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Economics 468

This course in econometrics is intended for all Honours students in Economics. Its aim is to make you conversant with modern econometric theory and practice. Mathematical prerequisites are reasonable, just enough to grasp the theoretical underpinnings of the subject. In particular, only a little calculus is used, but there is quite heavy emphasis on matrix algebra. The practical side of the course involves working with real data, and also conducting simulation experiments on the computer. Since simulation plays an increasingly important role in both econometric theory and practice, a good deal of emphasis is placed on it.

Course Outline

Course details and announcements:

The midterm exam took place on Wednesday October 19, in class.

The final exam will cover the first six chapters of the textbook, with the following exceptions:

The material covered will be through the end of Chapter 3 in the textbook. Each student may make use of one cheat sheet, possibly double-sided, for the exam.

Our TA is Vinh Nguyen. His office hours are on Wednesdays, first 8.30-9.30 in Leacock 111C, then 9.30-10.30, in Leacock 111E. He maintains a website for this course, which should be thought of as a supplement to this site. Here is a link to his site.

My own office hours, in the all-but-inaccessible Leacock building, office 507, are on Mondays, 18.00-19.30.


The principal textbook for the course is Econometric Theory and Methods, Russell Davidson and James G. MacKinnon, Oxford University Press. An older, and more advanced, book by the same authors and the same publisher is Estimation and Inference in Econometrics.

The new, improved, version of Chapter 4 can be found here. Note however that section 4.6 of the old textbook is not contained in this new version, since it has been moved to a different chapter. We will therefore cover section 4.6 from the old book.


A tutorial has been arranged, directed primarily towards the students in Economics 257, on the R software package, much used in statistical computing. It will be given by Eric Blachut, president of the Economics Students Association on Tuesday September 27, 18.00-19.30, in Arts 145. Students from 468 are also welcome.

For those of you who may be having trouble with available software for running regressions, simulations, etc.,
you might like to try my own software, Ects. The documentation is available, not all but most of it in English, all of it in French. For ease, you can find the first volume here (in English), and the second volume here.


Although assignments may be submitted on paper, it is much preferred for them to be emailed to Vinh Nguyen, our TA. They will be considered on time if the email is received by midnight on the due date.

The first assignment, dated September 21, can be found by following this link. It is due on October 3.

The second assignment, dated October 5, can be found at this link. It is due the day of the midterm, October 19.

The third assignment, dated November 14, can be found at this link. It is due on November 23.

Old midterm:

Here, by following this link, you will find last year's midterm. This year's exam will resemble it in broad outline.

Old final:

You will find by following this link an old final exam, that can be used as a practice exam for this year.

Solutions to assignments and exams:

Note that the solutions found here are admissible solutions to the assignments. You may have a quite different answer to some exercises and still be correct. Our TA does have access to the solutions, of course, and you may have to convince him that you are correct if your answer is very different!

By following this link, you will find my suggested solutions for this year's midterm.

The grades for assignments and exams can be found on Vinh's website. For reasons of confidentiality, you must enter your student ID in order to see your grades. Instructions can be found on the webpage.

In order to encourage the use of the Linux operating system, here is a link to an article by James MacKinnon, in which he gives valuable information about what software is appropriate for the various tasks econometricians wish to undertake.

To send me email, click here or write directly to Russell.Davidson@mcgill.ca.

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URL: http://russell-davidson.arts.mcgill.ca/e468