Econometrics

Bruce E. Hansen
University of Wisconsin

Princeton University Press, forthcoming

This revision: August 18, 2021
Copyright 2000, 2021

This textbook is the second in a two-part series covering the core material typically taught in a one-year Ph.D. course in econometrics. The sequence is

1. Probability and Statistics for Economists (first volume)
2. Econometrics (this volume)

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.

Chapter Headings:

1. Introduction
2. Conditional Expectation and Projection
3. The Algebra of Least Squares
4. Least Squares Regression
5. Normal Regression
6. A Review of Large Sample Asymptotics
7. Asymptotic Theory for Least Squares
8. Restricted Estimation
9. Hypothesis Testing
10. Resampling Methods
11. Multivariate Regression
12. Instrumental Variables
13. Generalized Method of Moments
14. Time Series
15. Multivariate Time Series
16. Non Stationary Time Series
17. Panel Data
18. Difference in Differences
19. Nonparametric Regression
20. Series Estimation
21. Regression Discontinuity
22. M-estimators
23. Nonlinear Least Squares
24. Quantile Regression
25. Binary Choice
26. Multiple Choice
27. Censoring and Selection
28. Model Selection, Stein Shrinkage, and Model Averaging
29. Machine Learning
Appendix A: Matrix Algebra
Appendix B: Useful Inequalities
References

Data Sets:

Current Population Survey, March 2009 (cps09mar)
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Arellano and Bond (1991)
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Acemoglu, Johnson, & Robinson (2001, 2012)
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Angrist and Krueger (1991)
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Angrist and Lavy (1999)
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Bernheim, Meer and Novarro (2016)
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Card (1995)
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Card and Krueger (1994)
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Card, Mas, and Rothstein (2008)
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Cox, Hansen, and Jimenez (2004)
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Duflo, Dupas, and Kremer (2011)
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DiTella and Schargrodsky (2004)
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FRED-MD
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FRED-QD
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Invest1993 (Hall and Hall, 1993)
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Kilian (2009)
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Koppelman (Forinash and Koppelman (1993), Koppelman and Wen (2000), Wen and Koppelman (2001))
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Ludwig and Miller (2007)
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Mankiw, Romer, and Weil (1992)
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Nerlove (1963)
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Papageorgiou, Saam, and Schulte (2017)
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Reinhard and Rogoff (2010)
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