Hostname: page-component-848d4c4894-8kt4b Total loading time: 0 Render date: 2024-07-06T21:50:22.452Z Has data issue: false hasContentIssue false
  • English
  • Français

ECONOMETRIC THEORY, by James Davidson, Blackwell Publishers, 2000

Published online by Cambridge University Press:  06 June 2003

Alex Maynard
Alex Maynard
Affiliation:
University of Toronto
Get access Rights & Permissions [Opens in a new window]

Extract

Professor Davidson's Econometric Theory offers a clear, well written, graduate level econometrics textbook, which would be highly appropriate as the principal text for the second and/or third semester of a general Ph.D. econometrics sequence or for a specialized course on time series. It provides good reading material for anyone interested in deepening his or her understanding of econometrics and also a valuable reference source for econometricians. Although the book reviews the basics of multivariate regression, it is written at a level that requires either some degree of mathematical sophistication or prior familiarity with econometrics. As a result, it may be too advanced for a first semester Ph.D. course, except where students have strong preparation.

Type
BOOK REVIEWS
Information
Econometric Theory , Volume 19 , Issue 4 , August 2003 , pp. 665 - 674
Copyright
© 2003 Cambridge University Press

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

Andrews, D.W.K. (1987) Consistency in nonlinear econometric models: A generic uniform law of large numbers. Econometrica 55, 1465–1472.Google Scholar
Davidson, J. (1994) Stochastic Limit Theory. Oxford: Oxford University Press.
Dickey, D. & W. Fuller (1979) Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association 74, 427–431.Google Scholar
Elliot, G., T.J. Rothenberg, & J.H. Stock (1996) Efficient tests for an autoregressive unit root. Econometrica 64, 813–836.Google Scholar
Engle, R.F., D.F. Hendry, & J.F. Richard (1983) Exogeneity. Econometrica 51, 277–304.Google Scholar
Hamilton, J.D. (1994) Time Series Analysis. Princeton: Princeton University Press.
Hansen, B.E. (1992) Convergence to stochastic integrals for dependent heterogeneous processes. Econometric Theory 8, 489–500.Google Scholar
Heckman, J.J. (2001) Econometrics and empirical economics. Journal of Econometrics 100, 3–5.Google Scholar
Hurwitz, L. (1950) Least squares bias in time series. In T. Koopmans (ed.), Statistical Inference in Dynamic Economic Models, Cowles Commission Monograph 10. New York: Wiley.
Kwiatkowski, D., P.C.B. Phillips, P. Schmidt, & Y. Shin (1992) Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root? Journal of Econometrics 54, 159–178.Google Scholar
Nerlove, M. (1963) Returns to scale in electricity supply. In Measurement in Economics: Studies in Mathematical Economics and Econometrics in Memory of Yehuda Grunfeld. Stanford: Stanford University Press.
Newey, W.K. (1985) Maximum likelihood specification testing and conditional moment tests. Econometrica 53, 1047–1070.Google Scholar
Phillips, P.C.B. (1987) Towards a unified asymptotic theory for autoregression. Biometrika 74, 535–547.Google Scholar
Phillips, P.C.B. (1991) To criticize the critics: An objective Bayesian analysis of stochastic trends. Journal of Applied Econometrics 6, 333–364.Google Scholar
Phillips, P.C.B. & B.E. Hansen (1990) Statistical inference in instrumental variables regression with I(1) processes. Review of Economic Studies 57, 99–125.Google Scholar
Phillips, P.C.B. & C.C. Lee (1996) Efficiency gains from quasi-differencing under nonstationarity. In P. Robinson & M. Rosenblatt (eds.), Athens Conference on Applied Probability and Time Series. Vol. II, Time Series Analysis in Memory of E.J. Hannan, pp. 300–314. New York: Springer-Verlag.
Phillips, P.C.B. & M. Loretan (1991) Estimating long-run economic equilibria. Review of Economic Studies 58, 407–437.Google Scholar
Phillips, P.C.B. & S. Ouliaris (1990) Asymptotic properties of residual based tests for cointegration. Econometrica 58, 165–193.Google Scholar
Phillips, P.C.B. & P. Perron (1988) Testing for a unit root in time series regression. Biometrika 75, 335–346.Google Scholar
Phillips, P.C.B. & V. Solo (1992) Asymptotics for linear processes. Annals of Statistics 20, 971–1001.Google Scholar
Saikkonen, P. (1991) Asymptotically efficient estimation of cointegrating regressions. Econometric Theory 7, 1–21.Google Scholar
Sims, C.A. & H. Uhlig (1991) Understanding unit rooters: A helicopter tour. Econometrica 59, 1591–1599.Google Scholar
Stock, J. & M. Watson (1993) A simple estimator of cointegrating vectors in higher order integrated systems. Econometrica 61, 783–820.Google Scholar
Tauchen, G.E. (1985) Diagnostic testing and evaluation of maximum likelihood models. Journal of Econometrics 30, 415–443.Google Scholar
White, H. (1980) A heteroscedasticity-consistent covariance matrix estimator and a direct test for heteroscedasticity. Econometrica 48, 817–838.Google Scholar