Free econometrics textbooks

Question

Are there any free econometrics textbooks available online for individual use?

I'm aware of Bruce Hansen's first year PhD Econometrics textbook, but I'd be interested to hear if there are any other such resources.

Note: This question is similar to an existing CV question, but I'm specifically asking for references that would be useful to econometricians and students of economics.

This question needs to be clarified to be on topic here, because it is too broad and unfocused. — whuber, Jun 15 '13 at 16:43
Hmm... I'm not sure how different it is to an already accepted question, though. That is, one existing question merely asks: "Are there any free statistical textbooks available?". I see my question as a variant of that one. Let me know. — Graeme Walsh, Jun 15 '13 at 17:09
@whuber I'd suggest that this question is actually narrower in scope and more focused than the aforementioned question. That question attracted answers with references to books on subjects ranging from Probability, Math, R-specific books, Comp-Sci, etc. The question I am asking is to bring focus upon econometrics. — Graeme Walsh, Jun 15 '13 at 17:30
@whuber To further the point, there is another accepted question (a community wiki) which asks: [Which good econometrics textbooks would you recommend?](http://stats.stackexchange.com/questions/4612/good-econometrics-textbooks). Now, simply asking for "free" econometric textbooks is surely less likely to solicit debate or arguments than a question asking for "good" econometrics textbooks. Comparing my question to the ones on CV that I've made reference to, it seems inconsistent to close this question whilst very, very similar ones exist and remain open. :/ — Graeme Walsh, Jun 15 '13 at 20:02
You are referring to an ancient question, asked when the site was just beginning (and eager to field any questions) and CW had a very different status on SE. We, like all sites, have evolved and improved over time. Thus an appeal to consistency, although certainly logical, has little force. You need to demonstrate that your question meets *current* standards to be on topic for the site. Also, does it really make such a difference to replace "good" by "free" in an existing question? If the community agrees that it does, I'm sure they will quickly vote to reopen your question. — whuber, Jun 16 '13 at 13:59
@whuber An _ancient_ question, yet still a _useful_ one. I'm sure CV users come from a diverse set of backgrounds, so the mark between "good" and "free" is actually quite significant. "Good" textbooks tend to be referenced here as books only available at a fee or through a well stocked library. Such books are not always accessible to people like myself who are not attached to a University or who lack the funds to buy books. Free textbooks are essential materials to us. So, yes, it does make a difference - at least to some of us. Econometrics & literature recommendations are both on topic, no? — Graeme Walsh, Jun 16 '13 at 21:05
@whuber Thank you too. I understand that some of the discussed points could have occurred on meta and I'm aware that sometimes it's difficult to decide on the appropriateness and quality of some questions, so I follow where you were coming from. Needless to say, you continue to do a fine job moderating and keeping up the health of CV. I'm thankful to you for pointing out potential pitfalls when asking questions. The growth of MOOC and online learning can only mean that free learning materials will become more important in the future, or, so I hope. Thanks for reopening the question. — Graeme Walsh, Jun 17 '13 at 13:56
@Aksakal Unfortately not - as I'm not at a University. Upon reflection, I actually doubt the usefulness of this question to CV. The internet is fast expanding with more and more (legal and decent quality) material being made available for free. — Graeme Walsh, Apr 03 '15 at 22:52
I'm not strongly inclined to close this question. It has answers and it has views, so arguably some people are finding it useful; the remaining question is "is it on topic?". The reasons for it to be regarded as on topic are discussed above and were only given 18 months ago (I think things haven't changed all that rapidly). If it was just posted today, I'd lean toward closure, but given its existence for an extended period I lean toward a more conservative view. — Glen_b, Apr 03 '15 at 23:50

score 5 · Answer 1 · answered Jun 16 '13 at 22:33

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Hyndman and Athanasopoulos. Forecasting: principles and practice, OTexts

is an introductory textbook on forecasting covering prediction using regression models and forecasting with univariate time series models such as ETS and ARIMA.

answered Jun 16 '13 at 22:33

Rob Hyndman

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I am a huge fan of this book, but I usually start to get "Your IP address has generated too many simultaneous connections to the host server" message right after I start reading. Also happens on Rob's site and blog. – dimitriy Jun 16 '13 at 22:56
Thanks for letting me know. I'll investigate what is happening. – Rob Hyndman Jun 17 '13 at 00:52
@Dimitriy. Can you email me (rob.hyndman@monash.edu) with your IP address and a URL where you get the problem. Thanks. – Rob Hyndman Jun 17 '13 at 01:10
@RobHyndman Thanks, Rob. I have a hard copy of your other book _Forecasting: Methods and Applications_ and think it's very good. Since you've made the datasets readily available, it really is fantastic for learning. I read that _Forecasting: principles and practice_ aims to replace _Forecasting: Methods and Applications_, so this can only be a step-up on your previous work. Indeed, it is; it's very accessible and contains R code for replication. Excellent! Thanks to you and your co-author for making it available online. – Graeme Walsh Jun 17 '13 at 14:11

score 5 · Answer 2 · answered Jun 21 '13 at 14:34

Graeme, I think Hansen is the best reference in that category; it is clearly and rigorously written.

Imbens and Wooldridge produced a nice NBER summer course, see here (with video). It assumes some knowledge of basic econometrics, which you probably have already. They more or less repeated it at the UK Centre for Microdata Methods and Practice. The latter lectures are available at

 for(k=1;k<=18;k++) {
    http://www.cemmap.ac.uk/resources/imbens_wooldridge/lecture_k.pdf
 }

They both are good teachers, this is a good set of materials to go through.

I have a book on econometric analysis using Stata in RePEc in open access, but it is in Russian :).

I rate Hansen's book highly too. Thanks for the linkage to the Imbens and Wooldridge NBER summer course and UK CMMP lectures. At first glance, the notes and videos look very good, so my plan is to work through them. Oh, excellent! I took Russian during my undergrad and used Stata during my masters... since I enjoyed both, this might be a good reason to revisit some old ground. :) Your input is much appreciated. — Graeme Walsh, Jun 21 '13 at 16:27

score 3 · Answer 3 · answered Jun 21 '13 at 12:29

Econometrics by Michael Creel is a project to develop a document for teaching graduate econometrics that is "open source", specifically, licensed as GNU GPL.

About the book:

This document integrates lecture notes for a one year graduate level course with computer programs that illustrate and apply the methods that are studied. The immediate availability of executable (and modifiable) example programs (written using the GNU/Octave language) when using the PDF version of the document is a distinguishing feature of these notes. If printed, the document is a somewhat terse approximation to a textbook.

From the Author's webpage (accessed 21 June 2013):

You may be wondering why the notes are available in this form. It's simply because I use a lot of free software, and this is a means of contributing back to the community.

I love the book, and it was our textbook, but it is NOT a text book :) It's a text, which is great as a reference or with an instructor attached to it. It's not that good for self-study. — Aksakal, Apr 04 '15 at 03:53

score 0 · Answer 4 · answered Oct 11 '18 at 03:13

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It is worth throwing into the mix that Greene (5th edition) is free online for self-study. Wonderful resource:

https://spu.fem.uniag.sk/cvicenia/ksov/obtulovic/Mana%C5%BE.%20%C5%A1tatistika%20a%20ekonometria/EconometricsGREENE.pdf

answered Oct 11 '18 at 03:13

Julian Duggan

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Free econometrics textbooks

4 Answers4