Econometric Theory and Methods, by Russell Davidson and James G. MacKinnon, Oxford University Press, 2004

Richard Startz

Econometric Theory, 2005, vol. 21, issue 3, 647-652

Abstract: Teaching graduate econometrics means covering three different kinds of subject matter: a grounding in the theory of econometrics, a long laundry list of available econometric techniques, and an introduction to the fact that the practice of linking models and data is every bit as untidy as mathematical statistics is neat. I assign Econometric Theory and Methods (ETM) as a primary text in our first Ph.D. econometrics course. ETM is in charge of getting the students their theoretical grounding. I also assign Greene's excellent Econometric Analysis (2003) for its coverage of a long list of techniques. My laptop, EViews, and I, together with a whole lot of real data, are responsible for being untidy.

Date: 2005
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