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Economics 662D1

This course is intended for Master's students with a serious interest in econometrics. 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 final exam is available here, and the data file is here. You have until 13.00 on Friday December 11 to submit your two files to myCourses. Please respect J-F's instructions as to the type and content of each file.

Now that we have had our last class, I can confirm that the material to be covered on the Christmas exam will be the entire revised textbook, with just one exception. That is the subsection entitled "A Simple Example" in section 8.4. The word "Simple" is relative in this context! The subsection "Fixed Effects" in section 3.5 was not explicitly covered when we did Chapter 3, because it had been shifted from where it was in the original. unrevised, textbook. But its contents are taken up again in section 9.10, on Panel Data.

The schedule for exams in graduate courses in the department sets a date and time of Friday December 11 at 13.00 for 662D1. It is explained that this is the time when the exam is due. Undergraduate courses, scheduled by the exam office, allow a 48-hour window for completion of the exam, and I think that is appropriate for us as well. The exam will therefore be made available on the course webpage at 13.00 on Wednesday December 9.

This link is for the Midterm Exam. It is due on Thursday October 22, at or before 13.00 Montreal time.

Click here for the data set to be used for the exam.

The midterm has been scheduled for Thursday October 22. I had thought that McGill had some guidelines for dealing with exams when people are in different time zones, but it seems not. I have therefore completely revised my plans for the exam. To start at the end: completed exams should be uploaded to myCourses as if the exam were another assignment. Whatever worked for you for the assignment will work as well for the midterm. The exam itself, and a link to the data to be used, will appear on the webpage around 13.00 on Wednesday the 21st, Montreal time. The completed exam is then to be uploaded by 13.00, again Montreal time, on the 22nd. This gives you a full 24 hours to complete the exam, and I think that should be possible for everyone, wherever they may be. (If not, please send me an email.) It's obviously impossible to impose a time limit in these circumstances, and so I won't try. I remind you, though, that the exam you submit must be all your own work. You must not seek help from anyone else, a fellow student or otherwise. This reminder will appear at the beginning of the exam as well. Work hard, and good luck to everyone!

The midterm will cover everything covered in class up to but not including section 5.4. The subsection on "Fixed Effects" in section 3.5 is not included, since we haven't as yet looked at it in class.

The class meets on Tuesdays and Thursdays, from 13.00-14.30, via Zoom.


Meeting ID: 949 1634 8966

Our TA is Jean-Fran├žois Fournel. His virtual office hours are as follows:

Monday, 9:30am - 10:30am - Wednesday, 10:30am - 11:30am


Meeting ID: 595 633 6119


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 URL of the website for Econometric Theory and Methods is not what is given in the book itself at the end of the Preface. Instead it is https://qed.econ.queensu.ca/ETM/.

Although the plan for a second edition of the textbook has been abandoned, I am in the process of updating those chapters of the book that are covered in this course. The first few chapters of this revision are available here. Note that the revision is under active development, and will change very regularly. Be sure to get the latest revision.


This year, at least, the recommended software packages for econometrics are, first, MatLab, a commercial product, but freely available to people at McGill on account of a site licence, and, second, Python, a general-purpose interpreted programming language. Python is free software (prefer Python 3 to Python 2) and has a vast number of libraries available to it for many things, including econometric calculations. Our TA uses MatLab, and can answer questions about it.

A venerable software package for econometrics, and statistics more generally, is Stata. This file gives you information on how to get it for yourself.

For more information about getting Matlab, click on this link.

Log of material covered




Follow this link for material intended to supplement the textbook. The first note gives definitions related to zero functions and estimating equations.

Other teaching materials

I used this set of slides for discussion of models, data-generating processes, and virtual reality.

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Click here for the main page of this site.

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