Econometrics

Bruce E. Hansen
University of Wisconsin

Revised: January 2018
Copyright 2000, 2018

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 (January 2018)
Formatted for printing.

Screen Version (January 2018)
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. Multivariate Regression
11. Endogeneity
12. Generalized Method of Moments
13. The Bootstrap
14. Univariate Time Series
15. Multivariante Time Series
16. Panel Data
17. Nonparametric Regression
18. Series Estimation
19. Empirical Likelihood
20. Regression Extensions
21. Limited Dependent Variables
22. Nonparametric Density Estimation
Appendix A: Matrix Algebra
Appendix B: Probability Inequalities
Bibliography

Data Sets:

Manuscripts from Previous Years

October 2017
January 2017
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

Data Sets Used in Previous Years

cps78.dat
cps78.pdf
card.dat
card.pdf
hprice1_description.pdf
hprice1.txt
invest_description.pdf
invest.xlsx
invest.dta
invest.txt