Econometrics

Bruce E. Hansen
University of Wisconsin

Revised: January 3, 2014
Copyright 2000, 2014

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 (2014)
Formatted for printing.

Screen Version (2014)
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. A Introduction to Large Sample Asymptotics
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. Generalized Method of Moments
14. Empirical Likelihood
15. Endogeneity
16. Univariate Time Series
17. Multivariante Time Series
18. Limited Dependent Variables
19. Panel Data
20. Nonparametric Density Estimation
Appendix A: Matrix Algebra
Appendix B: Probability
Appendix C: Numerical Optimization
Bibliography

Data Sets:

cps09mar.dta
cps09mar.txt
invest.dat
nerlov.dat
cps78.dat
cps78.pdf
hprice1.dat
hprice1.pdf
card.dat
card.pdf

Manuscripts from Previous Years

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