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Title: Estimation and Inference in Econometrics by Russell Davidson, James G. MacKinnon ISBN: 0-19-506011-3 Publisher: Oxford University Press Pub. Date: 01 January, 1993 Format: Hardcover Volumes: 1 List Price(USD): $65.00 |
Average Customer Rating: 4 (12 reviews)
Rating: 5
Summary: No one like this
Comment: It's a nice piece of work.
There is no one like this.
The only problem is the way the contents are presented. There is no a logical order that help us in a course. I agree that there is not a clear structured inside the chapters or in the entire work. But this is the book that reach the deepest point being readable. Another books are better structured or more intutive but too superficial or old-fashioned.
With the modern computers and software the old classical books based on small sample theory are unsuitable. Davidson and MacKinnon point us to the econometry of the future.
It would be a good idea to combine this book with Berndt's one on applied econometrics, plus a good software like Stata 8 or matrix-based programming software like MATLAB.
That's the best way to access the econometry.
Rating: 5
Summary: An Excellent Book
Comment: This is one of the best books on econometrics published in the past few years. The authors use the theory of vector spaces (projection operators in a Euclidian space) to show how the intuition behind the General Linear Model extends in a natural way to more complex nonlinear models. The authors demonstrate that sophisticated maximum likelihood (or simulated maximum likelihood) estimation algorithms are essentially repeated applications of the linear projection operators seen in regression context. The result is a unified theory of econometrics which takes readers from a "cookbook" level of statistical sophistication to a more mature "model building" orientation.
In short, this is one of the most refreshing treatments of econometrics I've seen in many years. University instructors -- particulary those teaching doctoral level courses -- should seriously consider adopting this as a text.
Rating: 5
Summary: Much Better Than Green's In Terms of Quality and Price.
Comment: Green's textbook was the assigned text when I took my econometrics sequence. Like many others, I found it not well written and the explanations are pretty bad. Also, Green's is priced sky-high (around $100 for a brand new copy).
Davidson and MacKinnon is different. Both expositions and explanations are clear and easy to follow. I was so delighted after picking up a copy from the libarary. This is the one econometrics students should have. The price is also hard to beat. The reason I think it is not widely adopted is because of the geometric analysis of regression (Chapter 2). But if you don't like geometrics, you can simply skip it.
An improved version of this book is just published under the new title "Econometric Theory and Methods". This new version contains a chapter on unit-root and cointegration, as well as some new numerical methods. I urge interested buyers to take a look at the new version.
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Title: Econometric Analysis of Cross Section and Panel Data by Jeffrey M. Wooldridge ISBN: 0262232197 Publisher: MIT Press Pub. Date: 01 October, 2001 List Price(USD): $75.00 |
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Title: Advanced Econometrics by Takeshi Amemiya ISBN: 0674005600 Publisher: Harvard University Press Pub. Date: 01 October, 1985 List Price(USD): $65.00 |
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Title: Econometric Analysis by William H. Greene, William H Greene ISBN: 0130661899 Publisher: Prentice Hall Pub. Date: 22 August, 2002 List Price(USD): $130.00 |
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Title: Solutions Manual for Recursive Methods in Economic Dynamics by Claudio Irigoyen, Esteban Rossi-Hansberg, Mark L. J. Wright ISBN: 067400888X Publisher: Harvard University Press Pub. Date: 01 January, 2003 List Price(USD): $42.00 |
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Title: Time Series Analysis by James D. Hamilton ISBN: 0691042896 Publisher: Princeton University Press Pub. Date: 11 January, 1994 List Price(USD): $85.00 |
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