Econometric Theory and Methods, by Russell Davidson and James G. MacKinnon, Oxford University Press, 2004
介绍了在博士计量经济学课程中使用《计量经济学理论与方法》作为理论教材，并辅以Greene的《计量经济分析》和实际数据分析，以覆盖理论、技术和实践三个方面的教学经验。
Teaching graduate econometrics means covering three different kinds of subject matter: a grounding in the theory of econometrics, a long laundry list of available econometric techniques, and an introduction to the fact that the practice of linking models and data is every bit as untidy as mathematical statistics is neat. I assign Econometric Theory and Methods ( ETM ) as a primary text in our first Ph.D. econometrics course. ETM is in charge of getting the students their theoretical grounding. I also assign Greene's excellent Econometric Analysis (2003) for its coverage of a long list of techniques. My laptop, EViews, and I, together with a whole lot of real data, are responsible for being untidy.