Econometrics

Bruce E. Hansen
University of Wisconsin

Revised: March 11, 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. Introduction to Econometrics (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:

Manuscripts from Previous Years

December 2018
January 2018
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