<p>I repeat part of <a href="https://economics.stackexchange.com/questions/110/book-recommendations-on-empirical-methods-in-economic-research-and-econometrics/116#116">my answer</a> in the question the OP already mentioned with some additional proposals:</p>

<p>Since you have a background in Statistics<br>
<a href="http://rads.stackoverflow.com/amzn/click/0521424089" rel="noreferrer">"Probability Theory and Statistical Inference: Econometric Modeling with Observational Data"</a> 1999, by A. Spanos, provides the statistical foundations of econometrics in a way no other book does.</p>

<p><a href="http://fhayashi.fc2web.com/hayashi_econometrics.htm" rel="noreferrer">"Econometrics" by Hayasi</a>, 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.  </p>

<p>For Time-series, I don't believe you can ignore  </p>

<p><a href="http://press.princeton.edu/titles/5386.html" rel="noreferrer">Hamilton's Time Series Analysis"</a>,  </p>

<p>or </p>

<p>"<a href="http://rads.stackoverflow.com/amzn/click/3540262393" rel="noreferrer">Lutkepohl's "Introduction to Multiple Time Series"</a> which has gone into its 2nd ed. as "New Introduction to Multiple Time Series" (my experience is from the first edition).</p>

CC BY-SA 3.0
2014-12-06T14:41:33.630Z
A book's "theoretical depth" is questionable when "measurability" appears exactly once in the book and is in quotes.
Michael
CC BY-SA 3.0
2014-12-06T15:01:26.000Z
@Michael And since when the concept of "measurability" and related, became the standard to measure theoretical depth?
Alecos Papadopoulos
CC BY-SA 3.0
2014-12-05T22:45:26.557Z
2014-12-05T22:45:26.557Z
2017-04-13T12:51:38.253Z
Alecos Papadopoulos
<p>Can't forget <a href="http://rads.stackoverflow.com/amzn/click/0131395386" rel="nofollow">"Econometric Analysis" by William Greene</a>. It's in its <a href="http://pages.stern.nyu.edu/~wgreene/Text/econometricanalysis.htm" rel="nofollow">7th edition</a>. 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.)</p>

CC BY-SA 3.0
2014-12-05T23:06:45.107Z
2014-12-05T23:06:45.107Z
jmbejara
<p>I am tempted to deviate from other answers and suggest that the best Econometrics textbook for someone with a strong enough mathematical background might <em>not</em> be a "mathematically-minded" econometrics textbook, but rather a textbook that focuses on "empirical methods and economics research", the best of which at the moment seems to remain:</p>

<blockquote>
  <p>Mostly Harmless Econometrics (<a href="https://www.mostlyharmlesseconometrics.com/" rel="nofollow noreferrer">https://www.mostlyharmlesseconometrics.com/</a>)</p>
</blockquote>

<p>Since you already have a strong mathematical background --- and unless you're specifically interested in the mathematical aspects of econometrics --- you are likely to learn much more (and find much more inspiration) from a book that starts and ends with a strong focus on causal inference and research design. </p>

<p>(This being said, by all means, do consult other answers in particular if you want to feed your interest in time-series analysis which is not covered much --- if at all --- in Mostly Harmless)</p>

CC BY-SA 4.0
2019-11-06T20:04:55.163Z
2020-03-06T01:43:55.170Z
2020-03-06T01:43:55.170Z
Martin Van der Linden
<p>"Adult" Wooldridge is great intro to various microeconometrics topics.</p>

<p>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.</p>

<p>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.</p>

CC BY-SA 3.0
2014-12-05T23:02:42.280Z
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."
jmbejara
CC BY-SA 3.0
2014-12-05T23:06:04.357Z
(+1) for also relaying the comment on Gourieroux and Monfort.
Alecos Papadopoulos
CC BY-SA 3.0
2015-01-24T20:22:27.220Z
Thank you for telling me about Wooldridge. I have really enjoyed the text and it is right up my alley. :)
Clarinetist
CC BY-SA 3.0
2014-12-05T22:43:48.837Z
2014-12-05T22:54:55.213Z
2014-12-05T22:54:55.213Z
dimitriy
<p>Related: <a href="https://economics.stackexchange.com/questions/110/book-recommendations-on-empirical-methods-in-economic-research-and-econometrics">Book recommendations on empirical methods in economic research and econometrics?</a></p>

