An Introduction to Classical Econometric Theory

• 1. The Least-Squares Linear Fit ; 2. The Geometry of Least Squares ; 3. Partitioned Fit ; 4. Restricted Least Squares ; 5. Overview of Ordinary Least Squares ; 6. Linear Unbiased Estimation ; 7. Variances and Covariances ; 8. Variances and Covariances of Ordinary Least Squares ; 9. Efficient Estimation ; 10. Normal Distribution Theory ; 11. Hypothesis Testing ; 12. Overview of Linear Regression ; 13. Nonnormal Disbribution Theory ; 14. Maximum Likelihood Estimation ; 15. Maximum Likelihood Asymptotic Distribution Theory ; 16. Maximul Likelihood Computation ; 17. Maximum Likelihood Statistical Inference ; 18. Heteroskedasticity ; 19. Serial Correlation ; 20. Instrumental Variables Estimation ; 21. The Generalized Method of Moments ; 22. Generalized Method of Moments Hypothesis Tests ; 23. Overview ; 24. Panel Data Models ; 25. Autoregressive Moving-Average Time Series Models ; 26. Simultaneous Equations ; 27. Discrete Dependent Variables ; 28. Censored and Truncated Variables ; 29. Overview ; APPENDICES ; BIBLIOGRAPHY ; INDEX

It is an excellent text with very few weaknesses and I strongly recommend it.