计量经济学 理论与方法 Econometric Theory and Methods
Econometric Theory and MethodsBy Russell Davidson, James G. MacKinnon,
Publisher:Oxford University Press, USA
Number Of Pages:768
Publication Date:2003-10-10
Sales Rank:258468
ISBN / ASIN:0195123727
EAN:9780195123722
Binding:Hardcover
Manufacturer:Oxford University Press, USA
Studio:Oxford University Press, USA
Average Rating:4
Total Reviews:5
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Book Description: )
Econometric Theory and Methods provides an excellent starting point for graduate-level econometrics. The comprehensive, well-organized and carefully written introductory text includes all of the major subjects of modern econometrics. The book relies on concepts rather than alegbra, and the authors have a real gift for selection of the right level of computation in nonlinear models, of generalized method of moments, and of random number generation. One unique feature of this book will be discussion of the bootstrap in a number of chapters. The bootstrap provides a way to make inferences in a wide variety of econometric models. A good introduction of bootstrap inference will aid students in understanding inference based on exact and asymptotic distributions as well.
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Date: 2007-01-09Rating: 3
Review:
Insufficient explanations/background info for an intermediate text.
I took the econometrics class from Davidson at McGill University that used this book, and it was not the best learning experience. This book is a good, rigorous \"reference\" text, with good definitions, for someone with a really solid knowledge of the subject, who wants an in-depth reference on matrix-based approach to econometrics. Or you just need a teacher who explains all the concepts and derivations in great detail and provides examples and solutions (which Davidson did not do in class or in this textbook). The text itself does not contain explanations of the material, so unless this is your 2nd or 3rd graduate-level econometrics class, expect to need several more accessible backup/background texts/teachers.
Date: 2004-03-11Rating: 5
Review:
Best buy
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!
Date: 2004-01-22Rating: 2
Review:
Hayashi Much Better
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.
Date: 2004-01-10Rating: 5
Review:
The best so far!
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.
Date: 2003-12-18Rating: 5
Review:
Excellent revision of a classic
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!
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