# 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:

Current Population Survey, March 2009 (cps09mar)

Data Description

Data in Excel Format

Data Stata Format

Data in Text Format

Duflo, Dupas, and Kremer (2011)

Data Description

Data in Excel Format

Data Stata Format

Data in Text Format

Mankiw, Romer, and Weil (1992)

Data Description

Data in Excel Format

Data Stata Format

Data in Text Format

invest

Data Description

Data in Excel Format

Data Stata Format

Data in Text Format

Nerlove (1963)

Data Description

Data in Excel Format

Data Stata Format

Data in Text Format

Card (1995)

Data Description

Data in Excel Format

Data Stata Format

Data in Text Format

Acemoglu, Johnson, & Robinson (2001, 2012)

Data Description

Data in Excel Format

Data Stata Format

Data in Text Format

hprice1

Data Description

Data in Text Format

### 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