# Introduction to Econometrics

## Bruce E. Hansen

University of Wisconsin

October 14, 2020

Copyright 2020

This textbook is the first 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 (this volume)

2. Econometrics (the next 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. Basic Probability Theory

2. Random Variables

3. Parametric Distributions

4. Multivariate Distributions

5. Normal and Related Distributions

6. Sampling

7. Law of Large Numbers

8. Central Limit Theory

9. Advanced Asymptotic Theory

10. Maximum Likelihood Estimation

11. Method of Moments

12. Numerical Optimization

13. Hypothesis Testing

14. Confidence Intervals

15. Shrinkage Estimation

16. Bayesian Methods

17. Nonparametric Density Estimation

18. Empirical Process Theory

Appendix: Mathematics Reference

References