Thanks to an agreement with Oxford University Press, this classic book is now freely available for download as a PDF file. It should still be cited as Russell Davidson and James G. MacKinnon, Econometric Theory and Methods, New York, Oxford University Press, 2004.
Read or download Econometric Theory and Methods.
This website also contains data for the exercises in the book, along with the corrections made in various printings and solutions to selected exercises (the ones that are starred in the text).
The corrections are organized by printing. If you do not know which printing you have, look on the back of the title page, near the bottom. There should be a row of numbers. The smallest number in that row is the number of the printing you have.
Solutions to all the exercises may be found in the Instructor's Manual, which is available upon request from the authors. If you can prove that you are not a student, please contact James MacKinnon (mackinno [AT] queensu.ca).
Visit the websites of Russell Davidson and James MacKinnon.
Visit the website of the authors' first book, Estimation and Inference in Econometrics. It is also freely available for download.