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Summary: Econometrics Analysis by William H. Greene
Review: I used the first edition of this book as a graduate student in my econometrics class. The book is very confusing and hard to understand. It's still of no help to me now that I am a professor and writing research paper. Whenever I need a review in econometrics I use Judge et all; "The Theory and practice of econometrics." It is a better book, well written, and easy to follow. Unfortunately it is off print. We need a better book than the one by Greene. If it was for me, this book should be put where it belongs, in the garbage.
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Summary: Some more algebraic steps are needed
Review: I'd like to make three points. First, Greene claimed that the only econometrics background needed to study this book is a typical undergraduate econometrics book such as Gujarati's Basic Econometrics. I strongly disagree with his view after studying (or being forced to study) this book. In my opinion, the correct prerequisite would be an intermediate level of econometrics book that employs matrix algebra notation such as Johnston & Dinardo's (J&D) Econometric Methods. Second, even if one meets this intermediate-level-econometrics requirement, it's still hard to understand Greene's book due to his habit of presenting results without showing the necessary algebraic steps leading to the results (I'm not saying that he must show ALL algebraic steps but at least show SOME; read J&D to verify this). Third, Greene's book is not entirely bad; at least, his coverage of graduate econometrics is almost comprehensive and he made a great effort to update the materials from time to time.
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Summary: About the 4th ed.:
Review: I've just bought the 4th edition. At my first glance it differs not much from the 3rd one, except: [1] a CD-ROM is attached; [2] typos have been corrected; [3] the WHOLE content is blue-printed instead of dark-printed, which I find uncomfortable (not used to) in reading it. The rest is similar to its 3rd edition -- poor in organization, as I mentioned before. In my professor's and my views, its 2nd edition is much better.
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Summary: 5/e is not much better than 4/e
Review: The 5/e is much better organised, though, there are still lots of typos. Some of the important formulas that can be found in 2/e vanish in 5/e. Most importantly, certain example results cannot be duplicated by using the data provided in the author's web site. Fumio Hayashi's "Econometrics" is still the best in terms of learning. Paul Arthur Ruud's "An introduction to classical econometric theory" provides many good exercises, but no empirical examples at all. John Johnston's "Econometric methods" is highly readable but not enough to get to the literature. For Greene's 5/e, it is a good reference but not a good textbook.
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Summary: A very comprehensive but poorly organized book
Review: The book includes almost everything but is very poor in organization. Some of the topics (which should appear in one chapter or one section) are scattered in different places. This makes the readers difficult to get the macro view of econometrics. Also, there are many printing errors in the Prentice Hall International edition, although some of the amendments can be found in the author's web site. LAW Ka Chung
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Summary: Trash
Review: The book is comprehensive certainly, but its explanations are so confusing that I just could not understand the differences between GMM, GLS, 2SLS, and IV estimation. Moreover, its index is just about the worst I have ever seen -- it'll introduce GLS, for example, earlier in the text, but if you look up GLS in the index, it'll point you to an obscure reference several chapters down! I would recommend getting Hayashi instead for a gorgeous GMM treatment or Davidson & McKinnon for a thorough intuition of linear projections; Greene may be good as a reference but I don't see it being too helpful. Plus, it's over-priced.
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Summary: Matrix and Vector BONANZA!
Review: The comments noting Greene's notational prowess are certainly accurate, at least in my experience of the text. If you are hunting for THE book on econometrics, particularly cross-section and panel, then Greene's is the place to turn. One would be hard pressed to find much that Greene doesn't cover, except for advanced Time-Series Econometrics. (If you are looking for an outstanding Time-Series text that is very rigorous, pick up Hamilton's "Time-Series Analysis." But this is not for the faint-hearted. An easier, but much less complete text on Time-Series is Walter Enders' Applied Econometric Time-Series.) A terrific textbook lineup for a 1st-2nd semester graduate course in econometrics is Greene's Econometric Analysis and Peter Kennedy's Guide to Econometrics.
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Summary: Rich in coverage but poor in explainations.
Review: The coverage of this book is vast and comprehensive. It includes almost all of the important topics that practitioners and graduate students need to know. Because of the scope of this books, I think it is better used as a reference book rather than a text. To save space, many major and crucial results are only stated without proofs (This drives serious econometrics students crazy). Also, equations pop-out from nowhere sometimes and I have to scratch my head like crazy to figure them out. For instance, the material in Chapter 14 Random Effect section is poorly explained. In addition, real-data examples are of no help. The author just throws in a lot of numbers to make you wondering around how he got those numbers. I believe there is a better text out there. Consult your professors before you buy this book. It is not cheap at all. But if you need a good reference on your book shelves, this is the right one.
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Summary: The quintessential econometrics text
Review: There is no other book that even comes close to Greene's masterpiece. It contains a plethora of information that makes this book not only a wonderful text but also a wonderful reference as well. Filled with matrix-based analysis, a good section on asymptotics, and plenty of real-world examples. This book is a must have for grad students in Economics.
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Summary: W. Greene said it first
Review: This "is" an advanced econometrics textbook. I found it quite interesting after studying Gujarati's "Basic Econometrics" from Mc-Graw Hill.
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