The 10 Best Econometrics Books

Last updated: 25 February 2021. I've ranked the best econometrics books and textbooks below. Whether it's an econometrics book for beginners, or an advanced econometrics textbook to help your postgraduate studies, you'll find the best examples below. 

What is econometrics? Econometrics is a field of economics (see more: best economics books) which uses statistics and other maths to build models which describe how the economy works. Whereas regular macroeconomics and microeconomies may point you to a chart, econometrics is likely to provide you with an elegant formulae which describes how consumers, businesses and governments behave. 

Find our shortlists of the best econometrics books below

Every title featured on this page is suitable for new learners, unless I indicate otherwise. Prices range from £10 (paperbacks) to upwards of £70 (textbooks), however please remember that physical econometrics textbooks can be resold which may allow you to recoup 30% - 80% of the purchase price depending on the title. 

Most books can be read for free for a short while with Amazon's Kindle Unlimited free trial.

Click on any title below to see the latest price from Amazon, you'll be shocked at how affordable the most popular titles are. As an Amazon Associate, I earn a small commission from qualifying purchases which helps to support this site. This does not impact how I compile the list. Happy reading!

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Introductions to econometrics for beginners

Thoughtful titles which look behind the stock market indices to examine the nature of wealth

Introduction to econometrics
Introduction to econometrics 2
Econometrics for dummies
Introductory econometrics
Econometrics by example
Econometrics for finance
A guide to econometrics
Applied econometrics

Intermediate econometrics textbooks

Thoughtful titles which look behind the stock market indices to examine the nature of wealth

Financial econometrics models
Guide to modern econometrics
Using R for econometrics
Mastering metrics

Quick introductions to general economics for beginners

Thoughtful titles which look behind the stock market indices to examine the nature of wealth

Economics books
Cartoon economics book
Economics users guide
Economics book made simple

Macroeconomics textbooks for finance professionals & students

Definitive guides from authority figures in the field of economics


Economics books
Economics books
Books on economics
Modern economics

Microeconomics textbooks for finance professionals & students

Comprehensive study guides which explain how companies and markets operate


Microeconomics Jeffrey
Microeconomics Daron
Microeconomics Paul
Economics books robert

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My Top 5 Econometrics Books & Textbooks for 2021

Click covers to see latest reviews and prices



Financial Expert Rating:


Synopsis:

Maintaining the accessible prose and clear examples of previous editions, the new edition of this best-selling textbook provides support for the main industry-standard software packages, expands the coverage of introductory mathematical and statistical techniques into two chapters for students without prior econometrics knowledge, and includes a new chapter on advanced methods.

Learning outcomes, key concepts and end-of-chapter review questions (with full solutions online) highlight the main chapter takeaways and allow students to self-assess their understanding.

Online resources include extensive teacher and student support materials, including EViews, Stata, R, and Python software guides.

Who this book is for:

A complete resource for finance students, this textbook presents the most common empirical approaches in finance in a comprehensive and well-illustrated manner that shows how econometrics is used in practice, and includes detailed case studies to explain how the techniques are used in relevant financial contexts.

Rated 4.8/5.0 on Amazon with 44 reviews



2. Introduction to Econometrics - Christopher Dougherty



Financial Expert Rating:


Synopsis:

"A complete resource for finance students, this textbook presents the most common empirical approaches in finance in a comprehensive and well-illustrated manner that shows how econometrics is used in practice and includes detailed case studies to explain how the techniques are used in relevant financial contexts."

Who this book is for:

Introduction to Econometrics provides students with clear and simple mathematics notation and step-by-step explanations of mathematical proofs, to give them a thorough understanding of the subject.

Extensive exercises throughout build confidence by encouraging students to apply econometric techniques.

Rated 4.4/5.0 on Amazon with 27 reviews



3. Econometrics for Dummies - Roberto Pedace



Financial Expert Rating:


Synopsis:

"Econometrics can prove challenging for many students unfamiliar with the terms and concepts discussed in a typical econometrics course. Econometrics For Dummies eliminates that confusion with easy-to-understand explanations of important topics in the study of economics.

  • An excellent resource for anyone participating in a college or graduate level econometrics course
  • Provides you with an easy-to-follow introduction to the techniques and applications of econometrics
  • Helps you score high on exam day"

Who this book is for:

If you're seeking a degree in economics and looking for a plain-English guide to this often-intimidating course, Econometrics For Dummies has you covered.

Econometrics For Dummies breaks down this complex subject and provides you with an easy-to-follow course supplement to further refine your understanding of how econometrics works and how it can be applied in real-world situations.

Rated 4.4/5.0 on Amazon with 123 reviews.



4. Introductory Econometrics - Jeffrey Wooldridge



Financial Expert Rating:


Synopsis:

"Gain an understanding of how econometrics can answer today's questions in business, policy evaluation and forecasting with Wooldridge's INTRODUCTORY ECONOMETRICS: A MODERN APPROACH, 7E. Unlike traditional texts, this book's practical, yet professional, approach demonstrates how econometrics has moved beyond a set of abstract tools to become genuinely useful for answering questions across a variety of disciplines. "

Who this book is for:

The new edition of this best-selling textbook provides support for the main industry-standard software packages, expands the coverage of introductory mathematical and statistical techniques into two chapters for students without prior econometrics knowledge, and includes a new chapter on advanced methods.

