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Best Econometrics Books

Updated on March 12, 2024
Article bySayantan Mukhopadhyay
Edited byAshish Kumar Srivastav
Reviewed byDheeraj Vaidya, CFA, FRM
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List of Top 10 Best Econometrics Books

Economics is a stand-alone subject. But until you learn the mathematical and statistical parts deeply ingrained with the subject, you wouldn’t be able to use the concepts well. And there lies the importance of econometrics. Below is the list of top Econometrics books:

  1. Mostly Harmless Econometrics: An Empiricist’s Companion  ( Get this book )  
  2. Using Econometrics: A Practical Guide ( Get this book ) 
  3. Introductory Econometrics: A Modern Approach  ( Get this book ) 
  4. Introduction to Econometrics, (Pearson Series in Economics) ( Get this book )
  5. Econometric Analysis of Cross Section and Panel Data (MIT Press) ( Get this book )
  6. Microeconometrics Using Stata ( Get this book )
  7. Econometric Analysis ( Get this book )
  8. A Guide to Econometrics ( Get this book ) 
  9. Basic Econometrics (Irwin Economics) ( Get this book )  
  10. Econometrics for Dummies ( Get this book )  

Let us discuss each of the Econometrics books in detail along with its key takeaways and reviews.

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#1 – Mostly Harmless Econometrics: An Empiricist’s Companion

by Joshua D. Angrist and Jorn-Steffen Pischke

Mostly Harmless Econometrics: An Empiricist's Companion

It is the ultimate Econometrics book for someone who wants to become an econometrics practitioner.

Econometrics TextBook Review

This top econometrics book will teach you how econometrics is useful in real life. It is not all theory, and you wouldn’t find much for researchers. But yes, if you want to practice it in real life, this guide would seem invaluable. If we go into specifics about this book, we will see that the authors have mastered regression analysis. So, if you’re about to do regression analyses, stop everything, put off everything, and read this book first. This Econometrics book is a go-to resource for regression analyses. If we look at it from this perspective, we can say that this book is not entirely an econometrics book. But can be a great supplement to any other Econometrics textbook. However, as an economist, this book is a must-read. Even if you’re in your Ph.D. and trying to decipher complex, most difficult economics problems, this book will greatly assist you. This book is mainly for people directly involved with the core subject, but if you’re interested, you can also use it to understand regression analyses. And from students to instructors, everyone would benefit from this book.

Key Takeaways from this Best Econometrics Books

  • This best Econometrics book covers quantile regression, regression-discontinuity designs, and standard errors. That means you will get the tools most applied researchers use in the real world.
  • Plus, you will also get to learn about a lot of empirical examples nobody talks about.
<< Get this book >>

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#2 – Using Econometrics: A Practical Guide

by A.H. Studenmund

Using Econometrics: A Practical Guide

This Econometrics book is a simple, straightforward, and easy-to-understand guide to econometrics.

Econometrics TextBook Review

If you’re a student without any idea about econometrics, this best Econometrics book can be a great guide to read through. You may not need to know everything, but if you just read a few chapters of this book and understand the introductory part of regression analysis, you will be pretty good to go. Econometrics is not a subject for the faint-hearted. But that doesn’t mean one can’t explain the subject in an easy-to-understand manner. This Econometrics book proves that econometrics can be beautifully explained without needing excess words or additional phrases. This book is written particularly for those who want to understand econometrics fundamentals. So, if you’re looking for a book on econometrics for your Ph.D. studies, this book won’t cut. But yes, you can easily start with this book, understand regression analyses well, and then move on to a more dense and intense book on econometrics. You will get easy explanations of each topic and be able to relate your understanding with the stunning visuals used in this book. In a nutshell, this is a perfect guide to start your econometrics journey.

Key Takeaways from this Top Econometrics Books

  • This top Econometrics book is written for beginners and has done a pretty good job for the last 30 years.
  • This book focuses on “single-equation linear regression analysis.” Through real-life examples, you can digest the concepts very easily.
<< Get this book >>

#3 – Introductory Econometrics: A Modern Approach

by Jeffery M. Wooldridge

Introductory Econometrics : A Modern Approach(Hardback) - 2012 Edition

This guide will make learning fun and easy.

Econometrics Book Review

If you’re looking for an Econometrics book to help you in your class, your search ends here. As the book title already suggests, it is a perfect guide for you if you’re starting in econometrics. Moreover, if you buy this best Econometrics book, you don’t need to take help from instructors or teachers. You can learn on your own and pass the exam. If you’re new to economics, this book may not add value. It’s only valuable for those working on applied econometrics or thinking of the same. You will not find any similarities between traditional textbooks. No, this book is different. It will teach you how econometrics can go beyond ambiguity and give answers to some pressing questions. This guide will teach you how to present data in six formats – R, Stata, Microsoft Excel, Minitab, EViews, and Text. You will also learn the relevancy of econometrics in real life and how to apply actual practices and challenges in today’s business world.

