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. (That is, the last open-access version from July 2021).

Week 1

Lecture slides in pdf format
Reading:
- Stachurski chapters 2, 3, 4.1.5, 5.2,
- Brockwell and Davis chapter 2

Week 2

Lecture slides in pdf format
Reading:
- 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

Week 3

Lecture slides in pdf format
Reading:
- 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)

Week 4

Lecture slides in pdf format
Reading:
- 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

Week 5

Lecture slides in pdf format
Reading:
- Hansen chapters 4.10, and 12.1 through 12.7

Week 6

Lecture slides in pdf format
Reading:
- Hansen chapters 12.12, 12.15, and 12.16

Week 7

Lecture slides in pdf format
Reading:
- Hansen chapters 12.35, and 12.36

Week 8

Lecture slides in pdf format
Reading:
- Hansen chapters 9.1-9.6, 12.35, and 12.36

Week 9

Lecture slides in pdf format
Reading:
- Hansen (Feb 2020 version) chapters 12.11, and 12.34
- Wooldridge chapter 21.4

Week 10

Lecture slides in pdf format
Reading:
- Casella and Berger, Statistical Inference, 2ed, chapters 7.2.2, 7.3.2, 10.1.1, and 10.1.2

Week 11

Lecture slides in pdf format
Reading:
- Hansen chapters 25.1-25.5, 27.9, 27.10
- Wooldridge chapters 15.1, 15.2, 15.3, 15.4, and 19.6.1

Week 12

Lecture slides in pdf format
Reading:
- 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