Econometric Theory and Methods
At McGill University in Montreal, Russell Davidson holds the Canada Research Chair in Econometrics. He also teaches at GREQAM in Marseille and previously taught at Queen's University for many years. He holds a doctorate in physics from the University of Glasgow and a doctorate in economics from the University of British Columbia.
James G. MacKinnon is the Sir Edward Peacock Professor of Econometrics and Head of the Department at Queen's University in Kingston, Ontario, Canada, where he has taught since 1975, when he received his Ph.D. from Princeton.
Econometric Theory and Methods is a comprehensive treatment of modern econometric theory and methods. The geometrical approach to least squares, as well as the method of moments, which is used to motivate a wide range of estimators and tests, are emphasized. Simulation methods, such as the bootstrap, are introduced early and widely used.
The book covers a wide range of contemporary topics. Sandwich covariance matrix estimators, artificial regressions, estimating functions and the generalized method of moments, indirect inference, and kernel estimation are among the others. Every chapter includes a variety of exercises, some theoretical, some empirical, and many of which involve simulation.
Econometric Theory and Methods is intended for first-year graduate courses. The book is appropriate for both one-term and two-term Masters or Ph.D. courses. It can also be used in a final-year undergraduate course for students with sufficient mathematical and statistical backgrounds. It is among the best books on economometrics.
Author: Russell Davidson and James G. MacKinnon
Link to buy: https://www.amazon.com/Econometric-Theory-Methods-Russell-Davidson/dp/0195123727/
Ratings: 4.8 out of 5 stars (from 24 reviews)
Best Sellers Rank: #208,464 in Books
#6 in Economic Theory (Books)
#22 in Econometrics & Statistics
#186 in Theory of Economics
