Introduction to the Theory and Practice of Econometrics

From the contents:
THE FOUNDATION OF STATISTICAL INFERENCE. Probability and Distribution Theory. Statistical Inference: Estimation and Hypothesis Testing. Bayesian Inference
THE GENERAL LINEAR STATISTICAL MODEL. Linear Statistical Model. The Normal General Linear Statistical Model. Bayesian Analysis of the Normal Linear Statistical Model
GENERALIZATIONS OF THE LINEAR STATISTICAL MODEL. General Linear Statistical Model with Non-Scalar Identity Covariance Matrix. General Linear Statistical Model with an Unknown Covariance Matrix. Dummy Variables and Varying Parameter Models. Sets of Linear Statistical Models. Nonlinear Least Squares and Nonlinear Maximum Likelihood Estimation. Stochastic Regressors
SIMULTANEOUS EQUATION MODELS. An Introduction to Simultaneous Linear Statistical Models. Estimation and Inference for Simultaneous Equation Statistical Models
TIME-SERIES AND DISTRIBUTED LAG MODELS. Time Series Analysis and Forecasting. Distributed Lags. Multiple Time-Series
ADDITIONAL ECONOMETRIC TOPICS. Qualitative and Limited Dependent Variable Models. Prior Information, Biased Estimation, and Statistical Model Selection. Multicollinearity. Robust Estimation. Epilogue. Appendix