A Guide to Econometrics, 5th ed

A Guide to Econometrics, 5th ed By Peter Kennedy. 2003. Cambridge, MA: The MIT Press. Pp. 623. $75.00 cloth, $37.95 paper.

The fact that there is a new fifth edition of Peter Kennedy's A Guide to Econometrics is eloquent testimony to the popularity of the preceding editions. The book is not a textbook for an econometric course but a nonmathematical complement to a standard econometrics textbook at any level. Its aim is to provide an overview of econometric topics and to give an intuitive interpretation of econometric concepts and methods without the usual clutter of technical detail. Business economists will appreciate this approach. The virtue of the newest edition lies not only in the additions and extensions introduced but also in the updating of the huge stock of references cited throughout the book.

As in the earlier editions, the author follows a uniform structure of the chapters. Each chapter consists of the main text pertaining to the subject of the chapter, followed by "general notes" and concluded by "technical notes." Mathematical exposition is reserved to the concluding part, and even there it is used very sparingly and in an uncomplicated way.

The chapters cover virtually all topics discussed in standard econometric courses, whether undergraduate or graduate. In general, the coverage is comprehensive, although different readers might wish for more attention to their favorite topics. My wish list includes more coverage of some of the most exciting and relatively recent innovations in econometrics now finding their way into business and finance, such as Robert Engle's ARCH model and Halbert White's heteroskedaslicity-consistent standard errors. But these are unavoidable aspects of a comprehensive...