Graduate text books
Mas-Colell / Whinston / Green “Microeconomic Theory” (Oxford, 1e: 1995) ☼
The indispensable standard. You’ll read it cover to cover, probably more than once.
Reny / Jehle “Advanced Microeconomic Theory” (Addison-Wesley, 2e: 2000) ☼
Although an advanced undergraduate text, it covers similar content to MWG and can serve as an
introduction.
Varian “Microeconomic Analysis” (W.W. Norton, 3e: 1992) ☼
Varian is known for being very clear and to-the-point. Less formal than MWG and more selective
in content.
One of the best things to read in preparation for first-year micro (or along with it) is Hirshleifer /
Riley's "Analytics of Uncertainty and Information;" a very intuitive introduction to these key
topics. Billed as a graduate micro textbook, but not formal enough for today's demands, is "A
Course in Microeconomic Theory" ☼ by Kreps - some enjoy it as a conceptual starter that covers
all the major topics (though, for an appetizer, it's a bit too calorific - long-winded - for my taste).
Gibbons' "Primer in Game Theory" (alternate title" "Game Theory and Applications" ☼) is an idea
for a preview of game theory with many interesting examples.
One will typically need a specialized game theory book from the second term (although MWG
cover game theory in some depth). Osborne / Rubinstein's "A Course in Game Theory" and
Myerson’s “Game Theory: Analysis of Conflict” are good and reasonably priced. Fudenberg /
Tirole’s “Game Theory” is an extensive, more formal, treatment. Tirole’s “The Theory of
Industrial Organization” is the standard in that subfield (preferable, in my opinion, to the more
recent "Industrial Organization: Theory and Applications" ☼ by Shy, although that includes new
topics). The burgeoning importance of agency theory called for a dedicated textbook, which is
now available from the Tiroles of information economics, Laffont / Martimort ("The Theory of
Incentives").
Mathematical economics
▼
De la Fuente “Mathematical Methods and Models for Economists” (Cambridge, 1e: 2000)
Comprehensive and lucidly written. A bargain at the price.
Simon / Blume “Mathematics for Economists” (W.W. Norton, 1e: 1994) ☼
This is actually too basic for the first year, but can serve as a review. Thorough coverage of linear
algebra.
Sundaram “A First Course in Optimization Theory” (Cambridge, 1e: 1996)
Optimization theory, as the title says. Modern and accessible; unfortunately, it omits many proofs.
If Simon / Blume is hard going, then (you should be rather worried and lose no time but) grab Chiang's
"Fundamental Methods of Mathematical Economics," which will take you by the hand through everything you
should already know (but no real analysis). (Incidentally, Chiang's other book, "Elements of Dynamic
Optimization" is not worth getting: it's in continuous time, whereas in much of modern macro you want discrete
time.) Should the "Fundamental Methods" address critical needs, you might as well invest another fifteen dollars
for Schaum's "Outline of Mathematical Economics" (by Dowling), with a wealth of solved problems.
A classic, very accessible reference for optimization is Intriligator's "Mathematical Optimization
and Economic Theory." Dixit's "Optimization in Economic Theory" is brief and conceptual, makes
good (though perhaps not essential) bedtime reading. For those who have seen it all before and
just need a quick review, the Dover reprint of Lancaster's "Mathematical Economics" is cheap and
handy; it treats (a somewhat dated choice of) optimization topics in the main part, and relegates
background material to a well-written set of appendices.
A little book of pure math that squeezes all the best definitions and proofs into a pocket-sized
format, Rudin's "Principles of Mathematical Analysis" ☼ (or "Baby Rudin"), would come highly
recommended as a reference if it weren't so outrageously priced outside the ☼ markets. More
advanced treatments like Royden’s “Real Analysis” and Rudin’s “Real and Complex Analysis,” ☼
which cover functional analysis, measure theory, and complex numbers, become useful in the
second term and second year. If you want to learn measure theory (which eventually becomes
necessary for micro theory and econometrics, but ... down the road), the best introduction is
Capinski / Kopp's "Measure, Integral and Probability." Kelley's "General Topology" is a terrific
old text; for a concise introduction to basic topology at the right price, see the Dover edition of
Mendelson's "Introduction to Topology."
Macroeconomics
▼Blanchard / Fischer “Lectures on Macroeconomics” (MIT, 1e: 1989)
The old stand-by, still good for a solid, "eclectic" first-semester course.
Ljungqvist / Sargent “Recursive Macroeconomic Theory” (MIT, 1e: 2000)
Samples a lot of modern technique and selected applications; reads like a set of rough lecture
notes. Now a voluminous second edition has been drafted and is still available for free
downloading (as is a first go at a solution manual).
Romer “Advanced Macroeconomics” (McGraw-Hill, 2e: 2001) ☼
Thoughtful and empirically driven, at an undergraduate level, really. In survey manner, the book
covers the intuition of influential models, but does not attempt to build technical skills.
