Top 10 Best Econometrics Books of 2022

The concept of economics can be used as a stand-alone subject. However, you wouldn’t be able to apply the ideas well until you learned the mathematical and statistical aspects of the subject. Below is the list of top Econometrics Books:

We will discuss each of the Econometrics books in detail, along with their main takeaways and reviews.

10 Best Econometrics Book Reviews

1. Mostly Harmless Econometrics: An Empiricist’s Companion by Joshua D. Angrist and Jorn-Steffen Pischke

Mostly Harmless Econometrics

If you want to become an expert in econometrics, this is the book for you.

In this Top Econometrics book, you will learn about how econometrics is applied in the real world. It’s not just theory, and researchers won’t find much in this guide. However, if you want to practice it in the real world, this guide seems invaluable. If we examine the book in more detail, we will see that the authors have mastered regression analysis. Hence, if you plan to do regression analyses, stop everything, put everything off, and read this book first.

This Econometrics book is a go-to resource for regression analyses. As an economist, this book is a must-read. If we view it from this perspective, it is not entirely an econometrics book; but it can serve as a great supplement to any other economics textbook.

Whether you are a Ph.D. student or attempting to solve complex, most difficult economic problems, this book is of great help. The book is mainly designed for those who are directly involved with the core subject, but you can also use it for understanding regression analyses if you are interested. Everyone could benefit from reading this book, from students to instructors.

Key Takeaways

  • There are topics such as quantile regression, regression discontinuity designs, and standard errors covered in this Best Econometrics book.
  • Plus, you’ll discover many empirical examples that nobody else discusses.

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2. Using Econometrics: A Practical Guide by A.H. Studenmund

Using Econometrics: A Practical Guide by A.H. Studenmund

An easy-to-understand guide to econometrics, this book is simple and straight-forward.

This best Econometrics book can be a great guide to read through if you are a student and have no idea about econometrics. You don’t need to know everything, but you should be pretty good to go if you read a few chapters and understand regression analysis.

Although economics is not a subject for the faint-hearted, it is possible to explain it in an easy-to-understand manner. The Econometrics book proves that econometrics can be explained elegantly without needing excess words or additional phrases. Those who are interested in understanding the fundamentals of econometrics will find this book especially useful.

The book won’t make the grade if you’re looking for a book on econometrics for your Ph.D. studies. However, if you’re looking to understand regression analyses well, you can then move on to a more intense book on econometrics.

There are not only easy explanations of each topic, but you will also be able to relate your understanding to stunning visuals in this book. In a nutshell, it is a perfect guide for those just beginning their journeys in econometrics.

Key Takeaways

  • The Top Econometrics book is written for beginners and does a pretty good job.
  • In this book, you will learn about “single equation linear regression analysis” through real life examples.

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3. Introductory Econometrics: A Modern Approach by Jeffery M. Wooldridge

Introductory Econometrics: A Modern Approach by Jeffery M. Wooldridge

It will make learning fun and easy with this guide.

It is time to stop your search for an Econometrics book that will help you in your class. This is an excellent guide for beginners in econometrics, as the title suggests. Further, if you purchase this best Econometrics book, you won’t need help from instructors or teachers. The exam can be passed on your own.

Those new to economics may not find this book useful. It is only useful to those who work on applied econometrics or are thinking about it. There is nothing common between traditional textbooks. No, this book is different. You will learn how econometrics can really answer some of the most pressing questions by going beyond ambiguity.

Throughout this guide, you will find information on six data presentation formats – R, Stata, Microsoft Excel, Minitab, EViews, and Text – as well as the relevance of econometrics in real life and how to apply it.

Key Takeaways

  • You will also receive MindTap technology along with this Econometrics book, which combines interactive videos, materials, and animation videos.
  • There are more than 780 pages of material in this top Econometrics textbook, even though it’s a guide to beginners. It’s one of the best textbooks students are using.

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4. Introduction to Econometrics, (Pearson Series in Economics) by James H. Stock and Mark W. Watson

Introduction to Econometrics

Another excellent textbook on econometrics.

