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Summary: A nice systematic view of econometrics
Review: A nice review of basic econometrics with detailed explanation of the GMM. Clearly the other reviewer does not know anything about what he is talking about.
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Summary: Econometrics by Fumio Hayashi
Review: An excellent written text in econometric. If anyone is having trouble following econometric analysis by Greene then this Hayashi's will be a great substitute. Great examples and comprehensible at ease.
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Summary: Clear Exposition
Review: I find it a delight to follow this book. There are numerous footnotes and brief recaps of concepts in linear algebra that are necessary to follow the proofs. Despite the size of the book, the exposition is concise and clear (the font size is large using double-spacing). There are also ample examples and problems in economics to illustrate the theories.
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Summary: Clear Exposition
Review: I find it a delight to follow this book. There are numerous footnotes and brief recaps of concepts in linear algebra that are necessary to follow the proofs. Despite the size of the book, the exposition is concise and clear (the font size is large using double-spacing). There are also ample examples and problems in economics to illustrate the theories.
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Summary: Vote for the book
Review: I strongly agree with the previous (except the first) reviewers.
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Summary: The Most Readable Econometrics Text There Is. Period
Review: I think Hayashi is the best econometrics textbook to come along in a long time. The treatment has that rare quality of being simultaneously sophisticated yet very easy to follow. In that sense, this book is much different than Greene - whereas Greene is (I think) much more of a reference, you can actually sit down and learn a lot of econometrics with this book. Hayashi not only takes the time to explain key concepts in good prose, but in some cases even writes down step-by-step instructions. All this while not compromising the material.
The treatment is also slightly different in that GMM is a central theme instead of something off to the side, which is very nice. There are plenty of empirical examples - these are somewhat helpful, and the exercises are fairly easy but still illustrative.
Two downsides - it would have been nice to see some treatment of Bayesian econometrics, since this appears to be used much more widely (Lancaster is a good supplement). Second, either I got a faulty book, or there are no tables of critical values. This is ultimately a minor gripe since just about every other book has tables (and you really don't even need them these days with packages and such), but it can be annoying.
Ultimately, the combination of sophistication and readability of this book is what sets it apart from all others. If you're looking to learn econometrics, buy this book.
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Summary: number of pages
Review: Just wanna let you know the number of pages of this book is at least 675 not 452 pages
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Summary: The modern approach to econometrics
Review: The title is accurate. This is 'Econometrics' done properly. Unlike the vast majority of econometrics texts, this book combines solid economic theory with a thorough grounding in basic mathematical statistics. The worked practical examples introduce some classic empirical papers and provide an excellent motivation to study the theory. The little bit of effort required to put on the GMM-tinged glasses makes everything look so much clearer. The incidental treatment of linear algebra is better than that of any 'Math. for Economists' book I have ever come across. Anyone at the graduate level of study should own this book. It would also be of value to advanced undergraduates, and out-of-touch academics. It should be noted that an important aspect of statistical analysis is the treatment of 'outliers', such as the 'review' presented by Mr. Brian J. Phillips.
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Summary: Excellent
Review: This book has excellent qualities:
1) Its clarity and concision, in exposition and proofs.
2) The modern approach and well structured and complete contents
3) The empirical exercises But, for pure theory I prefer Davidson & McKinnon's "Estimation and inference", and for an empirical approach Berndt's "Practice of Econometrics". Hayashi's is a good intermediate alternative, with great theory exposition and good empirical exercises. One of the best options for a graduate student.
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Summary: future classic
Review: This book will definitely be a classic. It's clearly written, well structured and covers a very modern approach to econometrics. In my opinion it's by far the best graduate econometrics text available. Seems to me that Brian Phillips wouldn't know a good econometrics book if you hit him over the head with it. I have no hesitations in recommending this text.
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