第一章的目录：

1 Finite-Sample Properties of OLS 3 1.1 The Classical Linear Regression Model 3 The Linearity Assumption 4 Matrix Notation 6 The Strict Exogeneity Assumption 7 Implications of Strict Exogeneity 8 Strict Exogeneity in Time-Series Models 9 Other Assumptions of the Model 10 The Classical Regression Model for Random Samples 12 "Fixed" Regressors 13 1.2 The Algebra of Least Squares 15 OLS Minimizes the Sum of Squared Residuals 15 Normal Equations 16 Two Expressions for the OLS Estimator 18 More Concepts and Algebra 18 Influential Analysis (optional) 21 A Note on the Computation of OLS Estimates 23 1.3 Finite-Sample Properties of OLS 27 Finite-Sample Distribution of b 27 Finite-Sample Properties of s² 30 Estimate of Var(b | X) 31 1.4 Hypothesis Testing under Normality 33 Normally Distributed Error Terms 33 Testing Hypotheses about Individual Regression Coefficients 35 Decision Rule for the t-Test 37 Confidence Interval 38 p-Value 38 Linear Hypotheses 39 The F-Test 40 A More Convenient Expression for F 42 t versus F 43 An Example of a Test Statistic Whose Distribution Depends on X 45 1.5 Relation to Maximum Likelihood 47 The Maximum Likelihood Principle 47 Conditional versus Unconditional Likelihood 47 The Log Likelihood for the Regression Model 48 ML via Concentrated Likelihood 48 Cramer-Rao Bound for the Classical Regression Model 49 The F-Test as a Likelihood Ratio Test 52 Quasi-Maximum Likelihood 53 1.6 Generalized Least Squares (GLS) 54 Consequence of Relaxing Assumption 1.4 55 Efficient Estimation with Known V 55 A Special Case: Weighted Least Squares (WLS) 58 Limiting Nature of GLS 58 1.7 Application: Returns to Scale in Electricity Supply 60 The Electricity Supply Industry 60 The Data 60 Why Do We Need Econometrics? 61 The Cobb-Douglas Technology 62 How Do We Know Things Are Cobb-Douglas? 63 Are the OLS Assumptions Satisfied? 64 Restricted Least Squares 65 Testing the Homogeneity of the Cost Function 65 Detour: A Cautionary Note on R² 67 Testing Constant Returns to Scale 67 Importance of Plotting Residuals 68 Subsequent Developments 68 Problem Set 71 Answers to Selected Questions 84

Answers to Selected Review Questions in Econometrics，详细答案，真的十分之爽啊！不下是你的重大决策失误啊！

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这个都是从Fumio Hayashi网站COPY来的吧，书的第一章出版社也可免费下啊！

http://www.e.u-tokyo.ac.jp/~hayashi/

Links related to Hayashi Econometrics

http://www.e.u-tokyo.ac.jp/~hayashi/hayashi_econometrics.htm

Hayashi Econometrics

Publisher's homepage of Econometrics (You can download Preface, Table of Contents, and Chapter 1 from there.)

Datasets for Econometrics

Marc Nerlove, "Returns to Scale in Electricity Supply" (the paper covered in Section 1.7 of Econometrics) -- Here is a scanned file in 7 installments (made available here with a full blessing of Marc Nerlove): pp. 167-71 (about 1.37Mb) pp. 172-76 (about 1.46Mb) pp. 177-81 (about 1.42Mb) pp. 182-86 (about 1.40Mb) pp. 187-91 (about 1.46Mb) pp. 192-96 (about 1.10Mb) pp. 197-98 (about 0.56Mb)

Answers to Selected Review Questions in Econometrics

Answers to Analytical Exercises (Chapters 1-9)

Known typos and errors (last update: September 14, 2004).

Section 1.5 on Maximum Likelihood has been revised! (November 4, 2003)

FAQs (last update: September 22, 2004)

RATS programs for all the empirical and Monte-Carlo exercises (provided by Estima).