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Econometric Theory and Methods International Edition Paperback – 26 Dec 2008

4.0 out of 5 stars 3 customer reviews

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Product details

  • Paperback: 768 pages
  • Publisher: Oxford University Press; International edition edition (26 Dec. 2008)
  • Language: English
  • ISBN-10: 0195391055
  • ISBN-13: 978-0195391053
  • Product Dimensions: 15.6 x 4.4 x 23.5 cm
  • Average Customer Review: 4.0 out of 5 stars  See all reviews (3 customer reviews)
  • Amazon Bestsellers Rank: 575,328 in Books (See Top 100 in Books)

Product Description


"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 --This text refers to the Hardcover edition.

About the Author

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 and Inference 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 of Estimation and Inference in Econometrics (OUP, 1993).

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Top Customer Reviews

Format: Paperback
Please use a discount factor when assessing my review at the Feb.2016 part. I was really mad, and I had yet to use the book intensively. Look more closely to remaining part.


Honestly I'm mad at the Oxford Univ. Press (OUP). This book had the makings to be the great bible of the econometrics subject.

The book has a decent amount of typos, some more severe than others, but that's to be expected when you write a book on this subject with 700 pages... You can compare with the Green's book. The latter has much more. The problem is that some lazy people at OUP decided to disregard the corrections the author have been making this last years. So, you get all the typos, since the first printing, when one would expect to get a revised edition. OUP please be more professional.

P.S: Make sure you don't by the 2009 printing of this edition. It's the same as the 1st printing of regular edition. It has taken me more than 3hr just to correct almost half of all the typos that are presented in the authors' site. OUP please go f@q yourselves. What @ssh( )les...

P.S.: Still doing some typo corrections. However, it's the first time I see a correction of a typo from a previous correction of a previous typo. Honestly, the authors could have done a better job... Losing my mind with these corrections. Also, I've never seen a typo list with so many euphemisms...

April 2016:
When I first bought the book I was expecting an exposition at the level of Hayashi's Econometrics. Unfortunately, it lacks many details. The book is too verbose as if trying to compensate for some mathematical 'details' which are hidden away. This is very annoying.
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Format: Hardcover

The BEST text for intermediate level Econometrics (final year undergrad/ Masters).

Clearly explains difficult concepts and intuitions.
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Format: Hardcover Verified Purchase
Excellent, exactly as described
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Most Helpful Customer Reviews on Amazon.com (beta)

Amazon.com: HASH(0x8fcaa510) out of 5 stars 9 reviews
16 of 16 people found the following review helpful
HASH(0x8fb63270) out of 5 stars The best so far! 10 Jan. 2004
By A Concerned Grad Student - Published on Amazon.com
Format: Hardcover
Of several graduate econometric textbooks I've read so far, this is the best. Compared to Greene (2003), its explanations are much clearer and its mathematical results are adequately derived. Compared to Johnston & Dinardo (1997), its coverage is more complete. Compared to Hayashi (2000), its discussion of IV method is more explicit. To be fair, however, Hayashi is also extemely well-written.
9 of 9 people found the following review helpful
HASH(0x8fb63858) out of 5 stars Clear and self-contained 30 Oct. 2008
By Jyotirmoy Bhattacharya - Published on Amazon.com
Format: Hardcover Verified Purchase
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.
9 of 10 people found the following review helpful
HASH(0x8fb63bc4) out of 5 stars Best buy 11 Mar. 2004
By McGillman - Published on Amazon.com
Format: Hardcover
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!
8 of 9 people found the following review helpful
HASH(0x8fb65108) out of 5 stars Excellent revision of a classic 18 Dec. 2003
By A Customer - Published on Amazon.com
Format: Hardcover
This new book is not a second edition of the classic 1993 book, but neither is it an `all new' one. Now the book is clearer and it is easier to build a Graduate Course using this reference. There are not considerable new topics. I think this 2004 edition should be considered a mere `lifting'. But it is worth the price. Work with this edition!
13 of 17 people found the following review helpful
HASH(0x8fb63e28) out of 5 stars Hayashi Much Better 22 Jan. 2004
By A Customer - Published on Amazon.com
Format: Hardcover
Campared to Hayashi, Davidson and Mackinnon's book is too "prose-like" and this style in my opinion isn't pedagogically suited for a first serious look into econometrics beyond the undergrad level. A model's assumptions and relevant properties are scattered throughout a chapter, burried in paragraphs, which can be annoying or even comfusing when you need to reference back. Hayashi, on the other hand, presents models with clear listed assumptions, propositions, relevant derivations. DM's book is in my opinion extremely pedagogically inferior in this sense.
However, there're still things you may take away from this book. For example, they present the classical regression model in the framework of matrix project, subspaces, etc., which is not usually treated this way in other texts. This approach makes many tedious matrix manipulation easier.
In my opinion, if you are looking for your first metrics book beyond the undergrad level, definately go for Hayashi first. This is simply the BEST book in terms of learning. For some more depth and alternative pespective, then consider this one.
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