Econometrics

Rating:
Summary: A modern and unusal approach
Review: This is a fine book, but probably not the one you want to buy if you are looking for ONE all-encompassing reference. The approach is interesting, but unusual, with all the pros and cons that come with originality. It is for graduate students, or very advanced undergraduates, as it requires quite a lot of previous knowledge of linear algebra and statistics.
What is unusual about this book is that it covers most topics within a unifying Generalized Method of Moments (GMM) framework. Many many estimators are treated as special cases of GMM. The book is clear, and the notation is mostly OK, even if the chapters on panel data and systems of simultaneous equations are a notational nightmare, partly because of the choice of treating everything in a GMM framework. Another unusual aspect of this book is the emphasis on certain regularity conditions (such as ergodicity) that are usually used in a time-series framework, but are not commonly seen in cross-section analysis. I studied (also) on this book as a graduate student, and overall I liked it. The only real minus are the exercises, which contain so many hints that they become trivial (really, I am not a genius...). Worse, they only require mindless application of linear algebra. One UNimporant cons of this book is the fact that it is... ugly! How could the publisher choose the boring "Times New Roman" font for this book!? But this, of course, does not really matter....
Overall, a useful and good book, but if you are looking for ONE textbook in cross-section econometrics Wooldridge is probably a better choice, and if what you are looking for is ONE book in time series, Hamilton is likely to be what you want on your shelf.

Rating:
Summary: Just read it
Review: What a great book it is! I saw two undergraduate book such as gujarati, johnston. But I can't understand what econometrics is.Hayashi put me on the right road to Econometrics.
I think it suffices to kwow some matrix and algebra concepts for reading Hayashi's econometrics! He explains every concepts clearly in plain english.
Thanks to Joon-yong Park(SNU) and Hayashi(U of Tokyo) ^^