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Econometric Theory and Methods: International Edition

Author

Listed:
  • Davidson, Russell

    (McGill University, Canada)

Abstract

Econometric Theory and Methods International Edition provides a unified treatment of modern econometric theory and practical econometric methods. The geometrical approach to least squares is emphasized, as is the method of moments, which is used to motivate a wide variety of estimators and tests. Simulation methods, including the bootstrap, are introduced early and used extensively. The book deals with a large number of modern topics. In addition to bootstrap and Monte Carlo tests, these include sandwich covariance matrix estimators, artificial regressions, estimating functions and the generalized method of moments, indirect inference, and kernel estimation. Every chapter incorporates numerous exercises, some theoretical, some empirical, and many involving simulation.

Suggested Citation

  • Davidson, Russell, 2009. "Econometric Theory and Methods: International Edition," OUP Catalogue, Oxford University Press, number 9780195391053.
  • Handle: RePEc:oxp:obooks:9780195391053
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    Cited by:

    1. repec:taf:teepxx:v:7:y:2018:i:1:p:85-115 is not listed on IDEAS
    2. Muhammad Asali & Aamer S. Abu‐Qarn & Michael Beenstock, 2017. "The cycle of violence in the Second Intifada: Causality in nonlinear vector autoregressive models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(6), pages 1197-1205, September.
    3. Haakon Kavli & Kevin Kotzé, 2014. "Spillovers in Exchange Rates and the Effects of Global Shocks on Emerging Market Currencies," South African Journal of Economics, Economic Society of South Africa, vol. 82(2), pages 209-238, June.
    4. Csereklyei, Zsuzsanna, 2014. "Measuring the impact of nuclear accidents on energy policy," Ecological Economics, Elsevier, vol. 99(C), pages 121-129.
    5. Monika Nováčková & Richard S. J. Tol, 2018. "Effects of sea level rise on economy of the United States," Journal of Environmental Economics and Policy, Taylor & Francis Journals, vol. 7(1), pages 85-115, January.
    6. Zsuzsanna Csereklyei & Stefan Humer, 2012. "Modelling Primary Energy Consumption under Model Uncertainty," Department of Economics Working Papers wuwp147, Vienna University of Economics and Business, Department of Economics.
    7. Reese, Simon & Li, Yushu, 2013. "Testing for Structural Breaks in the Presence of Data Perturbations: Impacts and Wavelet Based Improvements," Working Papers 2013:36, Lund University, Department of Economics.
    8. Schoenherr, Tobias & Wagner, Stephan M., 2016. "Supplier involvement in the fuzzy front end of new product development: An investigation of homophily, benevolence and market turbulence," International Journal of Production Economics, Elsevier, vol. 180(C), pages 101-113.
    9. Raimonds Lieksnis, 2010. "Evaluating the Financial Performance of Latvian and Estonian Second-Pillar Pension Funds," Research in Economics and Business: Central and Eastern Europe, Tallinn School of Economics and Business Administration, Tallinn University of Technology, vol. 2(2).
    10. Blazsek, Szabolcs & Escribano, Alvaro, 2016. "Patent propensity, R&D and market competition: Dynamic spillovers of innovation leaders and followers," Journal of Econometrics, Elsevier, vol. 191(1), pages 145-163.
    11. Hwang, In Chang, 2013. "Anthropogenic drivers of carbon emissions: scale and counteracting effects," MPRA Paper 52224, University Library of Munich, Germany.
    12. Stefan Humer & Csereklyei, Z., 2012. "Modelling long-run energy consumption under model uncertainty," EcoMod2012 4374, EcoMod.

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