Introduction to the Theory and Practice of Econometrics

This is an excellent book for a first year course at the Master's level. The topics are are diverse and well explained. The best part about the book is that it prepares you well for intermediate level econometrics. All the derivations are in Matrix form, which is what it should be. Overall, this is an excellent book for econometrician to get his fundamentals clear!

The book is excellent for the mathematically inclined student who masters well linear lagebra. It uses matrix notaion extensively and enables one to generalize results without getting lost. I used that book in my intermediate econometrics course at the undergraduate level. I am convinced it is a mistake to start learning econometrics by first using the algebraic approach then the matrix approach. This only brings about confusion. This book is excellent as when one thinks hard through theoretical results it is much easier to get a good grasp of the empirical results one finds in applied work. I always consult this book first when I am a bit rusty in classical and special topics in econometrics. The book is not up to date to more modern econometrics such as cointegration and unit root analysis (those subjects don't exist in it).