University of Wisconsin, 2012.This book is intended to serve as the textbook for a first-year graduate course in econometrics. It can be used as a stand-alone text, or be used as a supplement to another text.
Students are assumed to have an understanding of multivariate calculus, probability theory, linear algebra, and mathematical statistics. A prior course in undergraduate econometrics would be helpful, but not required.
The end-of-chapter exercises are important parts of the text and are meant to help teach students of econometrics. Answers are not provided, and this is intentional.Moment Estimation
Conditional Expectation and Projection
The Algebra of Least Squares
Least Squares Regression
Asymptotic Theory for Least Squares
Restricted Estimation
Hypothesis Testing
Regression Extensions
The Bootstrap
NonParametric Regression
Series Estimation
Quantile Regression
Generalized Method of Moments
Empirical Likelihood
Endogeneity
Univariate Time Series
Multivariate Time Series
Limited Dependent Variables
Panel Data
Nonparametric Density EstimationAppendices
Matrix Algebra
Probability
Numerical Optimization
