Modern Econometrics Book

1 Introduction 1

2 An Introduction to Linear Regression 7

3 Interpreting and Comparing Regression Models 53

4 Heteroskedasticity and Autocorrelation 85

5 Endogeneity, Instrumental Variables and GMM 129

6 Maximum Likelihood Estimation and Specification Tests 171

7 Models with Limited Dependent Variables 199

8 Univariate Time Series Models 269

9 Multivariate Time Series Models 323

10 Models Based on Panel Data 355

A Vectors and Matrices 417

B Statistical and Distribution Theory 425

Bibliography 437

Index 451