Introductory Econometrics

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1. remarkEonNov 2022
   Wooldridge's Introductory Econometrics.

   I don't do statistics in my day job, but having a solid foundation in the math and the theory and the proofs really had a profound impact on how I approach problem solving generally and root cause analysis specifically (just thinking about e.g. model specification and how you do it is a good exercise). It's still on my bookshelf and I'll pull it out and do a problem set from time to time just to stay sharp - even though, again, I don't do this for my job. Maybe, one day, I'll get a job with a baseball team or something. Understanding heteroskedasticity for example is one of those things where once you "get it", it really opens your eyes to a lot of things and you can't "unsee" it.

   PS there are packages in R nowadays but back in the day we used STATA.

   PPS if people don't like Wooldridge, what else would you recommend?

   Edit: I know you said "Your choices needn't be only math books" but this is a statistics textbook, so it probably doesn't count as "math".

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2. xapataSep 2018
   Strange, I thought I answered the spirit of the question. You asked what defines the current "thought" of the field, and how it views empiricism, no?

   Or are you really curious about how undergraduates are taught, despite the distinction between the undergraduate curriculum and the professional researcher's view? My introductory economics course used Mankiw's textbook. If I remember correctly, it didn't even use calculus. Imagine a university physics course doing that. I think of that more like high school level. Come to think of it, AP Economics probably would have let me skip that class.

   Looking over at my bookshelf, I see Wooldridge's "Introductory Econometrics". That's a pretty good one, with plenty of empirical work. I can't spot my macroeconomics textbook, but I remember it evaluating each model by how consistent its predictions were with observed behavior.

   ... it occurs to me that someone ought to update Wooldridge's exercises for R-language or Python ...

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3. yomritoyjSep 2016
   Since you are already in a quantitative field I think it would be good to quickly get to the heart of what economists actually do. I would suggest

   Varian, 'Intermediate Microeconomics' Luenberger, 'Investment Science' Wooldridge, 'Introductory Econometrics'

   for the undergraduate background and then at the graduate level Jehle and Renyi for microeconomics, Duffie for asset pricing theory, Tirole for corporate finance and Campbell, Lo and Macinlay for econometrics.

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4. meotaiAug 2016
   To add, here's a good standard text to help you learn to "diagnose your model" for bias & classical assumption violations. And how to fix it.

   https://www.amazon.com/Introductory-Econometrics-Modern-Appr...

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5. pseutDec 2012
   Depends on the data sets you want to work with. For straight-up linear regression, with a heavy emphasis on observational data appropriate for microeconometrics, "Introductory Econometrics: A Modern Approach" by Jeff Wooldridge is absolutely phenomenal (an old edition is fine). (This is usually assigned for advanced undergraduate econ majors or non-advanced masters students; I don't know what the equivalent would be for undergraduate stats majors).

   For more "intuition about working with data, especially if you're a visual person," Howard Wainer's books are wonderful; one example is "Graphic Discovery: A Trout in the Milk and Other Visual Adventures." They're non-technical, short chapters, discussions of different data sets.

   Bill Cleveland's "Visualizing Data" and "Elements of Graphing Data" cover the same material -- graphing data -- at a more technical level. I don't know Cleveland's books would help with the issues you asked about, but... they are amazing books and if you're interested in the subject at all I can't recommend them highly enough.

   I don't have any free recommendations, unfortunately.

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6. thomaspaineJan 2010
   Funny you should ask, I just ordered a copy of a stats textbook I used back in undergrad because I remember thinking that it was pretty clearly written with lots of examples. It's "Probability and Statistics for Engineers and Scientists" by walpole . If you get a used 7th edition instead of the 8th, it's $10 instead of like $100. http://www.amazon.com/Probability-Statistics-Engineers-Scien...

   Introductory Econometrics by Woolridge is a pretty readable econometrics text you should also check out, since it'll be especially applicable for social science: http://www.amazon.com/Introductory-Econometrics-Approach-App...

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