Key Takeaways from this Best Econometrics Books

  • Along with this Econometrics book, you will receive MindTap technology, which will help you master the subject with interactive materials, and animation videos.
  • This top Econometrics textbook is quite comprehensive, even if it’s a guide for beginners (more than 780 pages of materials). It is one of the best textbooks students use to pass their econometrics exams.
<< Get this book >>

#4 – Introduction to Econometrics, (Pearson Series in Economics)

by James H. Stock and Mark W. Watson

Introduction to Econometrics (Pearson Series in Economics)

This book is another great textbook on econometrics.

Econometrics Book Review

If you want to read a quality textbook on econometrics, this book will serve the purpose. However, this Econometrics book has received mixed reviews. It is partly because the book isn’t for everyone. If you don’t have a statistical background, it wouldn’t be a good match (but if you don’t have anything to do with statistics, why study econometrics anyway). This book is for those who have successfully understood the conceptual part of economics and are ready to plunge into understanding econometrics. So, before you start reading this book, pick up a textbook on statistics (if you’re a complete novice) and learn the fundamentals; and then start with this book. The book is very dense and often tough to understand for students who are complete beginners. Hence, don’t go by the name of the book. It’s not introductory, and reading an easy book on econometrics before reading this book will be helpful. And if you do that, you will be able to appreciate the content of this book as well.

Key Takeaways from this Top Econometrics Books

  • With this best Econometrics book, you can buy MyEconLab, highly recommended because MyEconLab will make your learning structured, organized, and easy.
  • This book on Econometrics will keep up with the classes and discuss the current econometrics trends. It offers a full array of pedagogical features. Moreover, the book’s focus is an application, and the authors clarified that theory should follow the application, not the other way around.
<< Get this book >>

#5 – Econometric Analysis of Cross Section and Panel Data (MIT Press)

by Jeffrey M Wooldridge

Econometric Analysis of Cross Section and Panel Data, second edition (Mit Press)

This book is another book on Econometrics written by Mr. Wooldridge.

Econometrics TextBook Review

This book is not an introductory textbook on econometrics. Many reviewers have mentioned otherwise, but this book is too hard to be considered an introductory textbook. It mentions that one can use this book at the graduate level but can’t use it at that level because of its complexity. You must read an introductory textbook before ever trying to read this book. The reviewers have mentioned that this book is perfect for people who are doing Ph.D. and are currently in their second/third year of study. But that doesn’t mean this book isn’t good. On the contrary, it’s an excellent source for people who want to learn two methods – cross-section and panel data. The best use of this book is as a reference book, an econometrics textbook. Along with reading a textbook, you can read this book and understand “why things work in a certain way.” The only pitfall of this book is that this book doesn’t have any graphs. But if you can read the book thoroughly, you won’t feel the need to use graphs.

Key Takeaways from this Best Econometrics Book

  • This best Econometrics book focuses on the more detailed treatment of cluster problems and pays enough attention to generalized instrumental variables. It also covers inverse probability weighting and provides a complete framework for panel data.
  • This book is the first to concentrate on microeconomic data structures. Thus, every econometric student must read this book.
<< Get this book >>

#6 – Microeconometrics Using Stata

by A. Colin Cameron and Pravin K. Trivedi

Microeconometrics Using Stata

It is a textbook on Econometrics that specifically teaches you one of the branches of econometrics – microeconometrics.

Econometrics Books Review

If you think that you have read through many econometrics textbooks (think of Wooldridge’s textbooks) and stata manuals; but need help to bridge the gap. This book will successfully do the bridging for you. It’s a terrific book, and everybody interested in econometrics should read it. The authors are experts on state manuals and provide details on stata commands and the contexts of those commands or tests. According to the reviewers, the authors have given great examples to illustrate their points. For example, in modeling heteroscedastic data, the authors have two ways to deal with heteroskedasticity: robust standard errors and FGLS. If you’re interested in econometrics, this book will add value to your knowledge base. This book benefits students who are graduating in econometrics and those who have already completed their Ph.D. If you’re an instructor, you can also use this book as a guide for teaching stata to your students.

Key Takeaways from this Top Econometrics Books

  • This book is the best stata book you will ever find. Not only have the reviewers mentioned the magnificence of this book, but students at all levels highly recommend it.
  • This latest edition of this best Econometrics book includes the new features available in Stata 11, which aren’t available anywhere.
  • The book is also quite comprehensive (over 700 pages) and covers everything you need to know about microeconomics.
<< Get this book >>

#7 – Econometric Analysis

by William H. Greene

Econometric Analysis

It is a great book on econometrics. Here’s why.