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

<p>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.</p>

<p>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. </p>

CC BY-SA 3.0
2018-03-13T11:39:59.383Z
An excellent treatment (published 1991) you may want to look into http://www.hup.harvard.edu/catalog.php?isbn=9780674175440. I would also second: https://www.amazon.com/Primer-Econometric-Theory-MIT-Press/dp/0262034905/
PatrickT
CC BY-SA 3.0
2014-12-05T22:30:42.367Z
Are there particular areas that interest you, like causal inference, structural, time-series?
dimitriy
CC BY-SA 3.0
2014-12-05T22:31:58.163Z
@DimitriyV.Masterov: I don't claim to know a ton about econometrics, but I definitely would be interested in casual inference and time-series.
Clarinetist
CC BY-SA 3.0
2014-12-05T23:09:22.167Z
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.
FooBar
<econometrics><reference-request>
What are some good graduate-level econometrics books for someone with a strong mathematics background?
Clarinetist
# What are some good graduate-level econometrics books for someone with a strong mathematics background?

(Asked by: username_0 on 2014-12-05)

Related: [Book recommendations on empirical methods in economic research and econometrics?](https://economics.stackexchange.com/questions/110/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.

**Tags:** econometrics, reference-request
> **Comments:**
> **username_2**: Are there particular areas that interest you, like causal inference, structural, time-series?  
> **username_0**: @DimitriyV.Masterov: I don't claim to know a ton about econometrics, but I definitely would be interested in casual inference and time-series.  
> **username_3**: 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.  
> **username_1**: An excellent treatment (published 1991) you may want to look into http://www.hup.harvard.edu/catalog.php?isbn=9780674175440. I would also second: https://www.amazon.com/Primer-Econometric-Theory-MIT-Press/dp/0262034905/  

---

## 4 answers

### Answer by username_2 on 2014-12-05. Score: 10 | Accepted answer

"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.

> **Comments:**
> **username_6**: 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."  
> **username_4**: (+1) for also relaying the comment on Gourieroux and Monfort.  
> **username_0**: Thank you for telling me about Wooldridge. I have really enjoyed the text and it is right up my alley. :)  

---

### Answer by username_4 on 2014-12-05. Score: 9

I repeat part of [my answer](https://economics.stackexchange.com/questions/110/book-recommendations-on-empirical-methods-in-economic-research-and-econometrics/116#116) 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"](http://rads.stackoverflow.com/amzn/click/0521424089) 1999, by A. Spanos, provides the statistical foundations of econometrics in a way no other book does.

["Econometrics" by Hayasi](http://fhayashi.fc2web.com/hayashi_econometrics.htm), 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"](http://press.princeton.edu/titles/5386.html),

or

"[Lutkepohl's "Introduction to Multiple Time Series"](http://rads.stackoverflow.com/amzn/click/3540262393) which has gone into its 2nd ed. as "New Introduction to Multiple Time Series" (my experience is from the first edition).

> **Comments:**
> **username_5**: A book's "theoretical depth" is questionable when "measurability" appears exactly once in the book and is in quotes.  
> **username_4**: @Michael And since when the concept of "measurability" and related, became the standard to measure theoretical depth?  

---

### Answer by username_6 on 2014-12-05. Score: 3

Can't forget ["Econometric Analysis" by William Greene](http://rads.stackoverflow.com/amzn/click/0131395386). It's in its [7th edition](http://pages.stern.nyu.edu/~wgreene/Text/econometricanalysis.htm). 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.)


---

### Answer by username_7 on 2019-11-06. Score: 2

I am tempted to deviate from other answers and suggest that the best Econometrics textbook for someone with a strong enough mathematical background might *not* be a "mathematically-minded" econometrics textbook, but rather a textbook that focuses on "empirical methods and economics research", the best of which at the moment seems to remain:

> Mostly Harmless Econometrics (<https://www.mostlyharmlesseconometrics.com/>)

Since you already have a strong mathematical background --- and unless you're specifically interested in the mathematical aspects of econometrics --- you are likely to learn much more (and find much more inspiration) from a book that starts and ends with a strong focus on causal inference and research design.

(This being said, by all means, do consult other answers in particular if you want to feed your interest in time-series analysis which is not covered much --- if at all --- in Mostly Harmless)


---

