Econometrics
Bruce E. Hansen
University of Wisconsin
Revised: January 18, 2012
Copyright 2000, 2012
This is a draft of a first-year Ph.D. econometrics textbook.
This manuscript may be printed and reproduced for individual or instructional use, but may not be printed for commercial purposes.
Comments are welcome.
Chapter Headings:
1. Introduction
2. Moment Estimation
3. Conditional Expectation and Projection
4. The Algebra of Least Squares
5. Least Squares Regression
6. Asymptotic Theory for Least Squares
7. Restricted Estimation
8. Hypothesis Testing
9. Regression Extensions
10. The Bootstrap
11. Nonparametric Regression
12. Series Estimation
13. Quantile Regression
14. Generalized Method of Moments
15. Empirical Likelihood
16. Endogeneity
17. Univariate Time Series
18. Multivariante Time Series
19. Limited Dependent Variables
20. Panel Data
21. Nonparametric Density Estimation
Appendix A: Matrix Algebra
Appendix B: Probability
Appendix C: Numerical Optimization
Bibliography
Current Manuscript (2012)
Manuscripts from Previous Years
January 2011
January 2010
January 2009
January 2008
January 2007
January 2006
January 2005
January 2004
January 2003
January 2002