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Four issues are emphasized by the author: linear and nonlinear econometric estimation and testing, linear and nonlinear time series analysis, models with categorical and limited dependent variables, and fourth, modelling of linear and nonlinear panel data. The authors starts with a presentation of econometric inference in linear and nonlinear models including well known estimation methods such as the Marquardt method, Quasi-Gauss-method, and so on. A chapter on the Generalized Method of Moments as well as on nested and non-nested model tests concludes the first part.   Time series analysis follows as part two, dealing with the traditional Box-Jenkins approach, cointegration, varying parameter models, and issues on multivariate time series such as VAR-models, SVAR-models, and VARMA-models. Among the broad range of topics with categorical and limited dependent variables, the author discusses discrete choice models, limited responses, and the analysis of duration and count data. 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