Estimation and Inference in Econometrics

Russell Davidson was born in Johnstone, Scotland, and studied at the University of Glasgow, where he gained a PhD. in Physics in 1966. He was a Faculty Associate at the University of Texas, Austin from 1967-70. He turned to economics in the early 1970s and took a PhD. in economics at the University of British Columbia in 1977 and was a Post-doctoral Fellow there from 1972-3. He was Assistant Professor at Queen's University, Canada, from 1977-82 and Associate Professor there from 1982-5. James MacKinnon studied at York University, Toronto, and Princeton University. He was Assistant Professor at Queen's University, Canada, from 1975-8 and Associate Professor from 1982-91. He has been a Fellow of the Econometric Society since 1990.

`Excellent reference text on econometrics.'Ron Smith, Birkbeck College, London

• 1. The Geometry of Least Squares ; 2. Nonlinear Regression Models and Nonlinear Least Squares ; 3. Inference in Nonlinear Regression Models ; 4. Introduction to Asymptotic Theory and Methods ; 5. Asymptotic Methods and Nonlinear Least Squares ; 6. The Gauss-Newton Regression ; 7. Instrumental Variables ; 8. The Method of Maximum Likelihood ; 9. Maximum Likelihood and Generalized Least Squares ; 10. Serial Correlation ; 11. Tests Based on the Gauss-Newton Regression ; 12. Interpreting Tests in Regression Directions ; 13. The Classical Hypothesis Tests ; 14. Transforming the Dependent Variable ; 15. Qualitative and Limited Dependent Variables ; 16. Heteroskedasticity and Related Topics ; 17. The Generalized Method of Moments ; 18. Simultaneous Equations Models ; 19. Regression Models for Time-Series Data ; 20. Unit Roots and Cointegration ; 21. Monte Carlo Experiments