Econometric Theory and Methods

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.The second, bigger problem with this book is that it is entirely about econometric 'theory'. It teaches you how to find estimators and test statistics with good properties for particular models. But it does not train the student at all in the applied/methodological aspects of econometrics: given that I have a vague question about economic phenomena in mind, and given a bunch of data, how do I proceed? What questions can be meaningfully asked, how to choose between alternative models, how to present and interpret results, are questions that are given a short shrift in this book. Even data-based exercises are few and seem to have been reluctantly included.The third problem with this book is that it completely ignores the Bayesian approach to econometrics. Though this is in line with the general frequentist dominance of the econometrics profession, I feel that without at least an introduction to the Bayesian approach, the training of an econometrician will remain one-sided.The first two shortcomings of this book can be addressed by complementing it with Hayashi's  Econometrics . Many interesting papers on methodology can be found in the book  Modelling Economic Series  edited by Granger.

Provides an intuitive approach to econometrics through a geometric perspective early in the book - which is superb. The flow of the book feels natural and easy to follow. Highly recommended.

I took the econometrics class from Davidson at McGill University that used this book, and it was not the best learning experience. This book is a good, rigorous "reference" text, with good definitions, for someone with a really solid knowledge of the subject, who wants an in-depth reference on matrix-based approach to econometrics. Or you just need a teacher who explains all the concepts and derivations in great detail and provides examples and solutions (which Davidson did not do in class or in this textbook). The text itself does not contain explanations of the material, so unless this is your 2nd or 3rd graduate-level econometrics class, expect to need several more accessible backup/background texts/teachers.

good

Great book

Most thorough Econometrics book I've come across -- very linear-algebra heavy.

I'm pursuing a graduate degree in economics and this book strikes a great balance of readability and completeness. It doesn't contain detailed proofs for every claim it makes which I, for one, find beneficial. I think the organization is solid.

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!

El estado del producto es lo que yo esperaba.

A bit more advanced for a Master's level, but it helps to get your head wrapped around concepts.

Excellent, exactly as described

いくつか計量経済学の教科書を見てきたが、この本は上級計量経済学を目指す人たちにとても適している。行列を使いながら、その解釈を丁寧にしてくれた。すべてのテーマを網羅してないが、いくつかのアドバンスな方法を十分に紹介し、わかりやすく説明している。前作に引き続き、友達に紹介しても恥ずかしくない一作です。