Lecture notes

Undergraduate econometrics

• Review of calculus
• Importing data in EasyReg International
• The two-variable linear regression model
• Multivariate linear regression
• Specification of econometric models
• The Logit model: estimation, testing and interpretation
• Comparison of the Probit and Logit distributions
• Modeling fractions
• Forecasting

Graduate econometrics

Cross-section and panel data

• 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

Time series econometrics

• The Wold decomposition
• ARMA models
• Information criteria and model selection
• Forecasting
• 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

Semi-nonparametric econometrics

• Introduction to Hilbert spaces
• Hilbert space theory and its applications to semi-nonparametric modeling and inference
• Semi-nonparametric identification of the right censored mixed proportional hazard model

Consistent model specification tests

• The integrated conditional moment test (Seminar slides)
• Review of the integrated conditional moment test and its implementation in EasyReg International

Miscellaneous

• The inverse of a partitioned matrix
• The matrix norm ||A||