Econometrics

Bruce E. Hansen
University of Wisconsin

Revised: January 2019
Copyright 2000, 2019

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 (February 2019)

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. Resampling Methods
11. Multivariate Regression
12. Instrumental Variables
13. Generalized Method of Moments
14. Time Series
15. Multivariante Time Series
15. Non Stationary Time Series
17. Panel Data
18. Density Estimation
19. Nonparametric Regression
20. Series Estimation
21. Nonlinear Econometric Models
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

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

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

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

FRED-MD
Data Description
Data in Stata Format

FRED-QD
Data Description
Data in Stata Format

GDP
Data in Excel Format
Data in Stata Format
Data in Text Format

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

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