Economics 527: Econometric Methods

Syllabus

Lecture notes:

  1. Basics of Probability. Updated: September 21, 2014.
  2. Linear regression model and OLS. Updated: September 29, 2014.
  3. Geometry of OLS, partitioned regression, goodness of fit. Updated: October 7, 2016.
  4. Confidence intervals. Updated: October 25, 2016.
  5. Hypothesis testing. Updated: October 25, 2016.
  6. Properties of the adjusted coefficient of determination, misspecified models, structural change, dummy variables, forecasts. Updated: November 2, 2010.
  7. Large sample theory. Updated: November 7, 2013.
  8. Large sample properties of OLS, asymptotic confidence intervals and hypothesis testing. Updated: December 21, 2010.
  9. Heteroskedasticity and GLS. Updated: December 8, 2008.
  10. Endogeneity and IV estimation. Updated: December 17, 2010.
  11. GMM, part I. Updated: November 21, 2010.
  12. GMM, part II. Updated: November 21, 2010.
  13. Simultaneous equations. Updated: November 15, 2006.
  14. Maximum likelihood estimation. Updated: December 8, 2008.
  15. Binary response models. Updated: December 8, 2008.
  16. Time series topics. Updated: February 8, 2006.

Assignments:

Misc. materials: