Except for econometricians, most of us usually have one or more books they refer to when we want to get a first-hand reference on some basic or advanced topics, and/or get some basic understanding or key information on some topics.
Mine is 'Estimation and Inference in Econometrics' by Davidson and MacKinnon; it helped me review some basic or more intricate theoretical and practical aspects, and get an opinion on some issues on which no consensus has been reached.
I'd be glad to find out which reference do you use, and what are its strong parts and weak parts.
For (very) basic econometrics I like Wooldridge
"Introductory Econometrics: A modern approach"
Concerning Panel data I found very useful
Baltagi "Econometric Analysis of Panel data" (Wiley)
Wooldridge "Econometric Analysis of Cross section and Panel Data" (MIT Press)
About Time series I am not an expert but I guess that Hamilton
"Time Series Analysis" (Princeton)
is the bible of the topic
Enjoy the reading!
Introductory Econometrics: A Modern Approach (2nd ED) by Wooldridge is good book.
Introduction of Econometrics by G.S. Maddala is also a good book.
Adrian -
As a statistician working on estimation methodology for establishment sample surveys of continuous data, I found very good use for simple econometrics, but never got into complex econometrics for modeling economics theory. In fact I never studied economics and only had peripheral experience at best.
My first econometrics book was Maddala, G.S. (1977), Econometrics, McGraw-Hill. I must have liked it. I later went to Maddala, G.S. (1992), Introduction to Econometrics, 2nd ed., Macmillan Pub. Co. Actually, i think it may have been recommended to me. In one of my papers on ResearchGate (from Dec 2009) I referenced that latter book when I included an old, alternative derivation I did for estimating the variance of the prediction error for weighted least squares regression, using a derivation that Maddala did for the equally weighted (OLS) case as a guide. I found Maddala's introductory books well organized and 'readable,' and I stuck with him through his last edition, finished by Lahiri.
Someone once showed me this book, however:
Griffiths, W.E., Hill, R.C., Judge, G.G. (1993), Learning and Practicing Econometrics, Wiley.
I recall thinking it was good also. I also think I recall that it showed transforming a simple linear regression to one without heteroscedasticity by basically assuming that heteroscedasticity in the original regression was at the same level found in the classical ratio estimator. I think Maddala did that also, until the edition with Lahiri, where I recall he showed an example where the reader, as an exercise, had to see which of three different degrees of heteroscedasticity tested to be best, and once again, the level was that of the classical ratio estimator (CRE), though they did not likely note that fact. I find this interesting, as W.G. Cochran, in his third edition of Sampling Techniques, in the very little he included on regression modeling, noted conditions under which the CRE is "hard to beat." Ken Brewer argued that in establishment surveys one should expect at least that much heteroscedasticity - and I found dropping down to that level of heteroscedasticity was more robust. - (I don't really like to see transformations used to 'remove' heteroscedasticity, as that may often just be done to then use hypothesis tests, and p-values are often then used which are misleading without further analysis. I would rather just work with the original regression and include the heteroscedasticity in the error structure where it naturally occurs.)
So, my exposure to and use of econometrics books has been limited either completely or almost completely to the above, but they were useful to me for my purposes, and well-written.
Cheers - Jim
First, I strongly recommended using basic econometrics by Damodar Gujarati that is very suitable for you to familiar with econometrics.
https://www.amazon.in/Basic-Econometrics-Damodar-Gujarati/dp/0071230173/ref=sr_1_2?keywords=gujarati+econometrics&qid=1562698077&s=books&sr=1-2
After that, I think using Econometric Methods, which was written by Johnston can help you to expand your knowledge about econometric models that plays a vital role in your academic career.
https://www.amazon.com/Econometric-Methods-Johnston/dp/0071259643
Finally, You can use Econometric Analysis, which was written by Greene, One of the most beneficial books in econometrics that You can widen your horizons in econometrics with this, and you can find it in this below link
https://www.researchgate.net/profile/Mounir_Belloumi/post/Which_diagnostic_tests_and_forms_of_regressions_are_suitable_for_Panel_Data_Regression/attachment/59d6243479197b8077982883/AS%3A311705391828994%401451327765378/download/William_H_Greene-Econometric_Analysis-Prentice.pdf
If your econometric abilities is good you can just use the third book.
Damodar N. Gujarati & Down C. Porter. Basic Econometrics.
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