Lecture notes

Undergraduate econometrics

• Review of calculus (ECON 490)
• Introduction to EasyReg International (ECON 490, 483)
• The two-variable linear regression model (ECON 490, 483)
• Multivariate linear regression (ECON 490, 483)
• Specification of econometric models (ECON 490, 483)
• The Logit model: estimation, testing and interpretation (ECON 490)
• Modeling fractions (ECON 490, 483)
• Forecasting (ECON 483)

Graduate econometrics

• ECON 510: Econometrics II
  • The classical linear regression model
  • Multicollinearity
  • Tests of normality of regression errors
  • Method of moments
  • The uniform weak law of large numbers and the consistency of M-estimators
• ECON 589: Time series econometrics
  • ARMA models
  • Information criteria and model selection
  • Forecasting (Updated November 5, 2008)
  • Vector time series and innovation response analysis
  • Unit roots
  • Spurious regression
  • Cointegration
  • Weak convergence to the matrix stochastic integral òBdB' in the Gaussian case, with application to likelihood-based cointegration analysis
• ECON 589: Semi-nonparametric econometrics
  • Introduction to Hilbert spaces
  • Orthonormal polynomials, related orthonormal functions and the Hilbert spaces they span
  • Semi-nonparametric identification of the right censored mixed proportional hazard model (Updated November 3, 2008)
• ECON 589: The integrated conditional moment test
  • The integrated conditional moment test (Seminar slides)
  • Review of the integrated conditional moment test and its implementation in EasyReg International