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Part I: Introduction to Econometrics; 1 Relationship Between Two Variables; 2 Multiple Regression; 3 Hypothesis Testing in Regression Models; 4 Heteroskedasticity; 5 Autocorrelated Disturbances; 6 Introduction to Dynamic Economic Modelling; 7 Predictability of Asset Returns and the EMH; Part II: Statistical Theory; 8 Asymptotic Theory; 9 Maximum Likelihood Estimation; 10 Generalized Method of Moments; 11 Model Selection and Testing Non-Nested Hypotheses; Part III: Stochastic Processes; 12 Introduction to Stochastic Processes; 13 Spectral Analysis; Part IV: Univariate Time Series Models; 14 Estimation of Stationary Time Series Processes; 15 Unit Root Processes; 16 Trend and Cycle Decomposition; 17 Introduction to Forecasting; 18 Measurement and Modelling of Volatility; Part V: Multivariate Time Series Models; 19 Multivariate Analysis; 20 Multivariate Rational Expectations Models; 21 Vector Autoregressive Models; 22 Cointegration Analysis; 23 VARX Modelling; 24 Impulse Response Analysis; 25 Modelling the Conditional Correlation of Asset Returns; Part VI: Panel Data Econometrics; 26 Panel Data Models with Strictly Exogenous Regressors; 27 Short T Dynamic Panel Data Models; 28 Large Heterogeneous Panel Data Models; 29 Cross Section Dependence in Panels; 30 Spatial Panel Econometrics; 31 Unit Roots and Cointegration in Panels; 32 Aggregation of Large Panels; 33 Theory and Practice of GVAR Modelling; Part VII: Appendices; A Mathematics; B Probability and Statistics; C Bayesian Analysis

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