Greene William. Econometric Analysis

This book has two objectives. The first is to introduce students to applied econometrics, including basic techniques in regression analysis and some of the rich variety of models that are used when the linear model proves inadequate or inappropriate. The second is to present students with sufficient theoretical background that they will recognize new variants of the models learned about here as merely natural extensions that fit within a common body of principles.The Classical Multiple Linear Regression Model
Least Squares
Finite-Sample Properties of the Least Squares Estimator
Large-Sample Properties of the Least Squares and Instrumental
Variables Estimators
Inference and Prediction
Functional Form and Structural Change
Specification Analysis and Model Selection
Nonlinear Regression Models
Nonspherical Disturbances—The Generalized
Regression Model
Heteroscedasticity
Serial Correlation
Models for Panel Data
Systems of Regression Equations
Simultaneous-Equations Models
Estimation Frameworks in Econometrics
Maximum Likelihood Estimation
The Generalized Method of Moments
Models with Lagged Variables
Time-Series Models
Models for Discrete Choice
Limited Dependent Variable and Duration Models