Econometric Analysis of Cross Section and Panel Data, second edition (Mit Press) Hardcover – October 1, 2010

This is a serious book for serious people. If you are a newbie to econometrics, look elsewhere. But then, if you were a newbie, you probably would not be reading reviews for this book.Anyway, this volume is the leading and, in my view, the best treatise on econometrics involving panel data. I worked through various chapters of it as part of a Ph.D. level class on advanced econometrics. (No, I have not read the entire book, and I have never met anyone who claimed that (s)he did.)This book requires(1) a solid grounding in linear algebra ("matrices")(2) a very solid grounding in econometrics(3) a very substantial amount of spare timeOn the plus side, the author has a skill for elegant and clear writing. He is also one of the leading experts on many of the topics covered, and it shows. For many of the topics, I have not been able to find a clearer and more useful treatment elsewhere.On the downside, you will occasionally have to consult other materials as well, especially research papers. This should not surprise you. If you are interested in econometrics at the level covered in this treatise, then you know that econometrics is an evolving science, and you can never get the absolute cutting-edge research from any treatise. However, my advice is: Use this treatise as your go-to resource and then delve into the most recent papers for the topics that your research focuses on.

I woould like to get the scripts of the software R. How I get to access the files? Because it is more important for studying the exemples of the book.

Wooldridge gives enough detail for the intellectual student to fully understand the underlying basis of the theory. The material is concise enough to be simple to the eye, yet (as long as one can read linear algebra), steps left out do not take long to work out by hand. Having read "Introduction to Econometrics" before this, Wooldridge is my preferred choice of author, as I find it easy to understand his writing. I consider a work such the present one to be essential background knowledge for the practicing econometrician.All the topics relevant to cross-sectional data are included (OLS, FGLS, dealing with heteroskedasticity or serial correlation, IV, MLE, probit/logit models, etc.), in a more rigorous way than "Introduction to Econometrics", in addition to panel topics. Linear algebra is used to simplify the notation.Compared to more elementary texts, the typography is more bland and traditional, but that's probably because the target audience is narrower and more serious. A Times serif font is used for both the text and the math.I can't say much now about what material is omitted, but I'll see if I can update this review in a few years' time.

How can I review something that will take me years to digest? So far I have used the book as a reference (e.g. to find out how/why to run a Wu-Hausman test) and Wooldridge's explanations are clear without leaving out important detail. As a PhD student, I'm looking forward to the next couple of years of getting oddly intimate with this book. (I knocked off one star because there are no images, graphs, and tables. Even Greene's Econometric Analysis has visual aids - not sure why Wooldridge couldn't come up with any)

I am a Phd Student in Finance, specializing in empirical corporate finance. This text pairs well with Greene (i have the 8th edition), as the latter focuses more on proofs. Wooldridge does plenty of proofing, but the writing is more accessible. Both, i would say, are necessary and required reading to understand many of the latest / cutting edge empirical papers in finance. I highly recommend PhD students in econ and finance (and other quantitative disciplines) buying the copy, as the 1st edition pdf available online is not the same. The 2nd edition has substantive changes, updates, and additions, which is well worth the money. You'll likely reference and cite this book for the rest of your career.

Wooldridge has long been my first go-to source for looking up the details of an econometrics method, and I immediately bought the second edition when I saw there was one. I can spend hours working my way through it, writing out the key equations on my marker board, and come away feeling much more confident that I know what I'm doing.I envy the reviewers who call the book intuitive or an introduction. I cannot imagine using this book as an introductory textbook even at the doctoral level. This book is invaluable for someone who already has a good understanding of econometrics and wants a lot of detail and guidance in one place. I wouldn't want to live without it. But I don't think I would have been ready for it until after the second class in my doctoral econometrics sequence, or possibly the third.Several reviewers have complained about the lack of graphs. I haven't missed them, because the equations and text are very clear.

great book!

This is an invaluable aid for someone doing applied econometrics. I love the way the chapters connect common modeling issues to applied techniques that are intuitively extended to panel applications.