Books & Notes for First Year Ph.D.s in Economics

I)     Math camp

Here are the lecture notes from math camp if you want to get a sense of what to expect for the class. These notes are much better than the De la Fuente book that some math camps recommend.

II)   Econometrics

Q1)    Stats & Probability:

Statistical Inference by Casella and Berger

Decent book, but I mainly used the professor Jansen’s notes (which are great but aren’t online).

Q2)    Classical Least Squares:

 Course in Econometrics by Arthur Goldberger

Awesome book. Chapters 13 to the mid 20s are a good introduction to classical metrics. Reading these chapters, especially the one on the Frisch–Waugh theorem, really solidified my understanding of the mechanics of classical metrics. Rudd has a more geometrical treatment (Goldberger takes an algebraic approach) but you will probably get that in class and won’t need to spend the non-trivial amount of time it takes to figure out Rudd’s notation.

Q3)    Generalized Least Squares, SUR, time series, IV:

Mostly relied on notes from section and class notes which are pretty good as well.

Q4)    GMM, Maximum likelihood models, limited dependent variable models, etc

Econometrics by F. Hayashi

Good Book. Clear, unifying treatment for GMM and prior topics. For maximum likelihood, we used a number of sources and notes. 

III) Macroeconomics

Q1)    Obstfeld – Growth plus OLG, Consumption, Savings

Advanced Macroeconomics by David Romer

Obstfeld’s notes are quite good so I didn’t use Romer’s book as much. However, Romer’s book is a helpful resource.  

Q2)    Obstfeld – Stock Market, Intational Finance, Investment, Monetary Policy (inflation/deflation/money), Banking Panics and Financial Instability

Foundations of International Macroeconomics by Maurice Obstfeld and Kenneth Rogoff

Since Obsfeld himself taught the class, his notes were sufficient and quite good. Note that David Romer has taught this portion of the course since he got back from DC.

Q3)    Gorodnichenko – Real & MonetaryBusiness Cycles plus Policy

        This was one of my favorite classes, but we used his notes and papers which aren't publicly available.

Q4)    Pouzo – Government Policy in Dynamic GE economies

                                 Recursive Macroeconomic Theory by Sargent

Very good book. Seems slightly intimidating at first, but it’s very clear, rigorous, and comprehensive. Covers much more than just fiscal and debt policies of the government. Pouzo was Sargent’s top student on the job market recently, his notes closely follow Sargent’s book.

IV)  Microeconomics

Q1)    Microeconomic Theory

        Everyone uses MWG, although I largely used class notes.

Q2)    Game Theory 

        A Course in Game Theory by Osborne and Rubenstein

Pretty good and rigorous book, but usefulness may depend on who is teaching the class (the notation in game theory is gross, so I hesitate recommending the book without knowing your game theory professor's preferences and style/notation).

Q3)    Information Economics and Mechanism Design

 Contract Theory by Bolton and Dewatripont
Used Botond’s notes, which aren't available, but many highly recommended this book for contract theory.

Q4)    General Equilibrium

MWG, but largely used bob anderson’s notes (which are clear but probably Berkeley centric, since we put a lot of emphasis on classic GE proofs).

V) Economic History

        Delong and Eichengreen