Econometric Theory and Methods

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 andInference 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 ofEstimation and Inference in Econometrics (OUP, 1993).

"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." Stephen Pollock, Queen Mary College, University of London

• 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. GENERALISED LEAST SQUARES AND RELATED TOPICS; 8. INSTRUMENTAL VARIABLES ESTIMATION; 9. THE GENERALISED METHOD 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 MODELS