下面是我在山大上研究生计量时给学生们开的参考书:
1. Hayashi, F., 2000, Econometrics, Princeton University Press.
2. Wooldridge, J., 2010, Econometric Analysis of Cross Section and Panel Data, 2nd ed., MIT Press.
3. Greene, W., 2012, Econometric Analysis, 7th ed., Pearson Education.
4. Stock, J. & M. Watson, 2010, Introduction to Econometrics, 3rd ed., Addison-Wesley.
5. Kennedy, P., 2003, A Guide to Econometrics, MIT Press.
6. Baum, C., 2006, An Introduction to Modern Econometrics Using Stata, StataCorp LP.
7. Cameron A. and K. Trivedi, 2005, Microeconometrics: Methods and Applications, Cambridge.
8. Cameron A. and K. Trivedi, 2010, Microeconometrics using Stata, revised edition, Stata Press.
对我个人而言,在计量理论方面受益最大的是Hayashi的书。Greene的书在理论方面比较混杂,但内容全面,适合作为工具书(需要时,搜索相应内容即可)。如果你想做理论计量,则需要看更深、更偏向证明的书,比如White的书,计量经济学手册等。而大量的前沿成果显然存在于论文中(书籍更新速度太慢)。
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