Teaching graduate econometrics means covering three different kinds of
subject matter: a grounding in the theory of econometrics, a long laundry
list of available econometric techniques, and an introduction to the fact
that the practice of linking models and data is every bit as untidy as
mathematical statistics is neat. I assign Econometric Theory and
Methods (ETM) as a primary text in our first Ph.D.
econometrics course. ETM is in charge of getting the students
their theoretical grounding. I also assign Greene's excellent
Econometric Analysis (2003) for its
coverage of a long list of techniques. My laptop, EViews, and I, together
with a whole lot of real data, are responsible for being untidy.