Hayashi Fumio. Econometrics

Princeton University Press, 2000. — 712 p.This book is designed to serve as the textbook for a first-year graduate course in econometrics. It has two distinguishing features. First, it covers a full range of techniques with the estimation method called the Generalized Method of Moments (GMM) as the organizing principle. I believe this unified approach is the most efficient way to cover the first-year materials in an accessible yet rigorous manner. Second, most chapters include a section examining in detail original applied articles from such diverse fields in economics as industrial organization, labor, finance, international, and macroeconomics. So the reader will know how to use the techniques covered in the chapter and under what conditions they are applicable.
Over the last several years, the lecture notes on which this book is based have been used at the University of Pennsylvania, Columbia University, Princeton University, the University of Tokyo, Boston College, Harvard University, and Ohio State University. Students seem to like the book a lot. My own experience from teaching out of the book is that students think the book is better than the instructor.Finite-Sample Properties of OLS
Large-Sample Theory
Single-Equation GMM
Multiple-Equation GMM
Panel Data
Serial Correlation
Extremum Estimators
Examples of Maximum Likelihood
Unit-Root Econometrics
Cointegration