Enter your mobile number below and we'll send you a link to download the free Kindle App. Then you can start reading Kindle books on your smartphone, tablet, or computer - no Kindle device required.
Getting the download link through email is temporarily not available. Please check back later.

  • Apple
  • Android
  • Windows Phone
  • Android

To get the free app, enter your mobile phone number.

Econometric Theory and Methods

4.3 out of 5 stars 9 customer reviews
ISBN-13: 978-0195123722
ISBN-10: 0195123727
Why is ISBN important?
ISBN
This bar-code number lets you verify that you're getting exactly the right version or edition of a book. The 13-digit and 10-digit formats both work.
Scan an ISBN with your phone
Use the Amazon App to scan ISBNs and compare prices.
Trade in your item
Get a $34.25
Gift Card.
Have one to sell? Sell on Amazon
Rent On clicking this link, a new layer will be open
$31.75 On clicking this link, a new layer will be open
Buy used On clicking this link, a new layer will be open
$71.20 On clicking this link, a new layer will be open
Buy new On clicking this link, a new layer will be open
$125.95 On clicking this link, a new layer will be open
More Buying Choices
20 New from $59.95 40 Used from $48.00
Free Two-Day Shipping for College Students with Prime Student Free%20Two-Day%20Shipping%20for%20College%20Students%20with%20Amazon%20Student


$125.95 FREE Shipping. Only 12 left in stock (more on the way). Ships from and sold by Amazon.com. Gift-wrap available.
click to open popover

Frequently Bought Together

  • Econometric Theory and Methods
  • +
  • Econometrics
Total price: $225.95
Buy the selected items together

Editorial Reviews

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

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).
NO_CONTENT_IN_FEATURE

New York Times best sellers
Browse the New York Times best sellers in popular categories like Fiction, Nonfiction, Picture Books and more. See more

Product Details

  • Hardcover: 768 pages
  • Publisher: Oxford University Press (October 16, 2003)
  • Language: English
  • ISBN-10: 0195123727
  • ISBN-13: 978-0195123722
  • Product Dimensions: 9.4 x 1.5 x 6.3 inches
  • Shipping Weight: 2.6 pounds (View shipping rates and policies)
  • Average Customer Review: 4.3 out of 5 stars  See all reviews (9 customer reviews)
  • Amazon Best Sellers Rank: #705,466 in Books (See Top 100 in Books)

Customer Reviews

Top Customer Reviews

Format: Hardcover
Of several graduate econometric textbooks I've read so far, this is the best. Compared to Greene (2003), its explanations are much clearer and its mathematical results are adequately derived. Compared to Johnston & Dinardo (1997), its coverage is more complete. Compared to Hayashi (2000), its discussion of IV method is more explicit. To be fair, however, Hayashi is also extemely well-written.
Comment 16 people found this helpful. Was this review helpful to you? Yes No Sending feedback...
Thank you for your feedback.
Sorry, we failed to record your vote. Please try again
Report abuse
Format: Hardcover Verified Purchase
This is a very good introductory econometrics textbook for the mathematically well-prepared. No prior knowledge of econometrics or statistics is assumed, and the discussion of the necessary probability and statistics concepts is integrated into the main text rather than being relegated to appendices. All you need to read this book is a good knowledge of linear algebra and calculus. Once you finish it you will have a firm grasp of the basic methods and models used by econometricians and be prepared for going to more advanced sources like Wooldridge's Econometric Analysis of Cross Section and Panel Data or Hamilton's Time Series Analysis

Throughout the book Davidson and MacKinnon focus on developing intuition rather than on mechanical calculation. In particular, their geometric approach to ordinary least squares estimation is a must read. By focussing on the geometry and making clever use of the Frisch-Waugh-Lovell theorem, they make the properties of OLS very intuitive. Many of the standard results usually proved by opaque matrix algebra in other books, become clear and easy to prove in this framework.

The book also has the advantage of covering topics like GMM estimation, the bootstrap and numerical methods that cannot be found in older textbooks.

Yet, I have three quibbles with this book.

The first, minor one, is that its treatment of time series methods is too short, and unlike the rest of the book tries to trade off depth for breadth.
Read more ›
1 Comment 9 people found this helpful. Was this review helpful to you? Yes No Sending feedback...
Thank you for your feedback.
Sorry, we failed to record your vote. Please try again
Report abuse
Format: Hardcover
Definitely the best and clearest book so far on this subject!! Written by a real top expert in this field (I took his course, the best eco. course I have taken). Much better than Green's book. If you are a serious graduate student in economics and management, especially those of you who are pursuing a PhD instead of only taking a course, it is the best for you. In-depth! Also frankly, it is not for a vaint brain and a guy with weak background.
Only with this book and Johnston & Dinardo's, read and enjoy, then you will understand econometrics absolute confidently.
Don't wast your money on other books!
Comment 9 people found this helpful. Was this review helpful to you? Yes No Sending feedback...
Thank you for your feedback.
Sorry, we failed to record your vote. Please try again
Report abuse
By A Customer on December 18, 2003
Format: Hardcover
This new book is not a second edition of the classic 1993 book, but neither is it an `all new' one. Now the book is clearer and it is easier to build a Graduate Course using this reference. There are not considerable new topics. I think this 2004 edition should be considered a mere `lifting'. But it is worth the price. Work with this edition!
Comment 8 people found this helpful. Was this review helpful to you? Yes No Sending feedback...
Thank you for your feedback.
Sorry, we failed to record your vote. Please try again
Report abuse
By A Customer on January 22, 2004
Format: Hardcover
Campared to Hayashi, Davidson and Mackinnon's book is too "prose-like" and this style in my opinion isn't pedagogically suited for a first serious look into econometrics beyond the undergrad level. A model's assumptions and relevant properties are scattered throughout a chapter, burried in paragraphs, which can be annoying or even comfusing when you need to reference back. Hayashi, on the other hand, presents models with clear listed assumptions, propositions, relevant derivations. DM's book is in my opinion extremely pedagogically inferior in this sense.
However, there're still things you may take away from this book. For example, they present the classical regression model in the framework of matrix project, subspaces, etc., which is not usually treated this way in other texts. This approach makes many tedious matrix manipulation easier.
In my opinion, if you are looking for your first metrics book beyond the undergrad level, definately go for Hayashi first. This is simply the BEST book in terms of learning. For some more depth and alternative pespective, then consider this one.
Comment 13 people found this helpful. Was this review helpful to you? Yes No Sending feedback...
Thank you for your feedback.
Sorry, we failed to record your vote. Please try again
Report abuse

Set up an Amazon Giveaway

Econometric Theory and Methods
Amazon Giveaway allows you to run promotional giveaways in order to create buzz, reward your audience, and attract new followers and customers. Learn more about Amazon Giveaway
This item: Econometric Theory and Methods

What Other Items Do Customers Buy After Viewing This Item?