Lectures

Weekly lecture material will be posted here. I may update content as we go along.

Note

All references to the Hansen textbook refer to the version made availabe under Textbooks.

Week

Materials

Reading

1

Lecture slides

  • Stachurski chapters 2, 3, 4.1.5, 5.2

  • Brockwell and Davis chapter 2

2

Lecture slides

  • Stachurski chapters 8.1, and 8.2.1

  • Hansen chapters 2.18, 6.1, 6.2, 6.3, 6.8, 7.1, and 7.2

  • Wooldridge chapters 3.1 through 3.4, and 3.5.1, and 4.2

3

Lecture slides

  • Stachurski chapters 4.1, and 6.1

  • Hansen chapters 4.15, 4.16, 4.17, 6.1, 6.2, 6.3, 6.4, 6.5, 7.3, 7.5, 7.7

  • Wooldridge chapters 3.1 through 3.4, and 3.5.1, and 4.2 (same as last week)

4

Lecture slides

  • Hansen chapters 2.5, 2.8, 2.11, 2.14, 2.15, 2.18, 2.30, 4.4, 4.5, 4.6, 4.7, and 4.8

5

Lecture slides

  • Hansen chapters 4.10, and 12.1 through 12.7, and chapters 12.11, and 12.34

  • Wooldridge chapter 21.4

6

Midterm exam!

(No lecture)

7

Lecture slides

  • Hansen chapters 9.1-9.6, 12.12, 12.15, 12.16, 12.35, and 12.36

8
Julia notebook (ipynb)
Julia notebook (html)

9
Julia notebook (ipynb)
Julia notebook (html)

10

Lecture slides

  • Casella and Berger, Statistical Inference, 2ed, chapters 7.2.2, 7.3.2, 10.1.1, and 10.1.2

11

Lecture slides

  • Hansen chapters 25.1-25.5, 27.9, 27.10

  • Wooldridge chapters 15.1, 15.2, 15.3, 15.4, and 19.6.1

12

Lecture slides

  • Wooldridge chapters 12.1, 12.2, and 12.3

  • Newey and McFadden, Large Sample Estimation and Hypothesis Testing, in Handbook of Econometrics, chapter 36, sections 1, 2, 3, and 4