Includes bibliographical references (pages 550-600) and index.

Introduction -- Criteria for estimators -- The classical linear regression model -- Interval estimation and hypothesis testing -- Specification -- Violating assumption one : wrong regressors, nonlinearities, and parameter inconstancy -- Violating assumption Two : Nonzero Expected Disturbance -- Violating assumption three : nonspherical disturbances -- Violating assumption four : measurement errors and autoregression -- Violating assumption four : simultaneous equations -- Violating assumption five : multicollinearity -- Incorporating extraneous information -- The Bayesian approach -- Dummy variables -- Qualitative dependent variables -- Limited dependent variables -- Panel data -- Time series econometrics -- Forecasting -- Robust estimation -- Applied econometrics.