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:

Current Population Survey, March 2009 (cps09mar)
Data Description
Data in Excel Format
Data in Stata Format
Data in Text Format

Arellano and Bond (1991)
Data Description
Data in Excel Format
Data in Stata Format
Data in Text Format

Acemoglu, Johnson, & Robinson (2001, 2012)
Data Description
Data in Excel Format
Data in Stata Format
Data in Text Format

Angrist and Krueger (1991)
Data Description
Data in Excel Format
Data in Stata Format
Data in Text Format

Angrist and Lavy (1999)
Data Description
Data in Stata Format
Data in Excel Format

Bernheim, Meer and Novarro (2016)
Data Description
Data in Stata Format
Data in Excel Format

Card (1995)
Data Description
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Data in Stata Format
Data in Text Format

Card and Krueger (1994)
Data Description
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Data in Excel Format

Card, Mas, and Rothstein (2008)
Data Description
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Data in Excel Format

Cox, Hansen, and Jimenez (2004)
Data Description
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Data in Stata Format

Duflo, Dupas, and Kremer (2011)
Data Description
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Data in Stata Format

DiTella and Schargrodsky (2004)
Data Description
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Data in Excel Format

FRED-MD
Data Description
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Data in Excel Format

FRED-QD
Data Description
Data in Stata Format
Data in Excel Format

Invest1993 (Hall and Hall, 1993)
Data Description
Data in Excel Format
Data in Stata Format
Data in Text Format

Kilian (2009)
Data Description
Data in Excel Format
Data in Stata Format
Data in Text Format

Koppelman (Forinash and Koppelman (1993), Koppelman and Wen (2000), Wen and Koppelman (2001))
Data Description
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Data in Stata Format

Ludwig and Miller (2007)
Data Description
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Data in Excel Format

Mankiw, Romer, and Weil (1992)
Data Description
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Data in Stata Format
Data in Text Format

Nerlove (1963)
Data Description
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Data in Stata Format
Data in Text Format

Papageorgiou, Saam, and Schulte (2017)
Data Description
Data in Excel Format
Data in Stata Format

Reinhard and Rogoff (2010)
Data Description
Data in Excel Format
Data in Stata Format
Data in Text Format

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