Textbooks

Main textbook

The main textbook for the course is Econometrics by Bruce Hansen.

This great book has been publicly available in manuscript-form for many years (I have versions dating back to 2012!). Over the years it grew into a cutting edge advanced econometrics text. Sometime in 2021, the public updates stopped and the manuscript was turned into a formal textbook (published by Princeton University Press in 2022).

For our purposes, the publicly available version from early 2021 is just fine, and that’s what I’m sharing in the link above.

Other textbooks

Other books recommended for this course are:

• Stachurski: A Primer in Econometric Theory

  Wonderful book combining metrics, analysis, and computational
• Wooldridge: Econometric Analysis of Cross Section and Panel Data, (2010)

  Classic, but a bit dusty
• Casella and Berger: Statistical Inference, (2001)

  Timeless