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A Supplement to the book is now available. The current version (September, 1996) is quite short. Two versions (PostScript and PDF) are available. If you have never downloaded any corrections, please see the instructions below before attempting to download the Supplement.
Although the authors typeset the book themselves, taught out of much of it before it was published, and read and reread every chapter before publication, a depressing number of typos, and a few more serious errors, made it into the printed version. Corrections have been made each time the book has been reprinted. The most recent printing is the tenth (which is identical to the nineth), and even it needs a few corrections.
There are two ways to obtain corrections. One is to get individual pages, and the other is to get every page that has been changed in any way since a given printing.
Obtaining Corrections to Individual Pages
The individual 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. If the smallest number is 1, you have the first printing; if the smallest number is 2, you have the second printing; and so on. If, for example, you have the fifth printing, then only the corrections made in more recent printing will be of interest to you.
Click in the appropriate places below to get the fixes made in each printing. There are files that list all the corrections made in each printing (except for pages which were subsequently corrected again), and also files that list all really serious corrections. Then click in the appropriate place to obtain pages in the format of your choice. There are two possibilities:
For the corrections made in each printing, click in the appropriate place below.
The Supplement and all the corrections are copyright (C) by the authors. They are made available as a service to those who either own copies of Estimation and Inference in Econometrics or have borrowed a copy from a library. They may be printed and redistributed to other owners of the book, but any other use constitutes a breach of copyright.
Readers of Estimation and Inference in Econometrics may well be interested in our new book, Econometric Theory and Methods. It is a totally new book, not a second edition. The new book starts at a somewhat lower level than the old book, and the level increases gradually, so that the last few chapters are about as advanced as the later chapters of Estimation and Inference in Econometrics. The new book has a large number of exercises, solutions to some of which are available on the book's website.
If you encounter any difficulties, please report them via e-mail to James MacKinnon, whose e-mail address is jgm [AT] econ.queensu.ca. Russell Davidson's e-mail address is russell.davidson [AT] mcgill.ca.