If one person asks, others might be interested too . . .

Shane Murphy writes,

I am a graduate student in political science (interested in economics as well), and I was reading your recent blog posts about significance testing, and the problems common for economists doing statistics. Do you know of and recommend any books to students learning econometrics or statistics for social science? Also, just in case your answer is your own book, “Data Analysis Using Regression and Multilevel/Hierarchical Models,” is this book an appropriate way to learn “econometrics” (which is just statistics for economists, right?)?

My reply: Yes, I do recommend my book with Jennifer Hill. I also think it’s the right book to learn applied statistics for economics. However, within economics, “econometrics” usually means something more theoretical, I think. You could take a look at a book such as Wooldridge’s, which presents the theory pretty clearly.

6 thoughts on “If one person asks, others might be interested too . . .

  1. I'm surprised you would recomend Wooldridge' book when "Microeconometrics: Methods and Applications" by Cameron and Trivedi has more modern techniques in the form of more Bayesian and non-parametric stuff. We used both in my econometrics class, and both books and their proponents.

  2. I'm not up on econ books; I just recommended Woolridge because it's one of the few I've happened to have seen. I figured that my two books would get him started on the methods, but then he'd want an econometrics book for the theory presented in that econometrics framework.

  3. The 3 I keep at my finger tips are Gellman-Hill, Cameron and Trivedi and Wooldridge.

    They all are great at different things.

  4. I wouldn't agree that econometrics is statistics for economists. Of course, at lot of the techniques are the same. But, IMHO, I think the big difference, besides terminology, is that econometrics uses economic theory to motivate certain techniques, like IV estimation.

    Both of Wooldridge's books are very good. Stay away from Greene, which is better suited as a reference than a textbook.

  5. I am an empirical oriented economist and I would have killed for the possibility of using Gellman & Hill when I was learning metrics. If you have an interest in R as well as metrics, I don't think you can find a better book. FWI, I agree with the suggestion regarding Cameron & Trivedi or Wooldridge, both are excellent although I like Cameron & Trivedi better (less proofs).

  6. If your reader is still following this thread, my recommendation would be to pick up Kennedy's Guide to Econometrics. It's a much more gentle introduction to econometrics than the proper texts mentioned above. Wooldridge and C&T are great, but presume a reasonable degree of fluency before the intuition comes through.

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