Econometric analysis review by William Greene
Econometric Analysis aims to achieve two primary objectives. First, it introduces students to applied econometrics, covering basic regression analysis techniques and a variety of models used when linear models are inadequate or inappropriate. Second, it provides students with sufficient theoretical background to recognize new model variants as natural extensions within a unified set of principles.
Greene devotes significant effort to explaining the mechanics of GMM estimation, nonlinear least squares, maximum likelihood estimation, and GARCH models. To support this theoretical foundation, the book includes extensive material on maximum likelihood estimation and asymptotic results for regression models.
Modern software has simplified complex modeling, making an understanding of the underlying theory essential. By combining practical applications with theoretical insights, "Econometric Analysis" equips students with the knowledge and skills needed to navigate and extend the field of econometrics.