However, this Econometrics book has received mixed reviews. If you want a quality textbook on econometrics, this book will serve the purpose. In part, this is because the book wasn’t written for everyone – if you don’t have a statistical background, it wouldn’t be a good fit for you (but why study econometrics anyway if you don’t have any experience with statistics).

This book is written for those who have successfully understood the conceptual part of economics and now are ready to plunge into understanding econometrics. Therefore, you should pick up a statistics textbook before you read this book (if you’re a complete novice) and learn the fundamentals of statistics. Then, read this book.

It is very dense and often difficult to comprehend for students who are just beginning. Therefore, don’t rely solely on its title. The book is not really an introductory course, so reading an easy book on econometrics before reading this book will be very helpful, and you will be able to appreciate its content as well if you do that.

Key Takeaways

  • This best Econometrics book comes with MyEconLab, a software program that simplifies and structures your learning.
  • This book on Econometrics will keep up with the classes, discuss the current trends in econometrics, and offer a full range of pedagogical features. Furthermore, the authors clarified that theory should follow the application, not the other way around since the book is focused on an application.

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5. Econometric Analysis of Cross Section and Panel Data (MIT Press) by Jeffrey M Wooldridge

Econometric Analysis of Cross Section and Panel Data

Mr. Wooldridge has written another book on econometrics.

Despite many reviewers stating otherwise, this book is way too hard to be considered an introductory textbook on econometrics. Although it is mentioned that this book can be used at the graduate level, it cannot be used at that level because of its complexity. You will need to read a textbook on introductory econometrics before you can read this book.

It has been suggested that this book is perfect for Ph.D. students in the second or third year of their study. But that doesn’t mean it’s not good. It’s a great source for people who are interested in learning two methods – cross-sectional and panel data.

This book is best used as a textbook on econometrics, a reference book. Aside from reading a textbook, you can read this book and understand “why things work in certain ways.” However, there are no graphs in this book. However, if you read the book thoroughly, you won’t need to use graphs.

Key Takeaways

  • The best Econometrics book focuses on the more detailed treatment of cluster problems, including generalized instrumental variables, inverse probability weighting, and panel data analysis.
  • Since this book covers microeconomic data structures for the first time, every econometric student should read it.

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6. Microeconometrics Using Stata by A. Colin Cameron and Pravin K. Trivedi

Microeconometrics Using Stata by A. Colin Cameron and Pravin K. Trivedi

It teaches a particular branch of econometrics – microeconometrics – in a textbook on Econometrics.

When you have read a lot of textbooks on econometrics (think Wooldridge’s textbooks) and stata manuals but have been unable to bridge the gap, this book will do the job. The book is terrific, and everyone who is interested in econometrics should read it.

It is a state manual expert who provides detailed information on not only Stata commands, but also the contexts in which those commands and tests are used. The authors have illustrated their points well, according to the reviewers. For example, the authors use robust standard errors and FGLS to deal with heteroskedasticity in modeling heteroscedastic data.

This book adds value to your knowledge base if you’re interested in econometrics. As an instructor, you can also use this book to teach Stata to your students. It is useful for students who are graduating in econometrics as well as for those who have already completed their Ph.D.

Key Takeaways

  • You will not find a better stata book. Not only have the reviewers praised it, but students at all levels recommend it.
  • The latest edition of this best Econometrics book includes exclusive Stata 11 features.
  • There are over 700 pages in the book and it covers every aspect of microeconometrics.

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7. Econometric Analysis by William H. Greene

Econometric Analysis by William H. Greene

Here are some reasons why this is a great book on econometrics.

It is common for students not to have the opportunity to get guidance from their professors. In that case, there is only one option left. You have to study on your own. In this case, you should read through this book and take notes. Many readers have mentioned that this book has helped them learn the regression model so very well that they got the confidence to sit for the exam and pass with a good score.

There are even people who have earned a Ph.D. in econometrics who recommend this particular book. Anyone who is an expert on this subject will tell you that you should read either Greene or Wooldridge. In my opinion, it is an excellent textbook on econometrics written in such a way that it will help any student who wants to read it.