There are many approaches to teaching first-year macro, but roughly we could group them into
those that consistently work with special cases of the neoclassical growth model and those
covering an eclectic range of models with diverse assumptions and occasional handwaving about
micro foundations in favor of an interesting result. The former school of thought is sometimes
labeled as "freshwater" (since its proponents are located around the Great Lakes), and the latter as
"saltwater" (as it is popular along the US coasts). My impression is that the "freshwater" school is
carrying the day and dominating the modern literature, but not everyone would agree. There is
now a nice introduction to dynamic programming, numerical methods, stochastic growth, time
series econometrics etc. all in one small book: Adda / Cooper's "Dynamic Economics:
Quantitative Methods and Applications." It's an ideal and reasonably priced entry to "freshwater
macro."
Sargent has an older text, called “Dynamic Macroeconomic Theory,” accompanied by Manuelli's
solution manual - I haven’t read this, but by the looks of the content, it is still relevant (less true of
the immediate predecessor, Sargent's "Macroeconomic Theory"). Azariadis’ “Intertemporal
Macroeconomics” I haven’t read; it appears to emphasize differential equations and dynamic
methods with a "freshwater" leaning. Chicago-schoolers swear by Stokey / Lucas / Prescott's
“Recursive Methods in Economic Dynamics,” a detailed exposition of dynamic programming
theory and a second-term / second-year must-read for macroeconomists. Now there's a solution
manual (Irigoyen et al.) - you'll probably need it.
For growth theory, the standard source is Barro / Sala-i-Martin’s “Economic Growth” ☼, a good
overview. Aghion / Howitt’s “Endogenous Growth Theory” is a specialized treatment. Open
economy macroeconomics is covered extensively (and, by all accounts, very well) in Obstfeld /
Rogoff’s “Foundations of International Macroeconomics.” For numerical methods, which have
become essential to computational macroeconomics, Judd’s text “Numerical Methods in
Economics” is widely used - but it is not (as one might expect) a simultaneous introduction to
Matlab
Econometrics
▼
Casella / Berger “Statistical Inference” (Wadsworth, 2e: 2001) ☼
More demanding, more modern than Hogg and Craig, and infinitely the preferable probability and
statistics text of the two.
Greene “Econometric Analysis” (Prentice Hall, 4e: 1999) ☼
Emphasizes maximum likelihood as an organizing principle. The book is rather too encyclopedic
to study from, but it is a useful reference.
Hayashi “Econometrics” (Princeton, 1e: 2000) ☼
Even though the GMM perspective makes it perhaps a more difficult book at first, the approach is
theoretically attractive and modern. It’s well-written, too, at a comfortable level.
Hogg / Craig “Introduction to Mathematical Statistics” (Prentice Hall, 5e: 1994) ☼
Incomprehensibly, this weary oldtimer is still a standard text. Overexplains and shys from the use
of complex variables.
Ruud “An Introduction to Classical Econometric Theory” (Oxford, 1e: 2000)
Though I have not read it, people rave about the detailed exposition and instructive proofs.
The gaping void in the market for books on the mathematical foundations of econometrics is
about to be redressed by the forthcoming titles by Bierens and McFadden (see the online lecture
notes for the manuscripts). Gallant’s “An Introduction to Econometric Theory” runs along the
same line, but is quite brief, and somehow not an entirely satisfying book to learn from.
Billingsley’s “Probability and Measure” ☼ is a higher-pitched, well-regarded probability text that
also develops measure theory. Shiryayev's "Probability" is its equally admired competitor. (But
both are difficult books if you're not well-trained in analysis.) White's "Asymptotic Theory for
Econometricians" covers the same class of topics, perhaps more accessibly (and certainly more
concisely).
Good review books in econometrics, albeit not at the technical level of grad school, are Johnston
/ DiNardo’s “Econometric Methods” ☼ and Verbeek’s “A Guide to Modern Econometrics.” ☼
That intimidating tome by Judge et al., "Introduction to the Theory and Practice of Econometrics"
☼ offers a very nice, comprehensive approach to estimation at a closer look, and it's at the right
technical level. Davidson / MacKinnon's “Estimation and Inference in Econometrics” is popular
with econometricians and supposedly "deep;" it may offer more detail and rigor than initially
needed. Then there's a whole series of graduate econometrics texts by Gourieroux / Monfort,
reportedly much in the French tradition of excellent precision and terrible pedagogics.
The standard specialty text for time series is Hamilton’s exhaustive “Time Series Analysis.”
Enders' "Applied Econometric Time Series" ☼ is a far more basic and selective introduction. For
limited dependent variables, there's Maddala’s “Limited-Dependent and Qualitative Variables in
Econometrics.” For panel data, Baltagi’s “Econometric Analysis of Panel Data” or Wooldridge's
"Econometric Analysis and Panel Data," or yet Hsiao's "Analysis of Panel Data." (They're all said
to be excellent, particularly Wooldridge is popular.) "Nonparametric Econometrics" is covered by
Pagan / Ullah's.