Statistical Method in Economics

A linear spline approximation to a curve.

Approximations of a curve by linear splines with K=3 and K=8. The curve is approximated to a reasonable extent. (Image by Prof. Victor Chernozhukov.)


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As Taught In

Fall 2006



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Course Features

Course Description

This course is divided into two sections and is co-taught by two instructors. This version is Part II. Part I, from the fall of 2013, provides an introduction to statistical theory.

The second part of the course prepares students for the remainder of the econometrics sequence. The emphasis of the course is to understand the basic principles of statistical theory. A brief review of probability will be given; however, this material is assumed knowledge. The course also covers basic regression analysis. Topics covered include probability, random samples, asymptotic methods, point estimation, evaluation of estimators, Cramer-Rao theorem, hypothesis tests, Neyman Pearson lemma, Likelihood Ratio test, interval estimation, best linear predictor, best linear approximation, conditional expectation function, building functional forms, regression algebra, Gauss-Markov optimality, finite-sample inference, consistency, asymptotic normality, heteroscedasticity, and autocorrelation.



Chernozhukov, Victor. 14.381 Statistical Method in Economics, Fall 2006. (MIT OpenCourseWare: Massachusetts Institute of Technology), (Accessed). License: Creative Commons BY-NC-SA

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