric books that are possible to read for non-mathematicians. Recommend to everyone interested in econometrics.

Nice balance between proofs and intuition.

The strength of this book lies in the nice balance between mathematics and intuition. Although Wooldridge is easier to understand and better in the intuition department, he doesn't prepare you as well as Verbeek for what is yet to come: books like Econometric Analysis by Greene or Econometric Society Monographs. Verbeek uses much of the language found in scientific articles and more advanced works, without making the explanations unneccesary difficult. If your goal is, however, not to go much deeper than introductory econometrics, then do yourself a favour and buy Introductory Econometrics by Wooldridge.

Econometrics Explained

I'm an econ grad student - and I'm always looking for books that give me insight on econometrics. This book does precisely that! Verbeek writes econometrics like others write novels, he develops the models clearly and logically. This book should be used in graduate and undergraduate programs everywhere. It's also good for the practicing economist who wants to brush up on econometrics. It's hard to find a text that offers this much intuition and still gives a good solid mathematical treatment of the subject. I've also used the standard "kennedy" book (too simplified), the Greene's textbook - technically thorough but doesn't do much for intuitive understanding - Verbeek's book is much more readable and useful in my opinion.