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Two books about Econometrics

echostate

Active Member
1) A Guide to Econometrics (by Peter Kennedy)
2) Introductory Econometrics for Finance (by Chris Brooks)

I want to choose one from the two books. Any comment on these two books?

The first one is highly appraised as a general econometrics textbook, while the second one seems to be designed for "finance" guys.
 

Sanket Patel

i do stuff
I'm not too familiar with those book and authors. But I do recommend the following 4 (in no particular order)

1) Basic Econometrics
- Damodar Gujurati

2) Introduction to Economics
- Stock & Watson
(from what I'm told, this one is somewhat of a standard)

3) Econometric Models & Econometric Forecasts
-Pindyck & Rubenfeld

4) Analysis of Financial time Series
-Ruey Tsay
(this one I recommend after you have a bit of econometrics under your belt.
 

bigbadwolf

Well-Known Member
1) A Guide to Econometrics (by Peter Kennedy)
2) Introductory Econometrics for Finance (by Chris Brooks)

Any comment on these two books?

If you don't know econometrics, the first is an excellent choice. Pick up the Tsay book at some stage as well. Also take a look at Cuthbertson's "Quantitative Financial Economics," and, at a more advanced level, Campbell, Lo, and MacKinlay's "The Econometrics of Financial Markets."
 

echostate

Active Member
If you don't know econometrics, the first is an excellent choice. Pick up the Tsay book at some stage as well. Also take a look at Cuthbertson's "Quantitative Financial Economics," and, at a more advanced level, Campbell, Lo, and MacKinlay's "The Econometrics of Financial Markets."


Thanks!

What is the difference between "econometrics for finance" and general econometrics? I know the first book I listed is excellent as a general econometrics book, but I don't know if it is the best entry-level choice for finance folks.

Also, Tsay's book seems very popular in finance people. It that mean ... the most useful part of econometrics for finance is time-series analysis?
 

bigbadwolf

Well-Known Member
What is the difference between "econometrics for finance" and general econometrics?

In terms of tools and methodology, none. Maybe in terms of emphases.

Also, Tsay's book seems very popular in finance people. It that mean ... the most useful part of econometrics for finance is time-series analysis?

We don't have a science of economic phenomena the way we have a science of physical phenomena (e.g. classical mechanics). By science I mean understanding of causal mechanisms. This understanding allows us to accurately predict physical phenomenon such as the existence of Neptune or the existence of radio waves. Since economists have no such understanding of causal mechanisms, they use time series analysis, which is like trying to drive a car on a winding road in the mountains using only one's rearview mirror. Always keep this in mind when you're studying some of the abstruse technicalities of time series analysis. It's another case of the emperor without any clothes on.
 

alain

Older and Wiser
bigbadwolf; said:
21640...Since economists have no such understanding of causal mechanisms, they use time series analysis, which is like trying to drive a car on a winding road in the mountains using only one's rearview mirror. Always keep this in mind when you're studying some of the abstruse technicalities of time series analysis. It's another case of the emperor without any clothes on.

WOW, that's the best analogy I have heard about it.
 

woody

Well-Known Member
3) Econometric Models & Econometric Forecasts
-Pindyck & Rubefeld

I enjoyed this one, but since it's the only econometrics book I've read, I can't say how it compares. SAS is used.

Since economists have no such understanding of causal mechanisms, they use time series analysis, which is like trying to drive a car on a winding road in the mountains using only one's rearview mirror.

Genius.
 
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