2024 Spring
This repository hosts lecture notes and code.
- Hansen (2021): Probability and Statistics for Economists [PS]
- Hansen (2021): Econometrics [E]
As a sequel to ECON5120, this course will cover advanced theoretical topics in econometric theory.
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Part I: Extremum estimator
- Asymptotic theory I ([PS] ch.7, 8, 9; [E] ch.6)
- Asymptotic theory II ([PS] ch.9, 18)
- Extremum estimator ([E] ch.22)
- Maximum likelihood ([PS] ch.10)
- Generalized method of moments ([E] ch.13)
- Quantile regressions ([E] ch.24)
- Numerical optimization ([PS] ch.12)
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Part II: Time series
- Time dependence and asymptotics ([E] ch.14)
- ARMA models ([E] ch.14)
- Time series regressions ([E] ch.14)
- VAR models ([E] ch.15)
- Unit roots ([E] ch.16)
- ECON5120
provides an interactive environment for IPython notebooks.
孙子兵法·始计篇:夫未战而庙算胜者,得算多也;未战而庙算不胜者,得算少也。多算胜,少算不胜,而况于无算乎?吾以此观之,胜负见矣。