The book has two objectives. The first is to introduce students to applied econometrics, including basic techniques in linear regression analysis and some of the rich variety of models that are used when the linear model proves inadequate or inappropriate. Modern software has made complicated modeling very easy to put into practice. The second objective is to present sufficient theoretical background so that the reader will (1) understand the advanced techniques that are made so simple in modern software and (2) recognize new variants of the models learned about here as merely natural extensions that fit within a common body of principles. This book contains a substantial amount of theoretical material, such as that on the GMM, maximum likelihood estimation, and asymptotic results for regression models.

这本书有两个目标。首先是向学生介绍应用计量经济学，包括线性回归分析的基本技术，以及当线性模型证明不适当或不适当时使用的一些丰富多样的模型。现代软件使复杂的建模变得非常容易实现。第二个目标是提供足够的理论背景，以便读者能够（1）理解现代软件中如此简单的先进技术，（2）认识到这里所学模型的新变体仅仅是符合共同原则体系的自然扩展。这本书包含大量的理论材料，如GMM，极大似然估计，以及回归模型的渐近结果。