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Introduction to the Theory of Econometrics
This little book contains a first course in econometric theory. It is based on lectures to second-year undergraduates who have learned some calculus, matrix algebra, and statistics (but no econometrics) in their first year. Two things are essential in such a course. First, a thorough knowledge of the standard linear regression model. And second, a thorough understanding of the principles of maximum likelihood. The book is also suitable as an introduction to econometrics for Masters and PhD students. Jan R. Magnus (1948) studied econometrics and philosophy at the University of Amsterdam. He worked at the universities of Amsterdam, Leiden, and British Columbia, before moving to the London School of Economics in 1981. In 1996 he was appointed Research Professor in Econometrics at Tilburg University. In 2013, he moved to the VU University Amsterdam as Extraordinary Professor in Econometrics. Magnus is (co)author of eight books, and more than one hundred scientific papers.
132 pages, Paperback
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March 31, 2023
Another textbook in my journey of reading of obscure random Econometrics textbooks (working a job as an economics researcher immerses you into the world of economics textbooks, and how badly they're usually written).
I have actually drafted a little textbook myself that would follow the structure of the first two chapters of Mr. Magnus' book, except he did it a whole lot better. Fact is, this will probably be one of the better graduate level econometrics theory books you'll run into. It is chalk full of messy linear algebra, but if you take it slow and don't skim, it's starts to click and make sense.
A bit of a caveat though: the back of the book mentions how this book would be appropriate for a second-year undergrad. Maybe in the Netherlands, the mecca of Econometrics, but I think this is not all that beginner friendly. I'd say this book would be good for maybe a well versed senior who has already taken courses in Econometrics and Introductory Mathematical Economics (or is familiar with some multivariable calculus and matrix algebra) or a grad student just starting off. When you do have the foundation, this book goes down very smoothly though.
I have actually drafted a little textbook myself that would follow the structure of the first two chapters of Mr. Magnus' book, except he did it a whole lot better. Fact is, this will probably be one of the better graduate level econometrics theory books you'll run into. It is chalk full of messy linear algebra, but if you take it slow and don't skim, it's starts to click and make sense.
A bit of a caveat though: the back of the book mentions how this book would be appropriate for a second-year undergrad. Maybe in the Netherlands, the mecca of Econometrics, but I think this is not all that beginner friendly. I'd say this book would be good for maybe a well versed senior who has already taken courses in Econometrics and Introductory Mathematical Economics (or is familiar with some multivariable calculus and matrix algebra) or a grad student just starting off. When you do have the foundation, this book goes down very smoothly though.
Displaying 1 of 1 review