Books & Notes for First Year Ph.D.s in Economics
I) Math camp
Q1) Stats & Probability:
Statistical Inference by Casella and Berger
Decent book, but I mainly used the professor Jansen’s notes (which are great but aren’t online).
Q2) Classical Least Squares:
Course in Econometrics by Arthur Goldberger
Awesome book. Chapters 13 to the mid 20s are a good introduction to classical metrics. Reading these chapters, especially the one on the Frisch–Waugh theorem, really solidified my understanding of the mechanics of classical metrics. Rudd has a more geometrical treatment (Goldberger takes an algebraic approach) but you will probably get that in class and won’t need to spend the non-trivial amount of time it takes to figure out Rudd’s notation.
Q3) Generalized Least Squares, SUR, time series, IV:
Q4) GMM, Maximum likelihood models, limited dependent variable models, etc
Econometrics by F. Hayashi
Good Book. Clear, unifying treatment for GMM and prior topics. For maximum likelihood, we used a number of sources and notes.
Q1) Obstfeld – Growth plus OLG, Consumption, Savings
Advanced Macroeconomics by David Romer
Obstfeld’s notes are quite good so I didn’t use Romer’s book as much. However, Romer’s book is a helpful resource.
Q2) Obstfeld – Stock Market, Intational Finance, Investment, Monetary Policy (inflation/deflation/money), Banking Panics and Financial Instability
Foundations of International Macroeconomics by Maurice Obstfeld and Kenneth Rogoff
Since Obsfeld himself taught the class, his notes were sufficient and quite good. Note that David Romer has taught this portion of the course since he got back from DC.
Q3) Gorodnichenko – Real & MonetaryBusiness Cycles plus Policy
This was one of my favorite classes, but we used his notes and papers which aren't publicly available.
Q4) Pouzo – Government Policy in Dynamic GE economies
Recursive Macroeconomic Theory by Sargent
Very good book. Seems slightly intimidating at first, but it’s very clear, rigorous, and comprehensive. Covers much more than just fiscal and debt policies of the government. Pouzo was Sargent’s top student on the job market recently, his notes closely follow Sargent’s book.
Q1) Microeconomic Theory
Everyone uses MWG, although I largely used class notes.
Q2) Game Theory
A Course in Game Theory by Osborne and Rubenstein
Q3) Information Economics and Mechanism Design
Contract Theory by Bolton and Dewatripont
Q4) General Equilibrium
MWG, but largely used bob anderson’s notes (which are clear but probably Berkeley centric, since we put a lot of emphasis on classic GE proofs).
V) Economic History