Amemiya's book might not have been the best text for this class, but his lectures managed to make the material relatively interesting. Professor Ken Singleton E604 presents a unified framework for thinking about econometrics which will be very helpful for first-year students in economics and finance. Most students find the course difficult, and learning is hindered by the knowledge gap between the students and the professor, who clearly thinks the material is quite trivial. Singleton is a good lecturer, however, and he tries to be as helpful as possible. His lecture notes are sometimes cryptic, but they are essential reading.
Problem sets are useful, but time-consuming.
This course is actually when you are really introduced to the world of Econometrics. In this course, you start seeing the big picture, the assumptions, and applications. I took this class because it is recommended for my program. I thought it was well-taught. He handed out notes, which was helpful.