Economics 850

Econometrics I

Instructor: James MacKinnon

  • Office: Dunning 236
  • Office Hours:
There are no specific office hours. If you just have a brief question, feel free to pop into my office whenever my door is open. For anything that is likely to take some time, please make an appointment by sending me an e-mail (jgm [AT]

  • Classes: Dunning 213, Tuesday, 10:00-11:30 a.m. and Thursday, 8:30-10:00 a.m.
  • Teaching Assistant: Antoine Noël
  • Office: MC A420
  • Tutorial: Tuesdays, 2:30-4:00, MC A516
  • Office Hours: Thursdays 10:00-11:30, MC A420
  • E-mail: antoinenoel23 [AT]
  • Midterm exam: TBA
  • Final exam: TBA

ECON 850 is the first course in a two-term sequence, the second being ECON 851. The course is based primarily on the book Econometric Theory and Methods, by Russell Davidson and James G. MacKinnon. Visit the web site for ETM.

The Campus Bookstore should have enough copies of ETM in stock. However, you may be able to get it at a lower price through or another on-line bookstore, perhaps one from outside of Canada.

Much of the course will make use of chapters from the unfinished second edition of ETM. These will be provided to students as PDF files.

The instructor will also provide additional written material. Some of it is based on parts of the older and somewhat more advanced book, Estimation and Inference in Econometrics, also by Russell Davidson and James G. MacKinnon. Visit the web site for EIE to obtain copies of pages in the book that have been corrected, and a Supplement. There is no need to buy this book.

Part of the course requirements consists of a set of assignments, which will typically have both theoretical and empirical components. The empirical parts will often involve the analysis of data sets using econometrics software. The assignments may be found here.

Here is a more detailed course description, in PDF format. Supplementary lecture notes may be found here. Recent final exams may be found here, and recent midterm exams may be found here.

Assignments can be done using Stata, GRETL, R, or any other suitable econometrics package. Stata is on the PCs in Dunning 350 and on some of the Linux servers. R and GRETL are on all the Linux servers. For more information about some of the popular software packages used in econometrics, follow the appropriate links in the following list:

  • GRETL - GRETL home page
  • R - The R project
  • STATA - STATA home page
  • TSP - TSP International home page

The material on this website is copyrighted and is for the sole use of students registered in ECON 850. The material on this website may be downloaded for a registered student's personal use, but it may not be distributed or disseminated to anyone other than students registered in ECON 850.

Failure to abide by these conditions is a breach of copyright, and it may also constitute a breach of academic integrity under the University Senate's Academic Integrity Policy Statement.

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Last updated on September 9, 2018.

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