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