Econometrics

Bruce E. Hansen
University of Wisconsin

Revised: January 5, 2017
Copyright 2000, 2017

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.
Solutions for the exercises are NOT available.

Current Manuscript (2017)
Formatted for printing.

Screen Version (2017)
Formatted for screen reading on a Tablet.
Use two-page view on horizontal screens.

Chapter Headings:

1. Introduction
2. Conditional Expectation and Projection
3. The Algebra of Least Squares
4. Least Squares Regression
5. Normal Regression and Maximum Likelihood
6. A Introduction to Large Sample Asymptotics
7. Asymptotic Theory for Least Squares
8. Restricted Estimation
9. Hypothesis Testing
10. Endogeneity
11. Generalized Method of Moments
12. Regression Extensions
13. The Bootstrap
14. Nonparametric Regression
15. Series Estimation
16. Empirical Likelihood
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

Data Sets:

Current Population Survey, March 2009 (cps09mar)
Data Description
Data in Excel Format
Data Stata Format
Data in Text Format

Acemoglu Johnson & Robinson (2001, 2012) (AcemogluJohnsonRobinson2012)
Data Description
Data in Excel Format
Data Stata Format
Data in Text Format

Card (1995) (Card1995)
Data Description
Data in Excel Format
Data Stata Format
Data in Text Format

Other Data Sets
invest.dat
nerlov.dat
cps78.dat
cps78.pdf
hprice1.dat
hprice1.pdf
card.dat
card.pdf

Manuscripts from Previous Years

January 2016
January 2015
January 2014
January 2013
January 2012
January 2011
January 2010
January 2009
January 2008
January 2007
January 2006
January 2005
January 2004
January 2003
January 2002