… body of knowledge

What exactly is a body of knowledge of econometrics? Surely it is a set of teaching curricula at universities and accompaigning textbooks and reading lists, but what if you needed construct a review of the field rather quickly? The following approaches might be useful.

1. Textbook structure

The undergraduate textbook structure often repeats itself: OLS, estimator properties, some of OLS deviations/extensions, logit/probit + maximum likelihood, time series and maybe a bit of panels and simultaneous equations.

More textbook analysis may be found in 2017 Angrist and Pischke article Undergraduate Econometrics Instruction: Through Our Classes, Darkly, below is a summary table (some of it does not escape criticism).

2. Econometric software manuals

Gretl and EViews have quite comprehensive manuals covering principal applications of the software. They both qualify as textbooks in econometrics:

• gretl and a course based on gretl

• JASP, as described here

• Eviews I

• Eviews II

Additionally one can look into [R package system for econometrics] (https://cran.r-project.org/web/views/Econometrics.html), MATLAB manual and course.

Manulas of some less popular packages:

• RATS

• PcGive

• Shazam

• econtools (STATA flavour)

3. Handbook of Econometrics

Elsevier Handbook of Econometrics is a publication series running since 1983. It now features 77 chapters in 6 volumes. Many earlier articles are foundational, but quite a few recent ones are about some really narrow subjects areas. I think the volume TOC is great, but publications are overpriced (it’s Elsevier).