Over the past four or five decades, econometric methods have been borrowed and used more or less effectively by social scientists in a broad range of disciplines. Generally, though certainly not in every case, those who use econometric methods in other social sciences are...
Over the past four or five decades, econometric methods have been borrowed and used more or less effectively by social scientists in a broad range of disciplines. Generally, though certainly not in every case, those who use econometric methods in other social sciences are not as well trained in mathematics as economists, and they have little or no knowledge of economic theory.
To meet the demand for accessible econometric literature in other disciplines, authors and publishers have produced textbooks that are much less mathematically demanding than the staple sources. Examples include Wooldridge''s Introductory Econometrics, Gujarati''s Essentials of Econometrics, Stockman and Watson''s Introductory Econometrics, and Mirer''s Economic Statistics and Econometrics. Also, Peter Kennedy''s Guide to Econometrics is an accessible catalog of tests and correctives for violation of assumptions, provided the non-specialists stay out of the technical appendices.
However, Hayashi''s Econometrics clearly does not belong in the category of textbooks that appeal to a broad-based audience of social scientists. Hayashi, quite rightly, has a different audience in mind, and he assumes that the reader knows and has facility in applying the mathematics that is legitimately expected of economists. He also liberally incorporates economic theory into his presentation. While the econometric texts mentioned above lean heavily on OLS estimators, Hayashi treats OLS as just a special case of the generalized method of moments, a concept that is entirely alien to most students and practitioners who are not well schooled in the mathematical methods of economics.
One consequence is that social scientists who are not cautious in selection of self-instructional materials order Hayashi''s text and are then dumbfounded when they encounter mathematics and economic theory that they are not prepared to handle. Sure, they could take the time and effort needed to get up to speed, but most folks are in a hurry and have more pressing concerns for released time and sabbaticals.
I was introduced to econometrics in an independent study thirty-five years ago. I was assigned sections from the first edition of Johnston''s Econometric Methods and Kmenta''s Elements of Econometrics, as well as few journal articles, and was then on my own. As a result, I can sympathize with other non-economists'' frustration. Johnston and Kmenta may seem pretty accessible now, but at the time they were regarded as difficult. I initially preferred Kmenta because his first edition (as well as his second) did not require practiced facility with matrix algebra. I''m still embarrassed to recall, however, how mystified I was when Kmenta began introducing alternatives to OLS estimators. I didn''t know there were any! I eventually learned a lot, but making sense of Johnston forced me teach myself the rudiments of matrix algebra.
I know that textbook publishing is a racket, just look at the prices. But I think that publishers have an obligation to very conspicuously apprise prospective readers that a text like Hayashi''s understandably makes demands on the reader that non-economists typically will not meet. Otherwise, social scientists who might use applied econometrics in their less mathematically-intensive disciplines will waste money and be deprived of statistical tools they might put to good use.