Econometric Theory and Methods
Author: Russell Davidson, James G. MacKinnon
List Price: $69.95
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ISBN: 0195123727
Publisher: Oxford University Press (November, 2003)
Sales Rank: 461,157
Average Customer Rating: 4.25 out of 5
Customer Reviews
Rating: 5 out of 5
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!
Rating: 2 out of 5
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.
Rating: 5 out of 5
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. Similar Products
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