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    $\begingroup$ Greene's book is encyclopedic and a must-have reference. But I have two quibbles: (i) I feel it is a bit out of date relative to current econometric practice; (ii) the presentation is very non-linear, but at the same time, in his exposition Greene will use symbols that were defined maybe 100 pages prior in a completely different context, making things horribly confusing at times. As mentioned below, I would vote for Wooldridge coupled with Angrist and Pischke for an up to date and thorough perspective. $\endgroup$ Commented Nov 19, 2010 at 3:05
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    $\begingroup$ Greene's book is indeed one of the most standard references, but it makes a weird assumption that you know some econometrics when you approach it -- enough to bridge some gaps in presentation. My wife, a game theorist, was trying to learn from it when taking a required econometrics sequence in grad school, and she would ask me at least a dozen questions per homework: "What does this symbol stand for? I cannot find it defined anywhere" or "Am I expected to make a normality assumption here? It is not specified explicitly, but there is no other way to solve this" etc. $\endgroup$ Commented Aug 19, 2012 at 13:25
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    $\begingroup$ In my personal opinion, Greene's book is more like a kitchen sink of econometrics. It tries to cover too much topics at once, while not going into enough depth where needed. Plus, as has been stated before, it's more of a reference than a classic textbook. $\endgroup$ Commented May 23, 2015 at 1:42
  • $\begingroup$ Could anyone comment on older editions? Has the material coverage evolved much since the 1st or 2nd edition? $\endgroup$ Commented Nov 20, 2015 at 19:37
  • $\begingroup$ i would say it's best on cross sectional analysis. Its time series and panel analysis is not as thorough. also, you could call a book "theoretical". modern stuff like data mining and statistical learning are not covered at all. $\endgroup$ Commented Feb 14, 2021 at 17:45