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Econometrics

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Abstract

This 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, using the Julia programming language, which illustrate the topics.

Suggested Citation

  • Michael Creel, 2003. "Econometrics," UFAE and IAE Working Papers 575.03, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), revised 23 Oct 2015.
    • Handle: RePEc:aub:autbar:575.03
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    File URL: https://github.com/mcreel/Econometrics
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    1. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
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    Cited by:

    1. L. Pozzi & F. Heylen & M. Dossche, 2002. "Government debt and the excess sensitivity of private consumption to current income: an empirical analysis for OECD countries," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 02/155, Ghent University, Faculty of Economics and Business Administration.
    2. Michael Creel & Dennis Kristensen, "undated". "Indirect Likelihood Inference," Working Papers 558, Barcelona School of Economics.
    3. Lavan Mahadeva & Javier Gómez Pineda, 2009. "The international cycle and Colombian monetary policy," Borradores de Economia 5406, Banco de la Republica.

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    More about this item

    Keywords

    Econometrics lecture notes; open source;

    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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