Econometric TheoryISBN: 9780631215844
528 pages
April 2000, WileyBlackwell

Symbols and Abbreviations.
Preface.
Part I: Basic Regression Theory.
1. The Linear Regression Model.
2. Statistical Analysis of the Regression Model.
3. Asymptotic Analysis of the Regression Model.
Part II: Dynamic Regression Theory.
4. Modelling Economic Time Series.
5. Principles of Dynamic Modelling.
6. Asymptotics for Dynamic Models.
7. Estimation and Testing.
8. Simultaneous Equations.
Part III: Advanced Estimation Theory.
9. Optimization Estimators I: Theory.
10. Optimization Estimators II: Examples.
11. The Method of Maximum Likelihood.
12. Testing Hypotheses.
13. System Estimation.
Part IV: Cointegration Theory.
14. Unit Roots.
15. Cointegrating Regression.
16. Cointegrated Systems.
Part V: Technical Appendices.
A. Matrix Algebra Basics.
B. Probability and Distribution Theory.
C. The Gaussian Distribution and Its Relatives.
References.
Author Index.
Subject Index.
 Covers time series modelling in detail
 Discusses recent advances in estimation and testing theory, cointegration and unit roots
 Presents unique treatment of modern asymptotic theory for time series
 Incorporates material from lectures given at London School of Economics.
"The systematic use of the conditional expectation approach to modelling throughout the text will provide readers with many useful insights. It is a very good and thoughtprovoking book. Much can be learnt from it, even by 'experts.' Leonard Gill, University of Manchester
"The book is stong on linear dynamic modelling of time series and has an excellent coverage of recent developments in econometrics for nonstationery time series. Cointegration theory is given a comprehensive and clear treatment, including an exposition of the underlying probability background  stockastic processes on function spaces, Brownian motion and so on  which I found to enhance understanding considerably. This will be a useful book, particularly to those teaching advanced courses in timeseries econometrics. Overall, it is a fine and wellwritten piece of work.
Times Higher Education Supplement