| Foreword | p. xi |
| Preface | p. xv |
| Acknowledgements | p. xx |
| List of symbols and abbreviations | p. xxi |
| Introduction | |
| Econometric modelling, a preliminary view | p. 3 |
| Econometrics--a brief historical overview | p. 3 |
| Econometric modelling--a sketch of a methodology | p. 15 |
| Looking ahead | p. 22 |
| Descriptive study of data | p. 23 |
| Histograms and their numerical characteristics | p. 23 |
| Frequency curves | p. 27 |
| Looking ahead | p. 29 |
| Probability theory | |
| Probability | p. 33 |
| The notion of probability | p. 34 |
| The axiomatic approach | p. 37 |
| Conditional probability | p. 43 |
| Random variables and probability distributions | p. 47 |
| The concept of a random variable | p. 48 |
| The distribution and density functions | p. 55 |
| The notion of a probability model | p. 60 |
| Some univariate distributions | p. 62 |
| Numerical characteristics of random variables | p. 68 |
| Random vectors and their distributions | p. 78 |
| Joint distribution and density functions | p. 78 |
| Some bivariate distributions | p. 83 |
| Marginal distributions | p. 85 |
| Conditional distributions | p. 89 |
| Functions of random variables | p. 96 |
| Functions of one random variable | p. 96 |
| Functions of several random variables | p. 99 |
| Functions of normally distributed random variables, a summary | p. 108 |
| Looking ahead | p. 109 |
| The normal and related distributions | p. 110 |
| The general notion of expectation | p. 116 |
| Expectation of a function of random variables | p. 116 |
| Conditional expectation | p. 121 |
| Looking ahead | p. 127 |
| Inequalities | p. 129 |
| Stochastic processes | p. 130 |
| The concept of a stochastic process | p. 131 |
| Restricting the time-heterogeneity of a stochastic process | p. 137 |
| Restricting the memory of a stochastic process | p. 140 |
| Some special stochastic processes | p. 144 |
| Summary | p. 162 |
| Limit theorems | p. 165 |
| The early limit theorems | p. 165 |
| The law of large numbers | p. 168 |
| The central limit theorem | p. 173 |
| Limit theorems for stochastic processes | p. 178 |
| Summary | p. 180 |
| Introduction to asymptotic theory | p. 183 |
| Introduction | p. 183 |
| Modes of convergence | p. 185 |
| Convergence of moments | p. 192 |
| The 'big O' and 'little o' notation | p. 194 |
| Extending the limit theorems | p. 198 |
| Error bounds and asymptotic expansions | p. 202 |
| Statistical inference | |
| The nature of statistical inference | p. 213 |
| Introduction | p. 213 |
| The sampling model | p. 215 |
| The frequency approach | p. 219 |
| An overview of statistical inference | p. 221 |
| Statistics and their distributions | p. 223 |
| The empirical distribution function | p. 228 |
| Estimation I--properties of estimators | p. 231 |
| Finite sample properties | p. 232 |
| Asymptotic properties | p. 244 |
| Predictors and their properties | p. 247 |
| Estimation II--methods | p. 252 |
| The method of least-squares | p. 253 |
| The method of moments | p. 256 |
| The maximum likelihood method | p. 257 |
| Hypothesis testing and confidence regions | p. 285 |
| Testing, definitions and concepts | p. 285 |
| Optimal tests | p. 290 |
| Constructing optimal tests | p. 296 |
| The likelihood ratio test procedure | p. 299 |
| Confidence estimation | p. 303 |
| Prediction | p. 306 |
| The multivariate normal distribution | p. 312 |
| Multivariate distributions | p. 312 |
| The multivariate normal distribution | p. 315 |
| Quadratic forms related to the normal distribution | p. 319 |
| Estimation | p. 320 |
| Hypothesis testing and confidence regions | p. 323 |
| Asymptotic test procedures | p. 326 |
| Asymptotic properties | p. 326 |
| The likelihood ratio and related test procedures | p. 328 |
| The linear regression and related statistical models | |
| Statistical models in econometrics | p. 339 |
| Simple statistical models | p. 339 |
| Economic data and the sampling model | p. 342 |
| Economic data and the probability model | p. 346 |
| The statistical generating mechanism | p. 349 |
| Looking ahead | p. 352 |
| Data | p. 355 |
| The Gauss linear model | p. 357 |
| Specification | p. 357 |
| Estimation | p. 359 |
| Hypothesis testing and confidence intervals | p. 363 |
| Experimental design | p. 366 |
| Looking ahead | p. 367 |
| The linear regression model I--specification, estimation and testing | p. 369 |
| Introduction | p. 369 |
| Specification | p. 370 |
| Discussion of the assumptions | p. 375 |
| Estimation | p. 378 |
| Specification testing | p. 392 |
| Prediction | p. 402 |
| The residuals | p. 405 |
| Summary and conclusion | p. 408 |
| A note on measurement systems | p. 409 |
| The linear regression model II--departures from the assumptions underlying the statistical GM | p. 412 |
| The stochastic linear regression model | p. 413 |
| The statistical parameters of interest | p. 418 |
| Weak exogeneity | p. 421 |
| Restrictions on the statistical parameters of interest | p. 422 |
| Collinearity | p. 432 |
| 'Near' collinearity | p. 434 |
| The linear regression model III--departures from the assumptions underlying the probability model | p. 443 |
| Misspecification testing and auxiliary regressions | p. 443 |
| Normality | p. 447 |
| Linearity | p. 457 |
| Homoskedasticity | p. 463 |
| Parameter time invariance | p. 472 |
| Parameter structural change | p. 481 |
| Variance stabilising transformations | p. 487 |
| The linear regression model IV--departures from the sampling model assumption | p. 493 |
| Implications of a non-random sample | p. 494 |
| Tackling temporal dependence | p. 503 |
| Testing the independent sample assumption | p. 511 |
| Looking back | p. 521 |
| Deriving the conditional expectation | p. 523 |
| The dynamic linear regression model | p. 526 |
| Specification | p. 527 |
| Estimation | p. 533 |
| Misspecification testing | p. 539 |
| Specification testing | p. 548 |
| Prediction | p. 562 |
| Looking back | p. 567 |
| The multivariate linear regression model | p. 571 |
| Introduction | p. 571 |
| Specification and estimation | p. 574 |
| A priori information | p. 579 |
| The Zellner and Malinvaud formulations | p. 585 |
| Specification testing | p. 589 |
| Misspecification testing | p. 596 |
| Prediction | p. 599 |
| The multivariate dynamic linear regression (MDLR) model | p. 599 |
| The Wishart distribution | p. 602 |
| Kronecker products and matrix differentiation | p. 603 |
| The simultaneous equations model | p. 608 |
| Introduction | p. 608 |
| The multivariate linear regression and simultaneous equations models | p. 610 |
| Identification using linear homogeneous restrictions | p. 614 |
| Specification | p. 619 |
| Maximum likelihood estimation | p. 621 |
| Least-squares estimation | p. 626 |
| Instrumental variables | p. 637 |
| Misspecification testing | p. 644 |
| Specification testing | p. 649 |
| Prediction | p. 654 |
| Epilogue: towards a methodology of econometric modelling | p. 659 |
| A methodologist's critical eye | p. 659 |
| Econometric modelling, formalising a methodology | p. 661 |
| Conclusion | p. 671 |
| References | p. 673 |
| Index | p. 689 |
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