Judge G.G. et al. The Theory and Practice of Econometrics

Wiley, 1985. – 1032 p. – 2nd ed. – ISBN: 047189530X, 9780471895305This broadly based graduate-level textbook covers the major models and statistical tools currently used in the practice of econometrics. It examines the classical, the decision theory, and the Bayesian approaches, and contains material on single equation and simultaneous equation econometric models. Includes an extensive reference list for each topic.Sampling Theory and Bayesian Approaches to Inference.
The Classical Inference Approach for the General Linear Model.
Statistical Decision Theory and Biased Estimation.
The Bayesian Approach to Inference.
Inference in General Statistical Models and Time Series.
Some Asymptotic Theory and Other General Results for the Linear Statistical Model.
Nonlinear Statistical Models.
Time Series.
Dynamic Specifications.
Autocorrelation.
Finite Distributed Lags.
Infinite Distributed Lags.
Some Alternative Covariance Structures.
Heteroskedasticity.
Disturbance-Related Sets of Regression Equations.
Inference in Models that Combine Time Series and Cross-Sectional Data.
Inference in Simultaneous Equation Models.
Specification and Identification in Simultaneous Equation Models.
Estimation and Inference in a System of Simultaneous Equations.
Multiple Time Series and Systems of Dynamic Simultaneous Equations.
Further Model Extensions.
Unobservable Variables.
Qualitative and Limited Dependent Variable Models.
Varying and Random Coefficient Models.
Non-Normal Disturbances.
On Selecting the Set of Aggressors.
Multicollinearity.Appendices.