Oh lord, how difficult it is to give this guy a good review. Although Hayashi is supposedly known for his work in financial time series, he comes across as a scatterbrain in class. The course is horribly organized, there is little continuity between topics, and important concepts are often omited for students to read about in one of two textbooks, each with its own notation -- very confusing. His lack of teaching ability is evidenced by the fact that he cannot manage his time well in class. In the first part of the course, he pounds the same concept into submission, but then realizing that there is only half a semester left to go, he jumps to ludicrous-speed leaving the students all but confused. Hopefully Hayashi isn't the only one teaching this class, but I fear it might be this way. The only thing you can do is to hang on and frequently supplement class with reading the textbooks. But the subject material is definitely enlightening even if Hayashi's class isn't.
I took this class with a very good background in probability, calculus, and analysis. This guy taught straight from the book except he skipped the explanations and proofs so you didn't really understand why things worked. In order to understand what he said, you have to sit in the front and come having read the material. He did not show how to apply the material to problems, and so the hw was extremely painful (thank god for good TA). The tests seemed completely different from what he taught, and were altogether impossible. Though he curved well at the end, this was a painful experience. Also, he was completely inaccessible. Load: hw once every two weeks: ~5.5 hours 1 midterm, 1 final.
This professor has mastered one thing, if anything, and that is pointing at the board and staring back at a completely listless class. He prepares notes and all examples straight from the book, so there sincerely is NO reason to go to class unless you can't make yourself keep up in the book on your own. Just memorize your formulas, and the exams will pose no challenge at all. He tries to put one curveball on each test, but you may get lucky and have a TA like ours who decides she will give out hints and solutions as she proctors a test. In summation, yet another non-learning experience at Columbia University!!