1. Introduction

Cambridge University Press has launched a new series in econometrics called "Econometric Exercises" (EE). The Editors of the series are Karim Abadir, Jan Magnus and Peter Phillips. The series will contain about 18 volumes and will be published in both paperback and cloth. The editors are writing (or co-authoring) several of the volumes, collaborating with colleagues on some volumes, and inviting outside experts to contribute the additional volumes. This series will be the first of its type in econometrics and, for that matter, in the general subject area of economics.

This series will be directed at a primary readership of graduate students and advanced undergraduate students of econometrics and their instructors. The volumes in the series will offer an independent learning-by-doing program in econometrics and, as such, will be a useful reference source for anyone wanting to learn more about econometric methods and applications.

The volumes in the new series can be used in classroom teaching and examining in a variety of ways. For instance, instructors can work through some of the problems in class to demonstrate methods as they are introduced, they can illustrate theoretical material with some of the worked examples, and they can show real data applications of the methods by drawing on some of the empirical examples. For examining purposes, instructors may draw freely from the worked and unworked exercises in test preparation. The systematic development of the subject in individual volumes will make the material easily accessible both for students in revision and for instructors in test preparation.

In using the volumes, students and instructors may work through the material sequentially as part of a complete learning program, or they may dip directly into material on which they are experiencing difficulty in order to learn from worked exercises and illustrations. To promote intensive study, an instructor might announce to a class in advance of a test that some questions in the test will be selected from a certain chapter of one of the volumes. This approach encourages students to work through most of the exercises in a particular chapter by way of test preparation, thereby reinforcing classroom instruction.

2. The need for a series of Econometric Exercises and existing sources

In statistics, mathematics and other sciences the need for solved problems is well understood and, to a large extent, it has been already met in the textbook market. The same cannot be said for econometrics. Students need exercises and regular problem sets to work on to consolidate their learning and to help them to appreciate the potential applications of material that they are exposed to in textbook treatments of econometrics. They also benefit from clearly laid out solutions and "paradigm answers" that they can use to develop their own problem-solving skills. Such exercises train students in clear analytical thinking and help them in preparing for tests and exams. Teachers also find worked and unworked exercises useful for their own classroom and lecture preparation and in designing problem sets, tests and examinations. Our new series "Econometric Exercises" is specifically designed to cater for these needs in econometrics.

Before the EE Series, students looking for a general source of exercises in econometrics were able to consult the following references:

• P.C.B. Phillips and M.R. Wickens (1978), Exercises in Econometrics, Phillip Allan Publishers Ltd., U.K. and Ballinger Publishing Company, Cambridge, Mass., U.S.A., 2 volumes
• Schaum's Outline Series, Mc-Graw Hill, various volumes
• Edward Tower (1995), Econometric Exams, Puzzles and Problems, Volume 14 of "Economics Reading Lists, Course Outlines, Exams, Puzzles and Problems", compiled by Edward Tower, Duke University U.S.A.

The two volume set of exercises by Phillips and Wickens (1978) was the first of its kind in econometrics and provided an extensive set of solved and unsolved exercises on traditional topics in econometrics such as the general linear model, nonlinear regression, simultaneous systems, and dynamic models. But, the books are now out of print and the treatment is dated in some parts, especially with regard to PC implementations of econometric methods.

The Schaum series in mathematics and economics (including one volume "Statistics and Econometrics" by D. Salvatore, 1981) is a highly successful series of volumes that develops its subject matter by worked exercises. The series has an extensive coverage from the introductory level through to advanced undergraduate and some graduate level mathematics. This series is the closest design concept to the EE Series.

The volumes compiled by Tower provide a useful bundling-together of exam questions and reading guides from various universities around the world, but they have no intrinsic structure, no indexing or cross referencing, and very few worked problems. Their main use is for comparative purposes to cross-check curricula and to assess the level of comprehensive examinations and course requirements in econometrics in the main centers of learning in North America.

In addition to the above, there are many useful volumes of problems and solved exercises in statistics, mathematical statistics, and probability. Two volumes of particular interest are:

• Jordan Stoyanov (1987), Counterexamples in Probability, Wiley: New York.
• Joseph P. Romano and A.F. Siegel (1986), Counterexamples in Probability and Statistics, Wadsworth: Belmont.

As the titles indicate, these volumes deal with counterexamples. Like similar books in analysis, these volumes in probability and statistics help students to understand the subject by revealing examples where certain results fail to hold. The examples are often especially helpful because they clarify the assumptions that need to be strengthened in order for a given result to hold. As such they are an extremely useful supplementary source for student learning.

Volumes in the EE series will include counterexamples in a similar way wherever it is appropriate to clarify the role of critical assumptions in the development of the theory, and to illustrate important cases where results fail. Examples that are particularly relevant in econometrics are identification failure, inconsistent estimators, and non uniform laws of large numbers.

3. Design and content of volumes in the new series

Books in the EE series are intended to be much more than a collection of worked exercises. The Editors' aspiration is to have a series of volumes each of which has a coherent and well-organized sequence of exercises in a specific field or sub-field of econometrics. In each volume the worked and unworked exercises will be assembled together in a structured and logical pedagogical framework that seeks to develop the subject matter of the field from its foundations up.

