Lecture notes

Undergraduate econometrics

• Review of calculus
• Introduction to EasyReg International
• The two-variable linear regression model
• Multivariate linear regression
• Specification of econometric models (Updated: March 26, 2009)
• The Logit model: estimation, testing and interpretation
• Comparison of the Probit and Logit distributions
• Modeling fractions
• Forecasting

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 (Updated: February 23, 2009)
  • Information criteria and model selection
  • Forecasting (Updated: February 26, 2009)
  • 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 (Updated December 5, 2008)
  • Hilbert space theory and its applications in econometrics (Updated: January 30, 2009. This lecture note will in due course replace the previous two)
  • 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