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Advanced Econometrics - Amemiya, Takeshi
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The main features of this text are a thorough treatment of cross-section models--including qualitative response models, censored and truncated regression models, and Markov and duration models--and a rigorous presentation of large sample theory, classical least-squares and generalized least-squares theory, and nonlinear simultaneous equation models.

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Advanced Econometrics 1987, Blackwell Publishers, Oxford

ISBN-13: 9780631155836

Paperback

Advanced Econometrics 1985, Harvard University Press, Cambridge

ISBN-13: 9780674005600

Hardcover