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
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BdB'
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 ||
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