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Can our book be used in an econ course??

OK, I think you know the answer I want youall to give to the above question . . . anyway, I got the following email from someone who will be an assistant professor teaching econometrics to masters students:

I have not yet decided on a textbook. I’ve been reviewing books like Stock and Watson, though, and Greene’s econometrics textbook, but I’m undecided. I purchased your book with Jennifer Hill the other day, and absolutely love it. I love how readable it is, and how practical it is in its orientation, but at the same time, how rigorous it is. Ordinarily, I am selecting among textbooks that are practical and readable but not technical, or (as is usually the case) technical but not aimed towards the practitioner and hardly readable. That said, I was wondering that since I’m not finished with the book, whether you could advise me about the appropriateness of your book for a masters level econometrics course in an economics department?

My quick answer is, Yeah, I think it would be excellent for an econometrics class if the students have applied interests. Probably I’d just go through chapter 10 (regression, logistic regression, glm, causal inference), with the later parts being optional.

But what do others think? My book does have a blurb from an economist, but is there essential info for an econometrics class that’s not in our book?

P.S. to readers: I’m usually pretty good at trimming the gratuitous compliments from these emails–I kept them in here only because they are, as they say in the movies, essential to the plot.


  1. Denzil says:

    I am an avid reader of your blog and have read the "Bag of tricks" book but not your regression book. However, I am an econometrician and I looked at the table of contents. Modern econometrics gets readily split into micro and macro-econometrics. I suspect your book would handle the former quite well but the latter where the emphasis is on modelling times series data and the associated problems of trending data, cointegration, stochastic volatility, etc does not seem to be covered.

    The entry mentions Stock and Watson which together with Wooldridge are excellent textbooks for applied econometrics courses. Both cover the two different areas. The Greene book is more advanced and does not have the applied flavour of the other two.

  2. Jack says:

    Yes, absolutely, so long as the instructor makes sure students also learn economics-specific jargon (sadly, too much hinges on showing you speak the language). Also, the low-low price tag is refreshing when e.g. Greene's new edition sells for 5 times the price of your textbook!

  3. John says:

    I was taught time-series analysis as a course separate from, and following, regression (two quarter's worth). After time-series, panel data. So, I wouldn't perceive the lack of time-series stuff to be a problem.

  4. Jonathan says:

    I'm one microeconomist who has used your book extensively. And I use some of the examples to help train researchers here… We use STATA, so I have to translate the examples, but they work well….

  5. Eric says:

    I bought your book too and enjoyed it, but I don't think it would be appropriate for an econometrics class (too few economics applications, for example). I recommend the introductory Wooldridge book for an applied class. It has great examples, lots of intuition on how to do applied economics, and still is reasonably rigorous. The advanced Wooldridge book is also very good but too advanced for a typical masters class. Forget Greene, it's a terrible textbook to learn from.

  6. John says:

    I think Caltech uses your book for one of their econometrics courses. They don't do macro so it's a good fit. My research uses primarily econometric methods and I have been reading through your book and love it for a variety of reasons – the focus on intuition and the awareness of instrumental variables being two pluses. Nice job.

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