Related on the book;
Datasets for Replicating Empirical Results
Introduction to Econometrics, 2nd Edition, by James H. Stock and Mark W. Watson is a real page-turner. By ingeniously introducing statistical methods as a means of answering four interesting empirical questions, the authors have written a rigorous text that makes you want to keep reading to find out how the story ends. The authors use the excitement generated by the questions as a springboard for an excellent introduction to estimation, inference, and interpretation in econometrics.
The text makes advanced statistical concepts easily understandable. For instance, the current econometric approach to analyzing linear models combines assumptions on the conditional moments of random variables and large-sample theory to derive estimators and their properties. This textbook provides an accessible introduction to this technique and its application to cross-sectional, panel-data, and time-series regression.
The coverage and level of this text make it an excellent choice for undergraduate study or as a supplement to advanced courses.
The second edition includes many improvements that make the book more accessible to students, as well as some additional topics to excite those who use the text as a supplement. The expansion of the ordinary least-squares introduction from two to four chapters is the most notable increase in accessibility. The brief introduction to the current best practices for dealing with weak instruments is the most exciting new topic.