Our two textbooks, Estimation and Inference in Econometrics and Econometric Theory and Methods are still available as printed books, but we are now able to make them freely available here as PDF files for reading or downloading.
The first of these books, even in PDF form, should still be cited as Russell Davidson and James MacKinnon, Estimation and Inference in Econometrics, New York, Oxford University Press, 1993. ISBN 0-19-506011-3.
The second should be cited as Russell Davidson and James G. MacKinnon, Econometric Theory and Methods, New York, Oxford University Press, 2004.
Click here for the website for the first textbook.
Click here for the website for the second textbook. There you can find solutions for the exercises marked with a star.
A planned second edition of Econometric Theory and Methods was abandoned. However, a few chapters from it were saved and made available as an ebook only. It is called Foundations of Econometrics, and it can be found at this link.
Click here for James MacKinnon's homepage.
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URL: http://russell-davidson.research.mcgill.ca/textbooks