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 date for the midterm has been fixed as Monday October 22, in the usual classroom, from 13.00 to 14.30. The exam will cover the material in the textbook through section 3.6.
- The TA for the course this term is WenJing Cai <wenjing.cai@mail.mcgill.ca> Her office hours are on Tuesdays: 08.30 to 09.30 in Leacock 112B, and then from 09.30 to 10.30 in Leacock 112C.
- I have finally decided on my office hour for this term. It will be on Tuesdays, at 13.00, after the lunchtime seminar.

Textbooks:

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.

Software:

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.

Assignments:

The five assignments from 2015 are collected in this zip
file. Each file is dated, and this should give you an idea of the point in the
course at which the problems in the assignment are most relevant.

Solutions to assignments and exams:

In preparation for the midterm, the solution sheets for the first three of the 2015 assignments are now available.

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

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