Table of Contents

Introduction
I. Ordinary Least Squares
1: The Least Squares Linear Fit
2: The Geometry of Least Squares
3: Partitioned Fit
4: Restricted Least Squares
5: Overview ofc Ordinary Least Squares
II. Linear Regression
6: Linear Unbiased Estimation
7: Variances and Covariances
8: Variances and Covariances of OLS
9: Efficient Estimation
10: Normal Distribution Theory
11: Hypothesis Testing
12: Overview of Linear Regression
III. Generalizations of the Linear Model
13: Non-Normal Distribution Theory
14: Maximum Likelihood Estimation
15: ML Asymptotics
16: ML Computation
17: ML Statistical Inference
18: Heteroskedasticity
19: Serial Correlation
20: IV Estimation
21: The Generalized Method of Moments
22: GMM Hypothesis Tests
23: Overview
IV. Latent Variable Models
24: Panel Data Models
25: ARMA Time Series Models
26: Simultaneous Equations
27: Discrete Dependent Variables
28: Censored and Truncated Variables
29: Overview
V. Appendices
A: Abbreviations and Acronyms
B: Notation
C: Linear Algebra and Matrix Theory
D: Probability
E: Classical Studies
F: Noncentral Distributions
G: Multivariate Differentiation
H: Characteristic Functions

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Reviews

"A number of interesting topics found here are common in backroom talk but are not as easily found treated systematically as they are here."--David A. Belsley, Boston College
"The author provides an elegant, unified presentation of the material which forms the core of econometrics."--Richard T. Carson, University of California, San Diego
"Ruud is a fine scholar and he is well known as an outstanding teacher. His pedagogical style is certainly evident in the book."--Francis X. Diebold, New York University
"This book fills an important need for a clear and precise graduate textbook in econometrics. Its theoretical discussions are first rate and it includes nice empirical examples, making it a useful resource for any graduate student."--Whitney Newey, Massachusetts Institute of Technology
"This book has the same breadth of coverage as competing texts, with remarkably clear and compelling explanations and motivation of the theoretical concepts."--James L. Powell, University of California, Berkeley
"Paul Ruud's text combines clarity with rigor and is an excellent text for students and professionals alike. The strengths are apparent in every chapter. The author consistently tackles problems in more depth than any other text on the market."--Douglas Steigerwald, University of California, Santa Barbara
"The book covers least squares, methods of moments (GMM), and maximum likelihood which are three major frameworks for estimation and inference. Within the subset of chapters relating to each major topic, the key results are developed and given due prominence and subsequently used in further developments."--Pravin K. Trivedi, Indiana University
"This textbook is rigorous yet accessible. I believe it is destined to become the standard against which all other econometrics textbooks will be measured. Superb!"--Dr. James J. Jozefowicz, Indiana University of Pennsylvania