Just as the Schaum series has done so successfully, each chapter of a volume will begin with a short technical introduction that emphasizes the main ideas and overviews the most relevant theorems and results. The introductions will be followed by a sequential development of the subsequent material by worked example and application, computer exercises where they are appropriate, and unsolved problems for further study. Thus, the exposition will be by worked example and illustration. Each volume will be self contained, have a full index, and include cross references to other volumes in the series. The aim is for a balance of about 15–20% theory and 80–85% exercises. The books will strive to be as brief and as economical as possible, but a certain amount of repetition across volumes in the EE Series will be encouraged where it is considered helpful in improving the readability of the volumes, and in widening their potential audience. Good pedagogy also emphasizes intelligent repetition of some material in order to reinforce learning and to make the volumes accessible to students and others who are working largely, or even completely, on their own.

4. Coverage of the series and the proposed volumes

Given the wide and growing scope of econometrics, there is a real need for a series of solved problems in econometrics that covers the field in a comprehensive way, ranging from elementary introductions through to advanced graduate course sequences and special topics courses in new subject areas. The EE Series begins with its matrix algebra and statistical foundations, and proceeds to cover fundamentals of the linear model, simultaneous equations model, microeconometric methods and stationary time series all in separate volumes. More advanced subject matter like nonlinear econometrics, nonparametrics, unit roots and cointegration each receives individual attention in later volumes. Growing specialist areas of importance which have big constituencies like econometric methods in financial economics will form the basis of subsequent special topics volumes. Given the overall importance of the topic to empirical research and the amount of space recently devoted to it in the literature, the Editors are planning a final volume addressing general issues of econometric methodology.

The present list of proposed titles for the EE Series is given below. These titles cover the material in most advanced undergraduate and graduate econometrics sequences and includes two volumes that focus on empirical applications as well as some special topics volumes. We expect that this list will undergo some change and possibly some expansion. In final form, it will certainly depend on the authors who are engaged to write the volumes in which we are not directly involved as authors or co-authors ourselves. We have indicated the currently known authors in square brackets. Published volumes are cross-linked in the list below.

Basic volumes
   01 Matrix Algebra [Karim Abadir, Jan Magnus] (June 2005)
   02 Statistics [Karim Abadir, Risto Heijmans, Jan Magnus]
   03 Econometric Models, I: Theory [Paolo Paruolo]
   04 Econometric Models, I: Empirical Applications [Arthur van Soest, Marno Verbeek]
   05 Econometric Models, II: Theory
   06 Econometric Models, II: Empirical Applications

Specialized volumes (provisional)
   07 Panel data [Badi Baltagi]
   08 Microeconometrics [Lung-fei Lee]
   09 Time Series, I [Peter Phillips]
   10 Time Series, II [Peter Phillips]
   11 Nonlinear Models
   12 Bayesian Econometrics [Gary Koop, Dale Poirier, Justin Tobias]
   13 Computational Methods
   14 Nonparametrics and Semiparametrics [Xiaohong Chen, Yanqin Fan]
   15 Robustness
   16 Specification and Misspecification
   17 Financial Econometrics
   18 Econometric Methodology

Supplementary volume
   Notation in Econometrics

There are large numbers of specialists in each of the subject areas and we are actively looking for potential authors for the series. We encourage our colleagues to get in touch with any of the editors if they have suggestions or if they would like  to write themselves for the series. We wish to vigorously promote the EE Series and its objectives and to seek out and interest the best authors we can for individual volumes.

5. Distinguishing features of volumes in the series

• Each volume will be about 200–250 pages
• The majority of exercises in each volume will have compete solutions
• Special attention will be given to computer exercises and numerical problems
• Empirical data sets will be included for worked and unworked exercises
• Attention will be given to applications-oriented problems in the empirical volumes
• The difficulty level of each problem (or subproblem) will be indicated
• For selected problems, several answers or approaches will be given, thereby providing a wider perspective on the econometric issues involved
• For some problems (especially some of the empirical ones) we will invite colleagues who have done notable work in the field to provide alternative model answers.

6. Intended market and readership

The volumes are intended for undergraduate students of econometrics with an introductory knowledge of statistics, for first and second year graduate students of econometrics, and for students and instructors from neighboring disciplines (like statistics, political science, psychology and communications) with interests in econometric methods. The volumes will increase in difficulty as the topics become more specialized. The special topics volumes will be of interest to a large number of professional economists and econometricians who are working with techniques in those areas in addition to students who are taking advanced courses.

We envisage that the early volumes will be especially useful to students who are doing the econometrics course sequence that is typical in North American graduate schools, and who are preparing for graduate comprehensive examinations in econometrics. These volumes will equally be of value to advanced undergraduates doing econometrics in the UK and Europe, and to advanced undergraduates and honors students in the Australasian system. Taken together this will comprise a very substantial market.

7. Time Frame

Volume 1 (Matrix Algebra [Karim Abadir, Jan Magnus]) appeared in June 2005.  We anticipate that subsequent volumes will appear on average at a rate of two-three volumes annually until the project is complete.

8. Conclusion

It is envisaged that the EE Series will provide:

• a stand-alone learning environment for students of econometrics;
• supplementary textbook material at all levels of econometric instruction from advanced undergraduate courses to specialist graduate courses;
• a graduated set of learning tools that will aid understanding by example, counterexample, computer exercise and empirical paradigm;
• test/quiz/examination/problem set material for use by instructors and students.

We believe the potential market for this series is large and growing. The idea is innovative, it builds on existing successful products (like the Schaum series and the two volume set by Phillips and Wickens, 1978), and puts renewed emphasis on the important themes of teaching and learning in econometric science.