Advanced Econometrics is both a comprehensive text for graduate students and a reference work for econometricians. It will also be valuable to those doing statistical analysis in the other social sciences. Its main features are a thorough treatment of cross-section models, including qualitative response models, censored and truncated regression models, and Markov and duration models, as well as a rigorous presentation of large sample theory, classical least-squares and generalized least-squares theory, and nonlinear simultaneous equation models.
Although the treatment is mathematically rigorous, the author has employed the theorem-proof method with simple, intuitively accessible assumptions. This enables readers to understand the basic structure of each theorem and to generalize it for themselves depending on their needs and abilities. Many simple applications of theorems are given either in the form of examples in the text or as exercises at the end of each chapter in order to demonstrate their essential points.
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Review: Advanced EconometricsUser Review - Jay Bhattacharya - Goodreads
I took Amemiya's advanced econometrics class in graduate school and I cannot imagine a better introduction to graduate econometrics. The book reflects Amemiya's brilliance; topics are presented ... Read full review
Review: Advanced EconometricsUser Review - Goodreads
Heckman says I (everyone) should read it. Man up.
Classical Least Squares Theory
Recent Developments in Regression Analysis
Large Sample Theory
Asymptotic Properties of Extremum Estimators
Time Series Analysis
Generalized Least Squares Theory
Linear Simultaneous Equations Models
Nonlinear Simultaneous Equations Models