Stat Papers (2011) 52:251–252

DOI 10.1007/s00362-009-0230-z

BOOK REVIEW

J. H. Stock, M. W. Watson: Introduction

to Econometrics
2nd Edition, Addison-Wesley Longman, Amsterdam, 2007,
xlii + 798 pp., £49.99, ISBN: 978-0321442536

Karsten Webel

Published online: 12 May 2009

© Springer-Verlag 2009

The book under review is a special international edition for the benefit of students
outside the United States and Canada. In addition to its previous edition, it adds some
new material such as an expanded treatment of OLS regression techniques as well as
more examples and exercises.
The book contains five parts. Part one stresses questions typically arising in econo-
metrics and reviews some basic concepts of probability and statistics. Part two is
devoted to linear regression models with a single regressor as well as to multiple
linear regressions. In either case it covers OLS estimation, hypothesis testing and
confidence intervals. Part three discusses some extensions of these simple regression
models, such as panel data, regression with a binary dependent variable and the use
of instrumental variables. Part four considers regression techniques in the context of
time series, focussing on forecasting and testing for stationarity in autoregressions and
on estimating dynamic causal effects and treating conditional heteroscedasticity. All
of these parts attach great importance to applications and omit most of the technical
details.
Turning this weighting scheme upside down, the final part provides a rather sophis-
ticated introduction to econometric theory by explaining proofs of various theorems
stated earlier as well as results concerning asymptotic distributions of different esti-
mators.
Each chapter ends with a summary, followed by some key terms and various exer-
cises. The latter include questions reviewing the main concepts as well as empirical
exercises, the data of which is either given in the book or on the authors’ website.

K. Webel (B)
Institut für Wirtschafts- und Sozialstatistik,
Technische Universität Dortmund, Dortmund, Germany
e-mail: karsten.webel@tu-dortmund.de

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252 K. Webel

Registered users may also wish to visit the Instructor’s Resource Center at www.
aw-bc.com/irc to find even more supplementary material like a solution manual. Those
who are not registered to the IRC are still left with the answers to the “review the con-
cepts” questions given at the end of the book, together with an extensive econometric
vocabulary.
Summing up, this book is well worth its money. It covers more theoretical topics
than one can expect from a textbook written on the introductory level, it offers a lot
of opportunities of getting hands-on experience by reproducing the empirical studies
presented inside and it comes with an easy-to-follow language plus a nice layout.
Although aiming at students in the first place, this book should also be a good choice
for those working on the teaching side of life.

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