Econometric Theory

James Davidson is Professor of Econometrics at Cardiff University. Contributor and referee for a number of leading research journals, Davidson is the author of Stochastic Limit Theory (1994). With an MSc in Econometrics and Mathematical Economics from the London School of Economics, he has taught at the University of Warwick, the London School of Economics, the University of California-San Diego, and the University of Wales, Aberystwyth.

"Davidson's book is a well-written introduction to the state of the art in econometric theory. It will be useful both as a text for advanced econometrics courses and as a reference source for econometricians. It provides a thorough treatment of the asymptotic analysis of the linear regression model, time series models, nonlinear optimization estimators, unit roots, and cointegration." Bruce E. Hansen, University of Wisconsin-Madison "The systematic use of the conditional expectation approach to modelling throughout the text will provide readers with many useful insights. It is a very good and thought-provoking book. Much can be learnt from it, even by 'experts.' Leonard Gill, University of Manchester "The book is stong on linear dynamic modelling of time series and has an excellent coverage of recent developments in econometrics for non-stationery time series. Cointegration theory is given a comprehensive and clear treatment, including an exposition of the underlying probability background - stockastic processes on function spaces, Brownian motion and so on - which I found to enhance understanding considerably. This will be a useful book, particularly to those teaching advanced courses in time-series econometrics. Overall, it is a fine and well-written piece of work.Times Higher Education Supplement

• Figures xvSymbols and Abbreviations xviPreface xxPart I: Basic Regression Theory 11. The Linear Regression Model 32. Statistical Analysis of the Regression Model 173. Asymptotic Analysis of the Regression Model 37Part II: Dynamic Regression Theory 574. Modelling Economic Time Series 595. Principles of Dynamic Modelling 846. Asymptotics for Dynamic Models 1197. Estimation and Testing 1408. Simultaneous Equations 172Part III: Advanced Estimation Theory 1979. Optimization Estimators I: Theor 19910. Optimization Estimators II: Examples 23411. The Method of Maximum Likelihood 26212. Testing Hypotheses 28313. System Estimation 308Part IV: Cointegration Theory 33514. Unit Roots 33715. Cointegrating Regression 36016. Cointegrated Systems 388Part V: Technical Appendices 427A. Matrix Algebra Basics 429B. Probability and Distribution Theory 441C. The Gaussian Distribution and Its Relatives 461References 469Author Index 485Subject Index 489