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Rating: 
Summary: Excellent book, but takes time to understand it.
Review: Concise book, but shows the necessary ideas. Reading carefully, I come to know how the author describe contents with the minimum use of words. At the same time, many expressions are too neat, and I have to refer the other books to understand the topic. Good textbook, but not for self-study.
Rating: 
Summary: A very disappointing book with a deceiving title
Review: I bought this book because I read the front lap and I was hoping to find here a really good introduction to advanced themes in econometrics. My first disillusion came when I read the contents: it's an advanced probability introduction and it has been written not for economists, not at least the ones having little knowledge in measure theory and having only a standard probability background. The title should be "Probability elements in econometric theory". The second disillusion was a particular one referring to those not knowing too much of gambling games played at the casinos or not mastering the English language. The first chapter begins with an incomprehensible explanation of a dice game, "craps". If you want a good overview of what is done currently in econometrics, I would rather recommend you the Johnston and Dinardo introductory book, "Econometric Methods"; there you'll learn the basics of econometrics. If what you want it's a probability approach, then you should rather combine the Hamilton's book ("Time Series Analysis") with a probability theory introductory book, such as Monfort's and De groot's. I admit that mathematicians and advanced econometrics researchers would appreciate this book, but they probably won't buy it because the title is misleading. If you want to buy this book, you should be aware that it is a difficult one and -if you are an economist- you'll need a solid background in probability or a wise combination with other probability books.
Rating: 
Summary: This is a beautiful book!!
Review: I studied probability theory with this book when I was a first year PhD student in Economics. If I list the best graduate level textbooks in economics, this one would definitely be one of them. Strongly recommended.
Rating:
Summary: This is a beautiful book!!
Review: I studied probability theory with this book when I was a first year PhD student in Economics. If I list the best graduate level textbooks in economics, this one would definitely be one of them. Strongly recommended.
Rating:
Summary: Gallant approach to econometrics
Review: The book is absolutely brilliant. It's short and compact, and beautifully written. The introductory account of probability, based on 4 examples but most particularly the game of "craps", is so much richer than conventional accounts based on rolling a single die (or a pair of dice, but he does that too). In 50 years nobody bothered (not even Halmos or Feller) to make this stuff fun until Gallant.It is true that this is an introduction to econometrics (i.e. all you need to know before you study econometrics seriously) rather than an introductory text in econometrics. But the account of properties of estimators and tests is so accurate and so liberating: look for quotes on pp. 148, 152 and 154. If you can't read those online then check out the reviews on the back cover. How can we persuade this guy to write a general text on (more) advanced econometrics? He would earn a million or more. Barry
Rating:
Summary: Gallant approach to econometrics
Review: The book is absolutely brilliant. It's short and compact, and beautifully written. The introductory account of probability, based on 4 examples but most particularly the game of "craps", is so much richer than conventional accounts based on rolling a single die (or a pair of dice, but he does that too). In 50 years nobody bothered (not even Halmos or Feller) to make this stuff fun until Gallant. It is true that this is an introduction to econometrics (i.e. all you need to know before you study econometrics seriously) rather than an introductory text in econometrics. But the account of properties of estimators and tests is so accurate and so liberating: look for quotes on pp. 148, 152 and 154. If you can't read those online then check out the reviews on the back cover. How can we persuade this guy to write a general text on (more) advanced econometrics? He would earn a million or more. Barry
Rating:
Summary: a good intro
Review: There is no "classical" econometrics material in this book. It gives an introduction to graduate level probability theory and statistical inference - the stuff which is the background of econometrics. The presentation is clear and compact. For students who want more detail I recommend to try "Probability with Martingales" by Williams and "Statistical Inference" by Casella and Berger.
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