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I'm doing my Master thesis in economics. I have only a very basic understanding of econometrics, and honestly, I hate it, the same things go for stats and probability etc.

Now, at my school my supervisor allowed me to get help to analyze the data using VAR or GARCH so the analysis itself will be done by an assistant at the school. However, my supervisor told me I should be able to answer questions regarding the model once I defend.

I have been watching tons of YouTube videos about econometrics, but I think I should get a book to understand econometrics better. I don't want to master it, I just want to pass the defense. Once I'm done I'm not interested to learn anything about econometrics ever again. So, any Econometrics book you suggest? I found many online and not sure which one is the easiest to use.

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  • $\begingroup$ Learn to like it, it's good for you. $\endgroup$ – Michael Greinecker Sep 4 '18 at 20:14
  • $\begingroup$ You might find the suggestions from this previous post useful: economics.stackexchange.com/questions/12405/… $\endgroup$ – Andrew M Sep 4 '18 at 22:45
  • $\begingroup$ I'd advise you to instead look for statistics texts that consider GARCH et al outside of any economic applications, because they distract from not only the concepts but also their general utility, e.g. in pattern-spotting. Any treatment of stochastic time series is likely to help; just make sure you understand linear regression first. $\endgroup$ – J.G. Sep 6 '18 at 18:28
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I'm not an econometrician but here is my guide on some books I found helpful (and still do).

My opinion is that a nice place to start is with an advanced undergraduate textbook. These are often helpful even for postgraduate students to build intuition and brush up on mathematical techniques. For books at this level I would recommend Introductory Econometrics: A Modern Approach by Wooldridge, Introduction to Econometrics by Stock and Watson and Introduction to Econometrics by Dougherty.

You mention a dislike of maths and stats. Do you have much in the way of familiarity with matrix algebra? If not, I recommend A Guide to Modern Econometrics Verbeek and the older Econometric Methods by Johnston and DiNardo. These two books are pitched at the more basic end of the graduate level and have excellent appendices on matrix algebra. Either of these would be an excellent starting point for you.

More advanced books include Greene's Econometric Analysis and my favourite; Econometrics by Fumio Hayashi. The latter textbook centers on the Generalised Method of Moments as an organizing principle which really helps illuminate the material. Econometric Analysis of Cross Sectional and Pannel Data Wooldridge is a classic at the graduate level. It may also be worth considering the online textbook by Bruce Hansen. It's available on his website https://www.ssc.wisc.edu/~bhansen/econometrics/ These textbooks could be considered rather mathematical on the first reading. For example, the large sample properties of estimators require some sophisticated mathematical machinery. All the textbooks mentioned above give a fairly digestible but somewhat superficial treatment of these topics. To get a good understanding of these topics a course in measure theory and integration would be a great help!

After these come the more specialized books in Panel Data / Microeconometerics and Time Series. The books mentioned in the previous paragraph generally do have an introduction to these topics but it's rather limited. In terms of Time Series a great textbook is Applied Econometric Time Series by Walter Enders. This book is much more focused on Time Series in real world applications and is lighter on the technical details. I would recommend this to you if you're still interested in VAR, ARCH, GARCH and error correction models etc. In stark contrast is Time Series Analysis by James Hamilton. A very thorough textbook but quite a hard read. In terms of Microeconometrics, I like Microeconometrics by Cameron and Trivedi and Baltagi's Econometric Analysis of Panel Data. There are many, many more excellent textbooks in these fields but they're too numerous to mention. Remember, these books are advanced and would only be used once you've taken the standard grad econometrics courses.

Lastly, every economist should have a copy of Angrist and Pischke's Mostly Harmless Econometrics A great guide to econometrics as a discipline.

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