The main textbook for the course is Bruce Hansen’s Econometrics.
This wonderful book has been available publicly for many years, but it seems that since the middle of 2021 the manuscript is in the process of being turned into an official textbook.
I’m sharing here the last open-access version of the manuscript which contains all the material that we need:
This version is dated February 2021.
Preparing for the Course
All of you will be familiar with linear regression and ordinary least squares estimation. Chapters 2, 3, 4, and 5 of the Hansen book should refresh and deepen your knowledge. We will cover these chapters in class, but reading and studying a little bit ahead of time may be useful.
You will notice that the Hansen book makes heavy use of matrix algebra. My course does too! I take your knowledge of matrix algebra for granted. You may want to brush up on your skills by reading Hansen’s appendix on matrix algebra!
Other books recommended for this course are:
- Stachurski: A Primer in Econometric TheoryWonderful book combining metrics, analysis, and computational
- Wooldridge: Econometric Analysis of Cross Section and Panel Data, (2010)Classic, but a bit dusty
- Casella and Berger: Statistical Inference, (2001)Timeless
- Brockwell and Davis: Time Series: Theory and Methods, (2009)Nice chapter on Hilbert Space