# 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