Introduction to Econometrics

I found this book to be a very useful bridge between my undergraduate statistics class and my graduate econometrics class. However, I would not say that it is an ideal first book on econometrics for the beginner. The best features of Maddala's text are: it's integrated treatment of different estimation methods, including least squares, method of moments and maximum likelihood; an appropriate level of mathematical sophistication, with appendices in several chapters deriving the main results using matrix notation; and a comprehensive coverage of important topics in econometrics for an introductory level text. When Greene's graduate text didn't make sense to me on first reading, Maddala really helped to clear things up. It was much better for this purpose than Kennedy's 'A Guide to Econometrics'. I would have no reservation recommending this book to other readers. It is certainly better that Gujarati's 'Basic Econometrics.' However, I think Wooldridge's 'Introductory Econometrics' is a better choice for the beginner, especially in it's coverage of cross section and panel data and its abundance of examples. Unfortunately, since Maddala passed away before the third edition was completed the last three chapters, including the chapter on panel data, do not contain any exercises.To sum up: An excellent text overall, with some minor shortcomings.

This is is a comprehensive and critical treatment of standard and modern econometrics. Its main strength is the presentation of recent developments in econometrics in terms accessible to advanced undergraduates (for instance, cointegration, exogeneity, model selection). However, it is too advanced to be used as a book for beginners. In sum, I think the book is sometimes too elementary to be used for advanced students, while it was too advanced to be used alone as an introductory textbook. I would recommend using/reading selected chapters (such as ch. 12 on model selection), which are accessible as well as dealing with topics not normally included in many textbooks.