Presents a likelihood-based introduction to econometrics. Discusses the Bernoulli model; inference in the Bernoulli model; a first regression model; the logit model; the two-variable regression model; the matrix algebra of two-variable regression; the multiple regression model; the matrix algebra of multiple regression; misspecification analysis in cross sections; strong exogeneity; empirical models and modeling; autoregressions and stationarity; misspecification analysis in time series; the vector autoregressive model; identification of structural models; nonstationary time series; cointegration; Monte Carlo simulation experiments; automatic model selection; structural breaks; forecasting; and the way ahead. Hendry is Professor of Economics at the University of Oxford and a Fellow of Nuffield College. Nielsen is Reader in Econometrics at the University of Oxford and a Fellow of Nuffield College. Author and subject indexes.