A book like this won’t cover all aspects of econometrics. It doesn’t cover multivariate analysis, non-parametric, or experimental design. It’s a basic, comprehensive textbook that covers the fundamentals of econometrics.

The textbook may seem tougher than the normal textbooks on econometrics, so it’s always best to have an easy-to-read textbook with you along with this.

Key Takeaways

  • With this Best Econometrics book, you won’t need to read the dry text, because you will find plenty of examples to relate to and apply your knowledge.
  • You can download LIMDEP software and data sets after purchasing the book at prenhall.com/greene.

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8. A Guide to Econometrics by Peter Kennedy

A Guide to Econometrics by Peter Kennedy

Every econometric class should have this book on hand.

No. It is not a textbook on Econometrics. But it is a great supplementary when you have a textbook around. Imagine you have a personal tutor sitting with you all day and teaching you about econometrics. There are many textbooks that talk about general theories and expect you to understand specific models, but this book is different. It is of such excellent quality that you will feel that way quite often. 

The author here skips general theories and talks straight about specifics in plain English. This approach is far more effective because many students do not know anything about econometrics when they start studying it for the first time. Many readers go far away and recommend that you skip Greene and Wooldridge and read this book first before econometrics become one of your pain points.

As part of this book, the author ensures that students understand equations and theory language, so that rote memorization is not necessary. Also, Kennedy does a better job than other authors of economics in that there are no jargon, extra words, or additional phrases.

Key Takeaways

  • You will also get the newest material on instrumental variables and computational considerations in this book on Econometrics.
  • The book contains many examples, useful formulas, as well as information on GMM, nonparametrics, and wavelets.

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9. Basic Econometrics (Irwin Economics) by Damodar Gujarati and Dawn Porter

Basic Econometrics (Irwin Economics) by Damodar Gujarati and Dawn Porter

Your first book on Econometrics should be this one.

This is one of the best books on econometrics at the elementary level. If you are a novice and don’t know much about econometrics, this is the book you should read. The textbooks and supplements have been mixed and mingled so that you can choose the one that best suits you. In this book, advanced algebra, statistics, and calculus are not covered.

The purpose of writing this book is to give a solid introduction to why statistics in econometrics should be thoroughly understood and its usefulness, instead of simply providing concepts, theories, and examples to understand the subject. Those students who previously studied econometrics as an undergraduate have commented that this book offers much more than students seem to think it offers.

The language is clear, the examples are varied, and the coverage is rigorous. What more could you ask for from your textbook? After reading this book, you will understand the fundamentals of econometrics and can build further on them.

Key Takeaways

  • There are around 950 pages in this book. You can imagine how much material it covers without going into the advanced material.
  • This top econometrics book has been totally updated with more than 100 new data sets, as well as new research and examples. If you only read one book on econometrics, this is it.

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10. Econometrics for Dummies by Roberto Pedace

Econometrics for Dummies by Roberto Pedace

The book is a dummies book, and it covers a lot more ground for beginners.

It’s hard to write a book that a layman can understand about economics because it’s not a subject for dummies. And guess what? This book has been written in such a way that you’ll wonder if you’re getting smarter or if it’s really for dummies. It is extremely difficult to balance thinking from novice perspectives while simultaneously presenting econometric theories and examples.

Moreover, the author did not limit the materials to only theories and beginners’ math and statistics; his ideas were presented using derivatives and statistics (classical violations, ordinary least squares, etc.). A Ph.D. and master’s degree in economics would benefit from reading this book. For students who are just beginning to learn econometrics, this book is a great resource, but it would be useful to have a reference guide to it.

Pick this book up if you’re panicking and don’t know where to start your study. Read the chapters one by one! Those who need a refresher in their knowledge base, such as students, instructors, and would-be professors, will benefit from this book.

Key Takeaways

  • In this book, you will find everything from figures to examples, from the state model to statistical analysis. You will also gain an understanding of basic economics and econometrics.
  • As part of this course, you will also learn about the characteristics of classical linear regression models, how to solve regression analysis, and common mistakes in applied econometrics.

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