Econometric Theory and Methods

by James G. MacKinnon, Russell Davidson

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.

Genres: Economics, Nonfiction, Mathematics

768 pages, Paperback

First published October 16, 2003

Reviews

[Rana Mallah · Rating 5 out of 5]

Before reading this textbook, I was effectively lost in the middle of many econometric methods that I could not connect together. In addition to that, my weak background in theoretical mathematics stood as a barrier to understanding econometric theory taught at my university.

This textbook is self-contained and assumes no mathematical knowledge beyond calculus, basic linear algebra and statistics. All mathematical methods that are needed are introduced within chapters in a very intuitive way. The book starts from the basics of econometric theory and progresses to derive and prove common methods used at PhD level. This is done with a rich discussion that leaves little space for confusion.

The book helped me develop my understanding such that I am now able to navigate different methods according to the problem at hand and assumptions that could be made. For example, it helped me have an intuitive understanding of what the weighting matrix should be for the feasible efficient GMM that I could always remember.

I would recommend reading all chapters of the book as they contain a common theme and draw a natural line of progression to help understand how everything connects together.

[Ali G · Rating 4 out of 5]

it was a hard book to read, especially regarding my not economics background. but after a while, I get used to the language and understanding.

[Berkeren Büyükeren · Rating 5 out of 5]

Great book! I read it during my MA

[David Burk · Rating 5 out of 5]

no applications (that I recall) but very worthwhile piece in your artillery

[Trần Tùng · Rating 4 out of 5]

Wonderful maths :D