Econometrics

Aннотация:
Lectures written for a first-year Ph.D. course in econometrics.

This is a draft of an incomplete first-year Ph.D. econometrics textbook

Table of Contents

1. Introduction
2. Regression and Projection
3. Least Squares Estimation
4. Inference
5. Additional Regression Topics
6. The Bootstrap
7. Generalized Method of Moments
8. Empirical Likelihood
9. Endogeneity
10. Univariate Time Series
11. Multivariante Time Series
12. Limited Dependent Variables
13. Panel Data
14. Nonparametrics

Appendix A: Matrix Algebra
Appendix B: Probability Theory
Appendix C: Asymptotic Theory
Appendix D: Maximum Likelihood
Appendix E: Numerical Optimization
Bibliography