Econometric Theory and Methods (International Edition)

ISBN : 9780195391053

Russell Davidson
768 Pages
174 x 234 mm
Pub date
Apr 2009
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Econometric Theory and Methods International Edition 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. 


Data, Solutions, and Corrections
1. Regression Models
2. The Geometry of Linear Regression
3. The Statistical Properties of Ordinary Least Squares
4. Hypothesis Testing in Linear Regression Models
5. Confidence Intervals
6. Nonlinear Regression
7. Generalized Least Squares and Related Topics
8. Instrumental Variables Estimation
9. The Generalized Methods of Moments
10. The Method of Maximum Likelihood
11. Discrete and Limited Dependent Variables
12. Multivariate Models
13. Methods for Stationary Time-Series Data
14. Unit Roots and Cointegration
15. Testing the Specification of Econometric Methods
Author Index
Subject Index

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).

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