## EconometricsHayashi's For those who intend to write a thesis on applied topics, the empirical applications of the book are a good way to learn how to conduct empirical research. For the theoretically inclined, the no-compromise treatment of the basic techniques is a good preparation for more advanced theory courses. |

### What people are saying - Write a review

The best introductory book to Graduate Linear Econometric Models and a Fair Treatment of ARIMA models... It is very logical without the use of much words which really speeds up learning.. I have tried a lot of textbooks that are way pricier and I think this is the best although you might wish to try something a little less terse if you background with linear algebra or basic statistics is lacking. His presentation and outline of the book is very methodological and exceptionally well documented with mathematical logic and where need be proofs and the mathematical operator for "therefore" and "because". I went straight from Johnston and DiNardo to this book without any problems at all. It is a good reference even for third course in Econometrics or fourth course in Econometrics where you have to contrast large sample asymptotic assumptions to those of GARCH ARCH ARIMA models etc.

A really good book, both for empirical and theoretical guys. Seriously.

### Contents

3 | |

2 LargeSample Theory | 88 |

3 SingleEquation GMM | 186 |

4 MultipleEquation GMM | 258 |

5 Panel Data | 323 |

6 Serial Correlation | 365 |

7 Extremum Estimators | 445 |