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I am looking for good econometrics books for self-study. I am strongly interested in macroeconomics and monetary economics/policy, so that I try to build up knowledge in econometrics especially for these fields. At first I am looking for a basic introductory book but also for a book, which covers time series methods, VAR and so on (so macroeconometrical topics in general, I guess). Applications are more interesting for me than pure theory, so the book(s) shouldn't be too theoretical.

Some more information about me: I study mathematical economics on graduate level and I bring prior knowledge in (measure theory based) probability theory.

Maybe one of you guys could help me :) Thanks in advance!

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    $\begingroup$ Is Value at Risk a macroeconomics concept? $\endgroup$ – Henry Feb 15 '18 at 22:09
  • $\begingroup$ @Henry It's probably VAR, not VaR. $\endgroup$ – Giskard Feb 15 '18 at 22:21
  • $\begingroup$ @denesp is that supposed to be vector autoregression? $\endgroup$ – Henry Feb 15 '18 at 22:32
  • $\begingroup$ @Henry Yes, it is. $\endgroup$ – Giskard Feb 16 '18 at 6:15
  • $\begingroup$ Oh of course, I meant VAR. I corrected it. $\endgroup$ – Hazards Feb 16 '18 at 8:35
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For a first look at econometrics, I would recommend Stock and Watson, Introduction to Econometrics. Not only does this book cover the basics well, it gives good, clear treatment of causal inference in econometrics. It covers time series topics, including VARs. For more advanced treatments, I would suggest Fumio Hayashi's Econometrics.

If you feel like you have a grasp on these, you could then look at econometrics books that deal more specifically with macroeconomics. I like the book Structural Macroeconometrics. Others include Methods for Applied Macroeconomic Research and Applied Macroeconometrics.

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I definately reccomend Introductory Econometrics for Finance by Chris brooks. a little more finance focused in its case studies, however it is an excellent primer to forecasting in economics.

Builds up from univariate modelling methods to VARs and VECMs, it has lots of case studies. I found it very useful.

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This answer is built on the answer by jmbejara.

I really like the books he recommended in the last paragraph. They give you an general overview of the landscape on the mathematics involved in macroeconomics.

And immediately you get the following feeling. Economists do not have the background enough to really understand most of the methods they use. They take a more pragmatical, albeit superficial, view of mathematics. Just see the disparity of mathematical areas are crammed into any of those books. From measure theory, to PDE, ODE, Stochastic Calculus/Optimization - these for the solving of the models; Bayesian Statistics, Multivariate Time Series, etc. (for the more empirical part of the work, like model simulation, calibration, etc.). Intersect them all, and right there in the middle, you'll find the mathematics of macroeconomics.

It's almost impossible for economists to have a barely decent understanding of a so many diverse fiels, with their background which more than probably just consists of 2 calculus courses, 2 statistics courses and 2 to 3 econometric courses. Just watch any webcast from AEA with renown researchers, and you'll be amazed at the lack of precision, and exactly wonder how they are able to use some mathematical methods when they understanding of it is so superficial... I know I'm venting a bit out my accumulated frustration, but since it seems that you're relatively inexperienced in the area, I thought my personal point of view might help you, even though I usually study by myself. Maybe with a formal education, things would be different, but I seriously doubt it.

I'll give two book recommendations for Time Series:

For univariate and small intro to multivariate, you have a great introductory book by Brockwell and Davis. For multivariate time series, choose Lütkepohl, it's the best of the whole group.

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The best books to look at as a beginner are Introduction to Econometrics by Stock and Watson, and Introductory Econometrics: A Modern Approach by Wooldridge.

However, if you have a good knowledge of Linear Algebra, I would also consider the grad school textbook Econometric Analysis by Greene. I much prefer learning econometrics using linear algebra, as it is a lot cleaner, with relatively fewer annoying summation signs. Bruce Hansen's notes (https://www.ssc.wisc.edu/~bhansen/econometrics/Econometrics.pdf) are also an excellent resource, but may also assume some maturity with maths and stats. It covers time series as well, which is important for macroeconometrics.

Speaking of time series, which is crucial in macroeconomics, the classic book is Time Series Analysis by Hamilton. Another great book is Multiple Time Series Analysis by Lütkepohl. Finally, to catch up with modern techniques in macroeconomics, have a look at this excellent paper by Ramey.

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