Prof. Victor Chernozhukov
The course introduces statistical theory to prepare 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), http://ocw.mit.edu/courses/economics/14-381-statistical-method-in-economics-fall-2006 (Accessed). License: Creative Commons BY-NC-SA