About the Book
Offering students a unifying theoretical perspective, this innovative text emphasizes nonlinear techniques of estimation, including nonlinear least squares, nonlinear instrumental variables, maximum likelihood and the generalized method of moments, but nevertheless relies heavily on simple geometrical arguments to develop intuition. One theme of the book is the use of artificial regressions for estimation, inference, and specification testing of nonlinear models,
including diagnostic tests for parameter constancy, series correlation, heteroskedasticity and other types of misspecification. Other topics include the linear simultaneous equations model, non-nested
hypothesis tests, influential observations and leverage, transformations of the dependent variable, binary response models, models for time-series/cross-section data, multivariate models, seasonality, unit roots and cointegration, and Monte Carlo methods, always with an emphasis on problems that arise in applied work. Explaining throughout how estimates can be obtained and tests can be carried out, the text goes beyond a mere algebraic description to one that can be easily translated into the
commands of a standard econometric software package. A comprehensive and coherent guide to the most vital topics in econometrics today, this text is indispensable for all levels of students of
econometrics, economics, and statistics on regression and related topics.
Table of Contents:
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 Cointegratiaon
21: Monte Carlo Experiments
A. Matrix Algebra
B. Results from Probability Theory
References
Author Index
Subject Index
About the Author :
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.
Review :
"An important reference source for both the theoretical and applied researcher....More importantly, the authors' view of the areas presented is cohesive, and they provide an open-ended discussion, so that the book can serve as a source of research topics as well as a reference. From this standpoint, it is very good reading for a doctoral student....Davidson and MacKinnon's book is sure to have an impact on the way econometrics is taught; my hope is that the
geometric approach, widely and quite consistently used by the authors, will be adopted in the exposition of regression, illustration of the classical test statistics, and examination of test power.
Certainly, the tool of projection orthogonally to part of the regression space (the Frisch-Waugh-Lovell theorem) should be adopted more widely for its convenience in simplifying many derivations."--Econometric Theory
"Well-written advanced textbook in econometrics, suitable for seminar courses. With its lucid analysis, it emerges as an extremely useful tool for applied econometricians."--Madhu Mohanty, California State University
"Clearly written and makes clear a lot of links between different estimation procedures."--Curtis J. Simon, Clemson University
"Good coverage of standard econometric theory."--M.M. Ali, University of Kentucky
"Coverage of the geometry of least squares is excellent."--Doug Steigerwald, University of California, Santa Barbara
"This is a unique and fascinating book. It's the only econometrics textbook that has ever given me the urge to read it from cover to cover."--Stratford Douglas, West Virginia University
"A wonderful text. The book is comprehensive and has a most authoritative discussion of topics of current interest such as cointegration, nonlinear simultaneous equation models, specification testing, etc."--Sunil Sapra, California State University at Los Angeles
"Great book! Good reference for anyone wishing to get an overview of the state of the art. Good pace, topic selection, level of difficulty. Also, good use of notation."--Dean Allen Schiffman, University of California, San Diego
"This is the most up-to-date econometrics textbook. It deals with topics which were so far discussed only in journal articles....A must book for any higher level graduate econometrics course."--Professor Anil K. Bera, University of Illinois
"Extremely valuable in the sense that it balances the coverage between test of hypothesis and estimation. Most books treat test of hypothesis as a side issue. The book is well-contained and easy to read. An excellent textbook."--Choon-Geol Moon, Rutgers University
"Best book on the market, up to date, user-friendly--an excellent text and handy reference."--Paul McNelis, Georgetown University
"Very readable, as the authors appear to have taken the trouble to explain concepts and methods in some details, rather than simply rushing on to the next topic or referring the reader elsewhere...a most welcome addition, which is likely to get a great deal of use."--The Economic Journal
"Highly accessible and useful for an applied econometrician who wants an overview of new estimation and testing methods, as well as for an introductory-level or special topics course in econometrics....Useful for students and practitioners who use econometric software packages, as well as for those who develop their own estimation programs." --Journal of the American Statistical Association
"An outstanding coverage and analysis. A must for any graduate student and/or researcher."--Abdil Bashir, Grambling State University
