Estimation and Inference in Econometrics
Russell Davidson, James G. MacKinnonWe soon realized that this plan had a fatal fl.aw. In order to write a book for the second course in econometrics, one must be confident of what will have been covered in the first course. Since there was not then, and is not now, a widely accepted standard syllabus for the first course in econometrics, we decided that we would have to start there. We therefore changed our plan, and this book now attempts to develop econometric theory from the ground up.
Readers are of course expected to have some acquaintance with elementary econometrics before starting, but no more than would be part of a typical undergraduate curriculum. They are also expected to have the mathematical maturity appropriate to graduate students in economics, although we do provide two appendices that cover the mathematical and statistical prerequisites for understanding the material.