AbstractThis document contains lecture notes for a first year graduate course in econometrics, with coverage of basic topics such as OLS and hypothesis testing, through maximum likelihood and GMM, nonlinear models, time series, panel data, Bayesian methods, simulation-based methods, and other topics. The document contains numerous embedded links to example scripts and data, which illustrate the topics. The document is accompanied by a live operating system image that can be run using virtualization software on any of the popular operating systems, so that all examples can be accessed quickly and easily. The document and accompanying software are free: all sources are available under the GNU GPL.
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Bibliographic InfoPaper provided by Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC) in its series UFAE and IAE Working Papers with number 575.03.
Date of creation: 30 May 2003
Date of revision: 12 Feb 2013
Econometrics lecture notes; open source;
Find related papers by JEL classification:
- A23 - General Economics and Teaching - - Economic Education and Teaching of Economics - - - Graduate
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
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