Book readings

Some remarks about the books

I used a combination of all the suggested books, but there is a different sequencing of the topics. Because I want to reflect current practices, I have to keep you updated with recent developments. Unfortunately, I cannot really cover everything in the limited time and I have to account for the heterogeneity in backgrounds.

Let us say you start from Stock and Watson. The course is partly based on Chapters 1 to 9, 12, 13, 17, and 18. Of course, it is impossible to cover every detail of those chapters and not all topics discussed in class actually show up in that book. At times, I might even bring in material from other chapters (not explicitly indicated) because of the connections with previous materials. At times, I totally skip some of the material because, in my judgment, you should be able to figure it out give your accumulated knowledge.

Now, let us say you use Angrist and Pischke’s Mastering Metrics. The course is partly based on the entire book but not all chapters are covered equally either. Chapters 1 to 3 are the core and the remaining chapters could be read with knowledge of the core.

If you are having difficulty with probability and statistics, you can refer to Dekking, Kraaikamp, Louphaä, and Meester. I use bits and pieces of almost the entire book. But mostly I worked with Chapter 4, 7, 9, 10, 13 to 20, 23, 25, and 26. Of course, this does not always mean that I cannot use other parts of the book.

Related advice

Typically, when you read something, you directly look for what you need. If you have trouble understanding it, then you have to go back and find out what is needed so that you can make sense of what you currently do not understand. Usually, it is not a good idea to read from cover to cover.

At the website, we do have a log of what has been going on in class so you can start there and pick up things as you go along. I already picked the stuff that is most important or at least could be picked up with not too much mathematics.

At the end of the day, you just have to start at some point and work from there. There is no escaping that. There is also no escaping the fact that reading (or just highlighting) sometimes does not always work, because you have to make sense of the material too for yourself. In fact, I have linked to research on study habits ast the website which you may find relevant for yourself.

So, whatever point you are in your studying, you have to figure out where you are and ask tougher questions about your real understanding and grow from there. Do it a day at a time and eventually you will get there.

Probability and statistics, along with other related topics

Dekking et al (2005)

Chapters 4 (skip 4.4), 5 (skip 5.3, 5.4), 6.1, 6.2, 7, 8 (skip 8.3, 8.4), 9 (skip 9.2), 10, 13 (skip 13.2), 14 to 19, 22 (skip 22.3), 23, 24.4, 25, 26

Wasserman (2004)

Chapters 2 (skip 2.11, 2.12), 3 (skip 3.6, 3.7), 5 to 8, 10.1, 10.2, 13.1 to 13.5

To a lesser extent, Chapters 16 and 17

Aronow and Miller (2019)

1.2, 1.3 (skip 1.3.3), 2, 3 (skip 3.3.2), 4 (skip 4.3.5, 4.3.6)

To a lesser extent, Chapters 6 and 7

Standard econometrics textbooks

Stock and Watson (2019)

Chapters 1 to 9, 12

To a lesser extent, Chapters 13, 17, and 18

Wooldridge (2020)

Chapters 1 to 9, 15 (skip 15-7, 15-8), Appendices A to D

Goldberger (1991)

Chapters 1 to 14

Verbeek (2017)

Chapters 1 to 3, 4 (skip 4.4 to 4.11), and 5 (skip 5.8, 5.9)