[A picture of the book's jacket] [A picture of the book's jacket]

Russell Davidson and James G. MacKinnon

Econometric Theory and Methods

Econometric Theory and Methods was published by Oxford University Press (New York) in October, 2003 with a 2004 copyright. The ISBN is 0-19-512372-7.

Econometric Theory and Methods provides a unified treatment of modern econometric theory and practical econometric methods at the beginning graduate level. The book is suitable for both one-term and two-term courses at the Masters or Ph.D. level. It could also be used in final-year undergraduate courses at good schools if students have sufficient preparation. Mathematical and statistical concepts are introduced as they are needed, and the level of the book increases as more theoretical tools are developed.

The method of moments is used to motivate a wide variety of estimators and tests. The geometrical approach to least squares is also used extensively. Simulation methods, including the bootstrap, are introduced quite early on. Every chapter has a large number of exercises, some theoretical, some empirical, and some involving simulation. Answers to all the exercises will be available to instructors on a CD-ROM, and answers to starred exercises (which are generally quite challenging) are available on this website.

The book deals with a large number of modern topics. In addition to bootstrap and Monte Carlo tests, these include sandwich covariance matrix estimators, artificial regressions, estimating functions and the generalized method of moments, the method of simulated moments, indirect inference, the multinomial logit model, models for duration and count data, unit roots and cointegration, nonnested hypothesis tests, conditional moment tests, and kernel estimation.

Table of Contents

Chapter 1   Regression Models    1

Chapter 2   The Geometry of Linear Regression    42

Chapter 3   The Statistical Properties of Ordinary Least Squares    86

Chapter 4   Hypothesis Testing in Linear Regression Models    122

Chapter 5   Confidence Intervals    177

Chapter 6   Nonlinear Regression    213

Chapter 7   Generalized Least Squares and Related Topics    257

Chapter 8   Instrumental Variables Estimation     311

Chapter 9   The Generalized Method of Moments    352

Chapter 10   The Method of Maximum Likelihood    399

Chapter 11   Discrete and Limited Dependent Variables    451

Chapter 12   Multivariate Models    501

Chapter 13   Methods for Stationary Time-Series Data    556

Chapter 14   Unit Roots and Cointegration    605

Chapter 15   Testing the Specification of Econometric Models    650

References   702

Author Index    722

Subject Index    726

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