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Econometric Theory and Methods, by Russell Davidson and James G. MacKinnon, Oxford University Press, 2004

Published online by Cambridge University Press:  22 April 2005

Richard Startz
Richard Startz
Affiliation:
University of Washington
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Extract

Teaching graduate econometrics means covering three different kinds of subject matter: a grounding in the theory of econometrics, a long laundry list of available econometric techniques, and an introduction to the fact that the practice of linking models and data is every bit as untidy as mathematical statistics is neat. I assign Econometric Theory and Methods (ETM) as a primary text in our first Ph.D. econometrics course. ETM is in charge of getting the students their theoretical grounding. I also assign Greene's excellent Econometric Analysis (2003) for its coverage of a long list of techniques. My laptop, EViews, and I, together with a whole lot of real data, are responsible for being untidy.

Type
BOOK REVIEW
Information
Econometric Theory , Volume 21 , Issue 3 , June 2005 , pp. 647 - 652
Copyright
© 2005 Cambridge University Press

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References

REFERENCES

Davidson, R. & J.G. MacKinnon (1993) Estimation and Inference in Econometrics. Oxford University Press.
Greene, W.H. (2003) Econometric Analysis, 5th ed. Prentice-Hall.
Hayashi, F. (2000) Econometrics. Princeton University Press.
Johnston, J. (1984) Econometric Methods, 3rd ed. McGraw-Hill.
Ruud, P. (2000) An Introduction to Classical Econometric Theory. Oxford University Press.
Wooldridge, J. (2003) Introductory Econometrics: A Modern Approach, 2nd ed. Thomson/South-Western.