Econometric Theory

Rating:
Summary: An excellent tome, but ...
Review: ... but there is a mathematical error on page 347. Two plus two make five, not four, as Professor Davidson claims. Otherwise, not a bad effort.

Rating:
Summary: Painful to read
Review: I don't see how it can be an ideal reference for practitioners and researchers as claimed in the editorial note. For practitioners, all the results have to be easily looked-up. For the researchers, the books has to be theorectical and advanced. You won't find these in this book. The author is very genious and tries very hard to explain the ideas and logics behind the scence. But the wordings are vague in some stage that it really very difficult to follow. Why can't he just express them in precise mathematical form? There are a lot printing mistakes and some are critical. However, this book is full of insights if you can pick up them. Good luck!

Rating:
Summary: An Excellent first Step for Modelling Time Series.
Review: The book contains the classic topics in econometric theory regression, inference, etc, but the goal of this book is that the book is an introduction to the actual econometric methods for modeling time series, I recommended read this book before the book of hendry (Dynamic econometrics), the book not have exercises, the books includes all classical models in dynamical forms and also the chapters of optimization are very illustrative of the techniques in estimation with Maximun Likelihood, the book needs work but the recompense is great.