A Guide to Econometrics
by Peter Kennedy

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Book Reviews of A Guide to Econometrics

Book Review: a great supplement to any good text
Summary: 5 Stars

This book doesn't pretend to be a text. It answers the questions a text usually doesn't: like how does it all fit together? and what do we do when our assumptions don't hold? The author points out that econometrics texts are usually "cookbooks", and aim to tell you how to use their collection of receipes. This book explains the assumptions behind regression, and what happens when we violate them, and what we can do about it. It also gives a good overview of the topic. This book shows the connection between the receipes in a text. It doesn't pretend to teach econometrics, so the reader isn't innundated with equations. Instead, you get a discussion of why you would want to do (or not do) the things your text would teach you. Anyone who is taking an econometrics course (graduate or undergraduate) should get this book. After reading a chapter in your text, read the corresponding chapter in Kennedy to add some depth to your understanding.

I would also suggest this to graduate students who are facing preliminary or comprehensive exams in econometrics. This will help you to "bring it all together", and answer those vague, conceptual questions which seem to cause the most grief. The book has sufficient references to the literature so that you can easily follow up anything you want to explore in more depth, but it's clear and self-contained enough that only an econometrician is likely to feel the need. Each chapter is organized in three parts: a discussion of the topic, an appendix of long footnotes which add details which would obstruct the flow of the discussion, and finally, a technical appendix, where you can find a few of those equations if you really want them. This makes it easy to read the book at the level you need.

Economics Books

• Subjects > Business & Investing > Economics