Learning outcomes, key concepts and end-of-chapter review questions (with full solutions online) highlight the main chapter takeaways and allow students to self-assess their understanding.

Rated 4.5/5.0 on Amazon with 55 reviews



5. Mastering 'Metrics - Joshua D. Angrist & Jörn-Steffen Pischke



Financial Expert Rating:


Synopsis:

"Applied econometrics, known to aficionados as 'metrics, is the original data science. 'Metrics encompasses the statistical methods economists use to untangle cause and effect in human affairs.

Through accessible discussion and with a dose of kung fu-themed humor, Mastering 'Metrics presents the essential tools of econometric research and demonstrates why econometrics is exciting and useful.

The five most valuable econometric methods, or what the authors call the Furious Five--random assignment, regression, instrumental variables, regression discontinuity designs, and differences in differences--are illustrated through well-crafted real-world examples (vetted for awesomeness by Kung Fu Panda's Jade Palace).

Who this book is for:

Wielding econometric tools with skill and confidence, Mastering 'Metrics uses data and statistics to illuminate the path from cause to effect.

It also explains econometric research through humorous and accessible discussion* Outlines empirical methods central to modern econometric practice* Works through interesting and relevant real-world examples

Rated 4.6/5.0 on Amazon with 213 reviews



The Financial Expert™ Best Econometrics Book Challenge


Best econometrics books

I challenge you to read one book per month and see if it revolutionises your investing style!


The Financial Expert™ Best Econometrics Book Challenge is a well-loved feature of this website.

It's a really pleasant way to tackle any academic topic. It's a challenge which encourages you to cease dancing around the edges of a discipline and really throw yourself in!

Here's the challenge: 

I challenge you to read one econometrics book per month for the next year, and find your new favourite!

That's the challenge. Now do you accept?

In reality, you can broaden the subject range of the challenge to match your learning or studies. For example, if you are studying for an economics undergraduate course, it might make sense to include macro and microeconomics textbooks alongside the econometrics books featured above. 

It's about creating your own learning path, sculpting your own econometrics curriculum. By being picky and strategic about the econometrics titles you choose to read (and in which order), you can take control over your own education and accelerate your progress. 

Reading lists in universities tend to be thrown at students with little expectation that they will be actually used. I've witnessed economics professors hand out the list and call it 'optional', and so you can imagine what happened as a result. 

Nobody read anything on that list. 

The best econometrics textbooks challenge is about taking on a sense of personal ownership for what you want and will read, rather than having it dictated for you.

If you're reading subjects that you're genuinely interested in, and buying books that really 'jump off the shelf' at you, then you can be sure that your econometrics knowledge is going to advance in leaps and bound. 

Some guidance

I recommend you don't follow a single author, or even a single ideology when selecting your books. 

The authors of textbooks and beginners guides tend to leave their 'personal opinions' on the editing room floor. However, many titles, such as Capital and Black Swan are more personal, and include an agenda. 

It would slightly distort the quality of your education if you learned within a single school of thought, as if you were reading inside an intellectual bubble. 

Look for contradictory perspectives and read both sides - let your brain decide the victor of the argument. 

Where to begin?

My list of the 5 best econometrics books above is as good as any place to start, as I have consciously included a mix of different writing and investing styles to ensure that it caters to a wide audience.

Good luck!



The best econometrics books shouldn't overwhelm you


The best econometrics books don't confuse
“A good way to do econometrics is to look for good natural experiments and use statistical methods that can tidy up the confounding factors that Nature has not controlled for us.”
Daniel McFadden

When you're buying econometrics textbooks or lighter-weight titles, you immediately have too much choice. 

There are over 100 econometrics books available to buy online. How do you know which book is a good fit for you, without reading the thing itself first?

If you're a beginner, I have a few pieces of advice on selecting the econometrics book which could become your new favourite:

1. Pick a simple and introductory book

When you're starting to learn about a new subject area such as econometrics, you will be excited to get started and will want to learn as much as possible. 

This should not naturally lead you to the longest or most advanced book.

To kick off your learning path with a book that actually intimidates you from the doormat after deliver, and is a struggle to remain engaged while reading, would be a bad call. 

Stick for a fun book which uses humour, engaging language and light-weight coverage to begin with. Then, once you have grasped the basic principles of the subject, you can move onto a more advanced text which assumes a greater amount of prior knowledge.

2. Don't worry about the nationality of the author / publisher

When ranking and featuring some books, like the best business books or the best entrepreneurship books, I'm very wary of geography. 

That's because running a business can be a distinctly different experience from country to country, due to different culture, legal structures, economic events and so on. 

However, this is not the case for economics textbooks. The basic principles of economics are universal and can be applied to any economy, so you needn't screen titles based on region of origin.