| Preface to the First Edition | ix |
| Preface to the Revised Edition | xi |
| References | xiii |
| 1 | The Linear Model and Instrumental Variables Estimators | 1 |
| References | 12 |
| For Further Reading | 12 |
| 2 | Consistency | 15 |
| 2.1 | Limits | 15 |
| 2.2 | Almost Sure Convergence | 18 |
| 2.3 | Convergence in Probability | 24 |
| 2.4 | Convergence in rth Mean | 28 |
| References | 30 |
| 3 | Laws of Large Numbers | 31 |
| 3.1 | Independent Identically Distributed Observations | 32 |
| 3.2 | Independent Heterogeneously Distributed Observations | 35 |
| 3.3 | Dependent Identically Distributed Observations | 39 |
| 3.4 | Dependent Heterogeneously Distributed Observations | 46 |
| 3.5 | Martingale Difference Sequences | 53 |
| References | 62 |
| 4 | Asymptotic Normality | 65 |
| 4.1 | Convergence in Distribution | 65 |
| 4.2 | Hypothesis Testing | 74 |
| 4.3 | Asymptotic Efficiency | 83 |
| References | 111 |
| 5 | Central Limit Theory | 113 |
| 5.1 | Independent Identically Distributed Observations | 114 |
| 5.2 | Independent Heterogeneously Distributed Observations | 117 |
| 5.3 | Dependent Identically Distributed Observations | 122 |
| 5.4 | Dependent Heterogeneously Distributed Observations | 130 |
| 5.5 | Martingale Difference Sequences | 133 |
| References | 136 |
| 6 | Estimating Asymptotic Covariance Matrices | 137 |
| 6.1 | General Structure of V[subscript n] | 137 |
| 6.2 | Case 1: {Z[subscript t varepsilon subscript t]} Uncorrelated | 139 |
| 6.3 | Case 2: {Z[subscript t varepsilon subscript t]} Finitely Correlated | 147 |
| 6.4 | Case 3: {Z[subscript t varepsilon subscript t]} Asymptotically Uncorrelated | 154 |
| References | 164 |
| 7 | Functional Central Limit Theory and Applications | 167 |
| 7.1 | Random Walks and Wiener Processes | 167 |
| 7.2 | Weak Convergence | 171 |
| 7.3 | Functional Central Limit Theorems | 175 |
| 7.4 | Regression with a Unit Root | 178 |
| 7.5 | Spurious Regression and Multivariate FCLTs | 184 |
| 7.6 | Cointegration and Stochastic Integrals | 190 |
| References | 204 |
| 8 | Directions for Further Study | 207 |
| 8.1 | Extending the Data Generating Process | 207 |
| 8.2 | Nonlinear Models | 209 |
| 8.3 | Other Estimation Techniques | 209 |
| 8.4 | Model Misspecification | 211 |
| References | 211 |
| Solution Set | 213 |
| References | 259 |
| Index | 261 |
Format: Textbook Hardcover, 2nd ed., 2
