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Related: Book recommendations on empirical methods in economic research and econometrics?

I would like to focus mainly on graduate texts in Econometrics. From the question above, I gather that Wooldridge's text is nice.

In terms of "strong math background," I did my undergrad in Statistics, consisting of two semesters each of linear algebra, real analysis, and abstract algebra, along with a measure-theoretic probability course.

What are some econometrics texts that you would recommend for me? I learned some intro econometrics in a course which taught from Studenmund but was extremely bored.

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    $\begingroup$ Are there particular areas that interest you, like causal inference, structural, time-series? $\endgroup$ – Dimitriy V. Masterov Dec 5 '14 at 22:30
  • $\begingroup$ @DimitriyV.Masterov: I don't claim to know a ton about econometrics, but I definitely would be interested in casual inference and time-series. $\endgroup$ – Clarinetist Dec 5 '14 at 22:31
  • $\begingroup$ Can we again have one main reference per answer? That way people could vote single books. Was a suggestion in the other question and I feel it worked great. $\endgroup$ – FooBar Dec 5 '14 at 23:09
  • $\begingroup$ An excellent treatment (published 1991) you may want to look into hup.harvard.edu/catalog.php?isbn=9780674175440. I would also second: amazon.com/Primer-Econometric-Theory-MIT-Press/dp/0262034905 $\endgroup$ – PatrickT Mar 13 '18 at 11:39
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"Adult" Wooldridge is great intro to various microeconometrics topics.

For time series, Hamilton's Time Series and Lutkepohl's Introduction to Multiple Time Series Analysis are both nice, though Hamilton is a bit dated and Lutkepohl is more focused.

As far as more foundational, rigorous material, Herman Bierens has a short Introduction to the Mathematical and Statistical Foundations of Econometrics. Gourieroux and Monfort have a whole flock of graduate econometrics texts, but to quote an anonymous reviewer, they are "in the French tradition of excellent precision and terrible pedagogics," though they have their champions.

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  • $\begingroup$ The Wooldridge book that @Dimitriy is talking about is "Econometric Analysis of Cross Section and Panel Data." "Baby" Wooldridge is "Introductory Econometrics: A Modern Approach." $\endgroup$ – jmbejara Dec 5 '14 at 23:02
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    $\begingroup$ (+1) for also relaying the comment on Gourieroux and Monfort. $\endgroup$ – Alecos Papadopoulos Dec 5 '14 at 23:06
  • $\begingroup$ Thank you for telling me about Wooldridge. I have really enjoyed the text and it is right up my alley. :) $\endgroup$ – Clarinetist Jan 24 '15 at 20:22
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I repeat part of my answer in the question the OP already mentioned with some additional proposals:

Since you have a background in Statistics
"Probability Theory and Statistical Inference: Econometric Modeling with Observational Data" 1999, by A. Spanos, provides the statistical foundations of econometrics in a way no other book does.

"Econometrics" by Hayasi, because, except of presenting a new synthesis focused around Extremum Estimators (i.e. Maximum Likelihood and Generalized Method of Moments), and of giving space to Time Series, Unit root econometrics and Co-integration, it has theoretical depth alongside very practical applications, a combination which is not usually found.

For Time-series, I don't believe you can ignore

Hamilton's Time Series Analysis",

or

"Lutkepohl's "Introduction to Multiple Time Series" which has gone into its 2nd ed. as "New Introduction to Multiple Time Series" (my experience is from the first edition).

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  • $\begingroup$ A book's "theoretical depth" is questionable when "measurability" appears exactly once in the book and is in quotes. $\endgroup$ – Michael Dec 6 '14 at 14:41
  • $\begingroup$ @Michael And since when the concept of "measurability" and related, became the standard to measure theoretical depth? $\endgroup$ – Alecos Papadopoulos Dec 6 '14 at 15:01
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Can't forget "Econometric Analysis" by William Greene. It's in its 7th edition. It seems to get referenced lot. It sometimes skips over some detail but it does cover a broad range of topics. (Though I do like the pedagogical approach of something like Hayashi better, I think Greene might cover more ground.)

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