Econometrics TextBook Review

Many students only sometimes get the time to be guided by their professors. In that case, there is only one option left. And that is to study all by yourself. If this is your situation, you should pick this book up and read through it. Many readers have mentioned that this book has been instrumental in helping them learn the regression model so well that they got the confidence to sit for the exam and pass with a good score. Even people who have earned their Ph.D. in econometrics are recommending this particular book. Ask any expert on this subject, and she will tell you that you should read a textbook by either Greene or Wooldridge. It is a great textbook on econometrics and is from the perspective of helping any student who would take the time to read it. However, you will only find some things in this book. This book doesn’t discuss multivariate analysis, non-parametric, and topics like experimental design. It’s a basic, comprehensive textbook that covers the fundamental concepts of econometrics. But still, be careful while reading it; you may find it tougher than the normal textbooks on econometrics. So it’s always better to have a handy, easy-to-read textbook with you along with this one.

Key Takeaways from this Best Econometrics Books

  • This best Econometrics book is with useful examples. That means you don’t need to read the dry text; you would have plenty of opportunities to relate to and apply whatever theory you read.
  • Once you buy the book, you can go to prenhall.com/greene and download LIMDEP software and data sets.
<< Get this book >>

#8 – A Guide to Econometrics

by Peter Kennedy

A Guide to Econometrics. 6th edition

This book is an essential reference book for every Econometric class.

Econometrics Book Review

No. It should be used as something other than a textbook on Econometrics. But it is a great supplement when you have a textbook handy. Imagine having a personal tutor sitting with you all day and teaching you the nitty-gritty of econometrics. This book is of such superior quality that you would feel like that often. Many econometrics textbooks talk about general theories and expect you to understand specific models. But this book is different. Here, the author skips talking about general theories and goes on specifically in plain English. This approach is far superior because many students need to learn about the subject when they start studying econometrics for the first time. Many readers go far away and recommend skipping Greene and Wooldridge and reading this book before econometrics becomes one of your pain points. In this book, the author also ensures that the students understand the equations and language of theory, so they don’t need to go for rote memorization. Moreover, there is no jargon, different words, or additional phrases. Kennedy does a far better job than other authors of Econometrics.

Key Takeaways from this Top Econometrics Books

  • This book on Econometrics is very easy to read, and you will get the newest materials on instrumental variables and computational considerations.
  • This book includes a lot of examples and is with useful formulas. Plus, you will get to understand GMM, nonparametric, and wavelets.
( Get this book )

#9 – Basic Econometrics (Irwin Economics)

by Damodar Gujarati and Dawn Porter

Basic Econometrics

It is the first book on Econometrics you should start your course with.

Econometrics Book Review

It is one of the best books on econometrics at the elementary level. If you are a novice and need to learn more about econometrics, this is the book you should read. We have mixed and mingled all the textbooks and supplementary materials so you can pick the best. This book doesn’t include advanced algebra, statistics, and calculus. Rather, you will only find concepts, theories, and examples to understand the subject well. The purpose of writing this book is to give a great introduction to why one should thoroughly understand statistics in econometrics and its usefulness. Many students who have previously taken econometrics as their subject at the undergraduate level have mentioned that this book offers a lot more than students seem to feel about this book. The language is lucid, the examples are various, and the coverage is rigorous. What else would you want from your textbook? The answer is a little. If you read this book, your fundamentals on econometrics will be clear. You can then build upon your knowledge.

Key Takeaways from this Best Econometrics Books

  • Do you know how comprehensive this book is? Around 950 pages. You can imagine how much this book covers without going into the advanced materials!
  • This top Econometrics book is completely updated. This book stands out in the crowd with 100 new data sets and loads of new research and examples. If you read one book to understand econometrics, this is the book you should pick.
<< Get this book >>

#10 – Econometrics for Dummies

by Roberto Pedace

Econometrics For Dummies

Yes, it is a dummies book that covers many more beginners.

Econometrics TextBook Review

Econometrics is not a subject for dummies. So it takes a lot of work to write a book that a layperson can understand. And guess what? This book has been written so masterfully that you would wonder – is it really for dummies, or am I getting smarter? The balancing act of thinking from the perspectives of novices and simultaneously putting across the theories and examples of econometrics is very tough. Moreover, the author didn’t limit the materials to only theories and beginners’ maths and stats; he also used derivatives and statistics (classical violations, ordinary least squares, etc.) to present his ideas. This book is useful for those with Ph.D. and master’s degrees in Econometrics. Students just starting with econometrics can read this book to understand the fundamentals, but a reference guide to this book would be pretty handy. If you’re panicking and don’t know where to begin your study, pick this book up and read the chapters one by one! This book would benefit students, instructors, and would-be professors who need a refresher to become confident about their knowledge base.

Key Takeaways from this Top Econometrics Books

  • You will find everything in this book, from figures to examples, from the state model to statistical analysis. You will also be able to understand basic economics and econometrics analysis.
  • You will also learn the characteristics of the classical linear regression model, pain points while solving regression analysis, and common mistakes to avoid in applied econometrics.

Here is the guide to Econometrics Books. Here, we provide the list of the top 10 econometrics books and a sneak peek into what those books’ reviews and key takeaways are. You may refer to the following books to learn more: –

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