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Davidson and MacKinnon have written an outstanding textbook for graduates in econometrics, covering both basic and advanced topics and using geometrical proofs throughout for clarity of exposition. The book offers a unified theoretical perspective, and emphasizes the practical applications of modern theory.
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Levin et al. (Thu,) studied this question.
synapsesocial.com/papers/6a100ac92badbc352aff342a — DOI: https://doi.org/10.2307/2290953
Andrew Levin
Oldham Council
Russell Davidson
University of Notre Dame
James G. MacKinnon
Goddard Space Flight Center
Journal of the American Statistical Association
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