Part I The Linear Regression Model
1 Econometrics ;
2 The Linear Regression Model ;
3 Least Squares ;
4 The Least Squares Estimator ;
5 Hypothesis Tests and Model Selection ;
6 Functional Form and Structural Change ;
7 Nonlinear, Semiparametric, and Nonparametric Regression Models ;
8 Endogeneity and Instrumental Variable Estimation ;
Part II Generalized Regression Model and Equation Systems
9 The Generalized Regression Model and Heteroscedasticity ;
10 Systems of Equations ;
11 Models for Panel Data ;
Part III Estimation Methodology
12 Estimation Frameworks in Econometrics ;
13 Minimum Distance Estimation and the Generalized Method of Moments ;
14 Maximum Likelihood Estimation ;
15 Simulation-Based Estimation and Inference and Random Parameter Models ;
16 Bayesian Estimation and Inference ;
Part IV Cross Sections, Panel Data, and Microeconometrics
17 Discrete Choice ;
18 Discrete Choices and Event Counts ;
19 Limited Dependent Variables — Truncation, Censoring, and Sample Selection ;
Part V Time Series and Macroeconometrics
20 Serial Correlation ;
21 Nonstationary Data ;
Part VI Appendices
A Matrix Algebra ;
B Probability and Distribution Theory ;
C Estimation and Inference ;
D Large-Sample Distribution Theory ;
E Computation and Optimization ;
F Data Sets Used in Applications .