Econometric Theory and Methods by MacKinnon, James G.

Econometric Theory and Methods

Econometric Theory and Methods provides a unified treatment of modern econometric theory and practical econometric methods. The...
$754.95 AUD
$754.95 AUD
SKU: 9780195123722
Product Type: Books
Please hurry! Only 0 left in stock
Author: James G. MacKinnon
Format: Hardcover
Language: English
Subtotal: $754.95
10 customers are viewing this product
Econometric Theory and Methods by MacKinnon, James G.

Econometric Theory and Methods

$754.95

Econometric Theory and Methods

$754.95
Author: James G. MacKinnon
Format: Hardcover
Language: English
Econometric Theory and Methods 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.
Econometric Theory and Methods is designed for beginning graduate courses. The book is suitable for both one- and two-term courses at the Masters or Ph.D. level. It can also be used in a final-year undergraduate course for students with sufficient backgrounds in mathematics and statistics.

FEATURES

-Unified Approach: New concepts are linked to old ones whenever possible, and the notation is consistent both within and across chapters wherever possible.

-Geometry of Ordinary Least Squares: Introduced in Chapter 2, this method provides students with valuable intuition and allows them to avoid a substantial amount of tedious algebra later in the text.

-Modern Concepts Introduced Early: These include the bootstrap (Chapter 4), sandwich covariance matrices (Chapter 5), and artificial regressions (Chapter 6).

-Inclusive Treatment of Mathematics: Mathematical and statistical concepts are introduced as they are needed, rather than isolated in appendices or introductory chapters not linked to the main body of the text.

-Advanced Topics: Among these are models for duration and count data, estimating equations, the method of simulated moments, methods for unbalanced panel data, a variety of unit root and cointegration tests, conditional moment tests, nonnested hypothesis tests, kernel density regression, and kernel regression.

-Chapter Exercises: Every chapter offers numerous exercises, all of which have been answered by the authors in the Instructor's Manual. Particularly challenging exercises are starred and their solutions are available at the authors' website, providing a way for instructors and interested students to cover advanced material.


Author: James G. MacKinnon, Russell Davidson
Publisher: Oxford University Press, USA
Published: 10/01/2003
Pages: 768
Binding Type: Hardcover
Weight: 2.69lbs
Size: 9.74h x 6.34w x 1.56d
ISBN: 9780195123722

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).

Returns Policy

You may return most new, unopened items within 30 days of delivery for a full refund. We'll also pay the return shipping costs if the return is a result of our error (you received an incorrect or defective item, etc.).

You should expect to receive your refund within four weeks of giving your package to the return shipper, however, in many cases you will receive a refund more quickly. This time period includes the transit time for us to receive your return from the shipper (5 to 10 business days), the time it takes us to process your return once we receive it (3 to 5 business days), and the time it takes your bank to process our refund request (5 to 10 business days).

If you need to return an item, simply login to your account, view the order using the "Complete Orders" link under the My Account menu and click the Return Item(s) button. We'll notify you via e-mail of your refund once we've received and processed the returned item.

Shipping

We can ship to virtually any address in the world. Note that there are restrictions on some products, and some products cannot be shipped to international destinations.

When you place an order, we will estimate shipping and delivery dates for you based on the availability of your items and the shipping options you choose. Depending on the shipping provider you choose, shipping date estimates may appear on the shipping quotes page.

Please also note that the shipping rates for many items we sell are weight-based. The weight of any such item can be found on its detail page. To reflect the policies of the shipping companies we use, all weights will be rounded up to the next full pound.

Related Products

Recently Viewed Products