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One reason is to maintain suspense. A big part of the attraction of the detective genre is for the reader to try to work out for themselves what is happening with varying degrees of assistance from...
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One reason is to maintain suspense. A big part of the attraction of the detective genre is for the reader to try to work out for themselves what is happening with varying degrees of assistance from the writer. If written from the perspective of the detective then the reader has access to all their observations, theories, intuitions and suspicions. Having a third party perspective allows the writer to control the flow of this information. Equally the detective is the readers window on the mystery and often the thought process of the detective is as much a mystery as the crime itself. A clear example of this is the Sherlock Holmes stories where it is often hinted that Holmes has some pretty clear ideas of what it is going on from an early stage but by using Watson as the narrative perspective the pacing at which the real story unfolds can be controlled. Indeed this is directly mentioned in many of the stories. This certainly tends to be the case for the more cerebral style of detective. As mentioned in another answer the 'noir' style where the protagonists tend to be more men of action caught up in events generally are written in 1st person. As an aside some of the Diskworld books based around the Sam Vimes character (especially _Night Watch_) provide an interesting dissection of this style. There is also a recurring thing in Agatha Christie books where the detective is privy to some piece of obscure but highly pertinent piece of information and the 'clues' are more character based than factual, at least for the reader. Conversely the author may want the reader to have information that the detective can't have especially in the 'thriller' style were the plot is driven by the conflict between the protagonist and antagonist eg _Silence of the Lambs_.