Symbols and Notation.- Introduction: Background, History and Practical Examples.- The Least Squares Estimators.- Assumptions and Remarks.- The Scope of the Monograph.- The Structure of the Monograoh.- Estimation of the Parametric Component: Estimation with Heteroscedastic Errors.- Estimation with Censored Data.

- Bootstrap Approximations.- Estimation of the Nonparametric Component: Introduction.- Consistency Results.- Asymptotic Normality.- Simulated and Real Examples.- Appendix.- Estimation with Measurement Errors: Linear Variables with Measurement Errors.- Nonlinear Variables with Measurement Errors.

- Some Related Theoretic Topics: The Laws of the Iterated Logarithm.- The Berry-Esseen Bounds.- Asymptotically Efficient Estimation.- Bahadur Asymptotic Efficiency.- Second Order Asymptotic Efficiency.- Estimation of the Error Distribution.- Partially Linear Time Series Models: Introduction.- Adaptive Parametric and Nonparametric Tests.

- Optimum Linear Subset Selection.- Optimum Bandwidth Selection.- Other Related Developments.- The Assumptions and the Proofs of Theorems.- Appendix: Basic Lemmas.