I took my first course in Econometrics in Fall 2005 from Gautam Tripathi. At that point I had taken only one course in statistics and was never exposed to econometric modelling before. Gautam’s class was challenging for me not because I was unable to understand the stat part but because I was not able to visualize the real world significance. I was not able to grasp the intuition behind the different estimation methods, their assumptions, their application etc. I think, it would have helped if I could have spent time reading econometric books, but I had too many other things going on. So when I was done with my comprehensives, I decided to read some econometrics.
Phase 1: I first started with “Basic Econometrics by Gujarati”. It is an undergrad level book but it explain many things in plain English and this helps to generate some intuition. Besides Gujarati, I also read some parts of “Introductory Econometrics by Wooldridge”.
Phase 2: After finishing Gujarati cover to cover, I started reading “Econometric Analysis by Greene”. This book has a lot of explanation in maths. I forgot, before reading this book I spent some time in understanding vector calculus. I was delighted that the explanation in math was not haunting me anymore and I was also able to correlate math and plain English part. I read about 80% of this book and moved on to “Econometric Analysis of Cross Section and Panel Data”. I didn’t want to move on inbetween but I had to show my advisor some output and the rest of Greene was the part that I wouldn’t require for sometime. I read about 60% of Wooldridge diligently and skimmed about another 20% and I hate to say, but didn’t even touch the rest 20%. Besides these 2 books, I also read some part of “Estimation and Inference in Econometrics by Davidson and MacKinnon”. I also did back excercises (data modeling and interpretation one, and not theoretical) from Greene and Wooldridge. This helped me a lot to understand the subject better.
I have also taken 2 courses this fall- Applied Multivariate and Nonparameteric Econometrics to broaden my toolkit.
But now I am facing other problem. Many times when I read papers I question the econometric analysis done by authors. I can think of two reasons behind this- my understanding of subject is still not good enough or authors sometimes are sloppy. Well before jumping to the second reason, I would like to work on the first reason and hence, the phase 3.
Phase 3: I wanted to finish the things from Greene and Wooldridge. If I get the chance then may be from Davidson & MacKinnon also. From time to time I will also like to read things from “Handbook of Econometrics” particularly its panel data part.
Right now, I have started reading HLM from “Multilevel and Longitudinal Modeling using Stata”. I know this book should be used as a helpbook to use Stata rather than understanding the basic concept. But since our field is the application of econometric and not econometric itself, this is my pretext to straightaway learn the application. Not a good thing, but I guess, this would be the best usage of my time. Sharpening the axe is a good thing, but ultimate aim is to cut trees or write papers in my case.
After finishing this book, I plan to read “An Introduction to Survival Analysis using Stata”. Again not a perfect learning approach but a more pragmatic one, I guess.
It will be tough to even reach to Phase 3 because I am:
- teaching Operations Management this Spring
- taking two courses- Bayesian and Econometrics 3
- reading the Stata book for HLM and Survival Analysis
- planning to complete and send my WITS paper by mid January 07, and start working on another projects
The biggest of all, I and Sheena are expecting a baby so need to start spending time with her. I have not done this from last few years and need to make up now. 
Rohit Aggarwal
