Texts
Part 1
The text, which will be followed closely, is:
Casella, George, and Roger Berger. Statistical Inference . 2nd ed. Pacific Grove, CA: Thomson Learning, 2002. ISBN: 9780534243128.
This book covers all of the material in Part 1 and provides many problems for practice as well as excellent references.
Part 2
Greene, William. Econometric Analysis. 5th ed. Upper Saddle River, NJ: Prentice-Hall, 2003. ISBN: 9780130661890.
Errors in the 5th edition may be found here.
You can also find the material in any standard text on regression.
Readings by Topic
Part I
Course readings.
| TOPICS |
READINGS |
| A. Brief review of probability |
| Brief review of probability |
Casella and Berger. Statistical Inference. Chapters 1-4. |
| B. Random samples and asymptotic methods |
| Sampling and sums of random variables |
Casella and Berger. Statistical Inference. Sections 5.1-5.3. |
| Laws of large numbers and central limit theorem |
Casella and Berger. Statistical Inference. Section 5.5. |
| C. Statistical Theory |
| Point estimation |
Casella and Berger. Statistical Inference. Sections 7.2 and 6.2.1. |
| Evaluation of estimators: Unbiasedness, sufficiency, consistency, and the Cramer-Rao theorem |
Casella and Berger. Statistical Inference. Sections 7.3, 6.2.1, 6.2.2, and 10.1. |
| Interval estimation |
Casella and Berger. Statistical Inference. Chapter 9 and section 10.4. |
Part II
Course readings.
| TOPICS |
READINGSS |
| D. Fundamentals of regression |
| Regression in economics |
Greene. Econometric Analysis. Chapters 2 and 3 (skim chapters 7 and 8.)
Varian, H. "Econometrics." Chapter 12 in Microeconomic Analysis. 3rd ed. New York, NY: W.W. Norton and Company, 1992, pp. 198-214. ISBN: 9780393957358.
Newey, W. "Convergence Rates and Asymptotic Normality for Series Estimators." Journal of Econometrics 79 (1997): 147-168.
Judd, K. "Approximation Methods." Chapter 6 in Numerical Methods in Economics. Cambridge, MA: MIT Press, 1998, pp. 195-249. ISBN: 9780262100717.
|
| Best linear predictor |
| Best linear approximation |
| Conditional expectation function |
| Building functional forms |
| E. Regression in finite samples |
| Basic regression algebra |
Greene. Econometric Analysis. Chapters 4 and 6. |
| Gauss-Markov optimality |
| Finite-sample inference under normality and non-normality |
| F. Regression in large samples |
| Consistency |
Greene. Econometric Analysis. Chapters 5, 6, 11, and 12.
Newey, W. "Asymptotic Theory of Least Squares." 14.382 Lecture Notes, Spring 2000.
Remarks on normality (PDF)
|
| Asymptotic Normality |
| Heteroscedasticity |
| Autocorrelation |
| G. Special topics (if time permits) |
Additional Readings
Appendices in Greene collect background material on matrices and large sample theory. See also the lecture notes.
