by James Davidson

Econometric Theory presents a modern approach to the theory of econometric estimation and inference, with particular applications to time series. An ideal reference for practitioners and researchers, the book also is suited for advanced two-semester econometrics courses and one-semester regression courses.

Based on lectures originally given to graduates at the London School of Economics, the book applies recent developments in asymptotic theory to derive the properties of estimators when the model is only partially specified. Topics covered in depth include the linear regression model, dynamic modelling, simultaneous equations, optimization estimators, hypothesis testing, and the theory of nonstationary time series and cointegration.

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Typos and errors in the text that have come to light are listed in these PDF files, including a printer's error on page 454 of the reprinted edition (first printing is OK).Corrections included in 2001 reprint

Other corrections

If you find any others, please let me know.

• Table of Contents  
• Preface
• Chapter 1
• Chapter 7 (extract)
• Chapter 14 (extract)