Econometrics
Bruce E. Hansen
University of Wisconsin
Revised: February 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. 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
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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
Data in Stata Format
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
Data in Text Format
Duflo, Dupas, and Kremer (2011)
Data Description
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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
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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
Data in Stata Format
Data in Excel Format
Mankiw, Romer, and Weil (1992)
Data Description
Data in Excel Format
Data in Stata Format
Data in Text Format
Nerlove (1963)
Data Description
Data in Excel Format
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