Advanced Econometrics is both a comprehensive text for graduate students and a reference work for econometricians. It will also be valuable to those doing statistical analysis in the other social sciences. Its main features are a thorough treatment of cross-section models, including qualitative response models, censored and truncated regression models, and Markov and duration models, as well as a rigorous presentation of large sample theory, classical least-squares and generalized least-squares theory, and nonlinear simultaneous equation models. Although the treatment is mathematically rigorous, the author has employed the theorem-proof method with simple, intuitively accessible assumptions. This enables readers to understand the basic structure of each theorem and to generalize it for themselves depending on their needs and abilities. Many simple applications of theorems are given either in the form of examples in the text or as exercises at the end of each chapter in order to demonstrate their essential points.

Classical Least Squares Theory 
Recent Developments in Regression Analysis 
Large Sample Theory 
Asymptotic Properties of Extremum Estimators 
Time Series Analysis 
Generalized Least Squares Theory 
Linear Simultaneous Equations Models 
Nonlinear Simultaneous Equations Models 
Qualitative Response Models 
Tobit Models 
Markov Chain and Duration Models 
Useful Theorems in Matrix Analysis 
Distribution Theory 
Notes 
References 
Name Index 
Subject Index 
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