This essay briefly surveys optimal instrumentation in linear and nonlinear models, both cross-sectional and stationary time series. Examples of judicious construction of instruments are given.

This is a survey of most notable time series econometrics texts written in English. The essay reflects the author's opinion, as well as opinions of econometricians expressed in published book reviews.

Sometimes the conventional asymptotic theory yields that the limiting distribution changes discontinuously, or that the asymptotic distribution does not approximate accurately the actual finite-sample distribution. In such situations one finds useful an asymptotic tool of drifting...

This essay covers the principles and methodology of nonparametric estimation of a mean regression. The emphasis is put on kernel smoothing, but non-kernel methods are also reviewed.

When modeling time series dynamics one has to decide on the class and type of models to use which depends much on the object to be modeled. This essay briefly overviews the specifics of time series modeling of various objects like conditional mean, conditional variance, conditional quantiles,...

This is a survey of some popular econometric texts written in English. The essay reflects the author's opinion, as well as opinions of notable econometricians expressed in published book reviews.

We give thematically arranged lists of useful websites where an empirical economist can find data for research.

This essay is an introduction to principles and methodology of the bootstrap. The basics of bootstrap inference, resampling and asymptotic refinement are given. The narration is accompanied with clarifying examples. There is also a brief description of other methodological essays of the current...

This essay contains a short survey of existing simple tests for predictability of various characteristics of stationary time series.

This essay discusses the structure of an econometric report, format of tables and diagrams, as well as precision of numerical results.