| 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. |
Table of Contents
Study Materials
Readings
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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
Part II
| TOPICS | READINGSS |
|---|---|
| D. Fundamentals of regression | |
| Regression in economics | Greene. Econometric Analysis. Chapters 2 and 3 (skim chapters 7 and 8.)
Newey, W. "Convergence Rates and Asymptotic Normality for Series Estimators." Journal of Econometrics 79 (1997): 147-168.
|
| 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.