Econometric Theory and Methods - Hardcover

Davidson, Russell; MacKinnon, James G.

Hardcover

ISBN 10: 0195123727 ISBN 13: 9780195123722

Publisher: Oxford University Press, 2003

Synopsis

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
·Unified Approach: New concepts are linked to old ones whenever possible, and the notation is consistent both within and across chapters wherever possible.
·Geometry 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.
·Modern Concepts Introduced Early: These include the bootstrap (Chapter 4), sandwich covariance matrices (Chapter 5), and artificial regressions (Chapter 6).
·Inclusive 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.
·Advanced 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.
·Chapter 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.

About this title

About the Author

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).

Review

"This is a first class book, modern in conception and flawless in execution. The coverage is superb and it does things that many other books do not do or do not do adequately."--Richard E Quandt, Princeton University

"An excellent book that stands on its own in terms of approach."--Thanasis Stengos, University of Guelph, Canada

"This book teaches the core of econometric theory...with all of the fluency and didactic elegance that we have come to expect of its two authors....One of the book's outstanding features is its carefully constructed exercises which serve to reaffirm the concepts expounded it is chapters. The
book has an elegant architecture, and it has been written with close attention to detail. In comparison, most other books that have a similar purpose look like mere agglomerations of econometric building materials. This is the best textbook of econometric theory to have emerged in a long while; and
it deserves to find a place on the bookshelf of every instructor. It is bound to find favour with the students."--D.S.G. Pollock, University of London, UK

Edition details

• Publisher: Oxford University Press
• Publication date: 2003
• ISBN 10: 0195123727
• ISBN 13: 9780195123722
• Binding: Hardcover
• Language: English
• Number of pages: 768