This fifth edition updates the contents and references throughout, while retaining the basic structure and flavour of earlier editions. New chapters on panel data and applied econometrics expand the text's coverage, while other chapters are significantly revised. With these new revisions, the text should continue to serve as both a thorough overview of econometrics, and a useful bridge to further study. INDICE 1. Introduction. 2. Criteria for Estimators. 3. The Classical Linear Regression Model. 4. Interval Estimation and Hypothesis Testing. 5. Specification. 6. Violating Assumption One: Wrong Regressors. 7. Nonlinearities, and Parameter Inconstancy. 8. Violating Assumption Two: Nonzero Expected. 9. Disturbance. 10. Violating Assumption Three: Nonspherical Disturbances. 11. Violating Assumption Four: Measurement Errors and Autoregression. 12. Violating Assumption Four: Simultaneous Equations. 13. Violating Assumption Five: Multicollinearity. 14. Incorporating Extraneous Information. 15. The Bayesian Approach. 16. Dummy Variables. 17. Qualitative Dependent Variables. 18. Limited Dependent Variables. 19. Panel Data. 20. Time Series Econometrics. 21. Forecasting. 22. Robust Estimation. 23. Applied Econometrics. Appendix A: Sampling Distributions, the Foundation of Statistics. Appendix B: All About Variance. Appendix C: A Primer on Asymptotics. Appendix D: Exercises. Appendix E: Answers to Even-numbered Questions.