Econometric Theory and Methods provides a unified treatment of modern econometric theory and practical econometric methods. The geometrical approach to least squares is emphasized, as is the method of moments, which is used to motivate a wide variety of estimators and tests. Simulation methods, including the bootstrap, are introduced early and used extensively.
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, indirect inference, and kernel estimation. Every chapter incorporates numerous exercises, some theoretical, some empirical, and many involving simulation.
Econometric Theory and Methods is designed for beginning graduate courses. The book is suitable for both one- and two-term courses at the Masters or Ph.D. level. It can also be used in a final-year undergraduate course for students with sufficient backgrounds in mathematics and statistics.
FEATURES
BLUnified Approach: New concepts are linked to old ones whenever possible, and the notation is consistent both within and across chapters wherever possible.
BLGeometry of Ordinary Least Squares: Introduced in Chapter 2, this method provides students with valuable intuition and allows them to avoid a substantial amount of tedious algebra later in the text.
BLModern Concepts Introduced Early: These include the bootstrap (Chapter 4), sandwich covariance matrices (Chapter 5), and artificial regressions (Chapter 6).
BLInclusive Treatment of Mathematics: Mathematical and statistical concepts are introduced as they are needed, rather than isolated in appendices or introductory chapters not linked to the main body of the text.
BLAdvanced Topics: Among these are models for duration and count data, estimating equations, the method of simulated moments, methods for unbalanced panel data, a variety of unit root and cointegration tests, conditional moment tests, nonnested hypothesis tests, kernel density regression, and kernel regression.
BLChapter Exercises: Every chapter offers numerous exercises, all of which have been answered by the authors in the Instructor's Manual. Particularly challenging exercises are starred and their solutions are available at the authors' website, providing a way for instructors and interested students to cover advanced material.
"synopsis" may belong to another edition of this title.
RUSSELL DAVIDSON holds the Canada Research Chair in Econometrics at McGill University in Montreal. He also teaches at GREQAM in Marseille and previously taught for many years at Queen's University. He has a Ph.D. in Physics from the University of Glasgow and a Ph.D. in Economics from the University of British Columbia. Professor Davidson is a Fellow of the Econometric Society and the author of many scientific papers. He is the coauthor of Estimation and Inference in Econometrics (OUP, 1993).
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 obtaining his Ph.D. from Princeton University in 1975. He is a Fellow of the Econometric Society and of the Royal Society of Canada and a past President of the Canadian Economics Association (2001-2002). Professor MacKinnon has written more than seventy journal articles and book chapters, and he is the coauthor of Estimation and Inference in Econometrics (OUP, 1993).
"About this title" may belong to another edition of this title.
FREE shipping within U.S.A.
Destination, rates & speedsSeller: BooksRun, Philadelphia, PA, U.S.A.
Hardcover. Condition: Very Good. Ship within 24hrs. Satisfaction 100% guaranteed. APO/FPO addresses supported. Seller Inventory # 0195123727-8-1
Quantity: 1 available
Seller: Goodwill, Brooklyn Park, MN, U.S.A.
Condition: Good. There is handwriting, stickers or numbers inside the front cover Cover/Case has some rubbing and edgewear. Access codes, CDs, slipcovers and other accessories may not be included. Seller Inventory # 2Y6RVS004AOK_ns
Quantity: 1 available
Seller: Bay State Book Company, North Smithfield, RI, U.S.A.
Condition: good. The book is in good condition with all pages and cover intact, including the dust jacket if originally issued. The spine may show light wear. Pages may contain some notes or highlighting, and there might be a "From the library of" label. Boxed set packaging, shrink wrap, or included media like CDs may be missing. Seller Inventory # BSM.KF9S
Quantity: 1 available
Seller: Goodwill Books, Hillsboro, OR, U.S.A.
Condition: Acceptable. Fairly worn, but readable and intact. If applicable: Dust jacket, disc or access code may not be included. Seller Inventory # 3IIK0I0045FR
Quantity: 1 available
Seller: Better World Books, Mishawaka, IN, U.S.A.
Condition: Very Good. Used book that is in excellent condition. May show signs of wear or have minor defects. Seller Inventory # 39948071-75
Quantity: 4 available
Seller: Better World Books, Mishawaka, IN, U.S.A.
Condition: Good. Used book that is in clean, average condition without any missing pages. Seller Inventory # 323821-75
Quantity: 2 available
Seller: TextbookRush, Grandview Heights, OH, U.S.A.
Condition: Very Good. Ships SAME or NEXT business day. We Ship to APO/FPO addr. Choose EXPEDITED shipping and receive in 2-5 business days within the United States. See our member profile for customer support contact info. We have an easy return policy. Seller Inventory # 55137581
Quantity: 2 available
Seller: TextbookRush, Grandview Heights, OH, U.S.A.
Condition: Good. Ships SAME or NEXT business day. We Ship to APO/FPO addr. Choose EXPEDITED shipping and receive in 2-5 business days within the United States. See our member profile for customer support contact info. We have an easy return policy. Seller Inventory # 55137618
Quantity: 1 available
Seller: Bulrushed Books, Moscow, ID, U.S.A.
Condition: Good. Good or better condition. Pages have scattered marks and notes, but completely legible, binding is good. Covers mostly clean, minor scuffing or stickers. Solid reading copies. Ships fast! Seller Inventory # #28B-00286
Quantity: 1 available
Seller: Textbooks_Source, Columbia, MO, U.S.A.
hardcover. Condition: Good. Ships in a BOX from Central Missouri! May not include working access code. Will not include dust jacket. Has used sticker(s) and some writing or highlighting. UPS shipping for most packages, (Priority Mail for AK/HI/APO/PO Boxes). Seller Inventory # 000623037U
Quantity: 10 available