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 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.

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.