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

Russell Davidson and James G. MacKinnon

Estimation and Inference in Econometrics

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, Estimation and Inference in Econometrics, New York, Oxford University Press, 1993. ISBN 0-19-506011-3.

Read or download Estimation and Inference in Econometrics.

If you already have a copy of the book, you may be interested in what follows. If not, simply download the book and ignore everything below.

A short Supplement to the book is now available. It is included in the downloadable PDF for the book itself.

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.

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.

Obtaining All Needed Corrections
There is an easy way to obtain every page that has been corrected since your copy was printed. The directory "update" contains files with names of the form update[x].pdf, where x = 1, 2, 3, 4, 5, 6, 7, or 9. For example, the file update3.pdf is a PDF file that contains every page corrected since the third printing. There are no update8 files because the seventh and eighth printings were identical. For a similar reason, there are no update10 files.

Copyright Notice
The book itself, the Supplement, and all the corrections are copyright (C) by the authors. However, they may be freely downloaded.

Readers of Estimation and Inference in Econometrics may well be interested in our newer book, Econometric Theory and Methods. It is a totally new book, not a second edition. The newer 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 mackinno [AT] queensu.ca. Russell Davidson's e-mail address is russell.davidson [AT] mcgill.ca.

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