Econometrics Page

William Greene’s book is the go to book for working econometricians in the program evaluation, and microeconometric world.  He has been doing this for decades and knows what econometricians in the “real” world need to know.  He is so close to the user that he had even produced one of the more popular econometrics packages LIMDEP in the mid-90s before STATA took over.  You can obtain the textbook with this link.Do not be put off by the high price and the low ratings.  For applied analysts who value their time, this book is worth it.  It is also worthwhile to note that if you are interested in a French translation, the seventh edition is available at this link. The quality of the translation is high as it was done in a team with varying talents in both languages and statistics.  The net result is a very readable textbook, even if your french is not particularly strong.

However, it a more academic perspective is Estimation and Inference in Econometrics by Davidson and MacKinnon is very useful.  However, it is tough reading in places.  Still if you are willing to make the investment, you will feel more grounded in your understanding of the core theory.  I would not get this book for applied techniques as it is twenty years old.  It can be found here.

If you have forgotten more econometrics than you know, Peter Kennedy has written a book for you.  The onion-like organization of each chapter is unique, as it first gives you an overview of the subject, then you can read further if you want more details.  This is very much the book for busy people who need a quick reminder.

If you want a reference book of the most recent techniques at a more advanced level, Cameron and Trivedi deliver the goods.  It will not be easy reading, and the intuition will be incomplete, but many of the major techniques will be covered.