Lecture notes

Undergraduate econometrics

• Review of calculus (ECON 490)
• Introduction to EasyReg International (ECON 490 and 497, under construction))
• The two-variable linear regression model (ECON 490)
• Multivariate linear regression (ECON 490)
• Specification of econometric models (ECON 490)
• The Logit model: estimation, testing and interpretation (ECON 490)
• Modeling fractions (ECON 490-497)
• Forecasting (ECON 497)

Graduate econometrics

• All the lecture notes that I have used in ECON 501 and were downloadable from this web page have now been revised and included as chapters in my textbook
  • Introduction to the Mathematical and Statistical Foundations of Econometrics, Cambridge University Press (2004).
  These old lecture notes are therefore no longer available.
• The classical linear regression model (ECON 510)
• Multicollinearity (ECON 510)
• Tests of normality of regression errors (ECON 510)
• Method of moments (ECON 510)
• The uniform weak law of large numbers and the consistency of M-estimators (ECON 501-511)
• ARMA models (ECON 511)
• Information criteria and model selection (ECON 511)
• Forecasting (ECON 511)
• Vector time series and innovation response analysis (ECON 511)
• Unit roots (ECON 511)
• Spurious regression (ECON 511)
• Cointegration (ECON 511)
• Semi-nonparametric identification of the right censored mixed proportional hazard model (ECON 589)
• Introduction to Hilbert spaces (ECON 589)
• Orthonormal polynomials, related orthonormal functions and the Hilbert spaces they span (ECON 589)
• Weak convergence to the matrix stochastic integral òBdB' in the Gaussian case, with application to likelihood-based cointegration analysis. (ECON 589)
• The integrated conditional moment test (Seminar slides)
• Review of the integrated conditional moment test and its implementation in EasyReg International