Fall 2004: Econometrics I, III

Course Syllabus

Lecture Notes

I. Elements of Matrix Algebra

II. Introduction to Econometric Theory

Contents

1. Linear and Matrix Algebra

2. Statistical Concepts

3. Classical Least Squares Theory

4. Generalized Least Squares Theory

5. Elements of Probability Theory

6. Asymptotic Least Squares Theory

7. Asymptotic Least Squares Theory : Part II New!!

8. Nonlinear Least Squares Theory New!!

9. The Quasi-Maximum Likelihood Method: Theory New!! (2004/ 12/ 27)

III. Supplemental Reading

A Note on Robust Hypothesis Testing New!!

Basic Time Series Analysis New!! (2005/1/2)

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Fall 2003: Econometrics

Course Syllabus

Lecture Notes

I. Elements of Matrix Algebra

II. Introduction to Econometric Theory

Contents

1 Linear and Matrix Algebra

2 Statistical Concepts

3 Classical Least Squares Theory

4 Generalized Least Squares Theory

5 Elements of Probability Theory

6 Asymptotic Least Squares Theory

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April 2003: Applied Financial Econometrics

Course Syllabus

Guidelines for termpaper

Lecture Notes

I. Lecture on Basic Time Series Models (March 6, 2003)

II. Lecture on the Markov Switching Model (March 8, 2003)

III. Lecture on Time Series Diagnostic Tests (March 26, 2003)

IV. A Note on Rebust Hypothesis Testing

V. An Introduction to Quantile Regression

Data: usstock.dat readme.txt

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