EconometricsBruce E. Hansen
University of WisconsinRevised: January 5, 2017
Copyright 2000, 2017

This is a draft of a first-year Ph.D. econometrics textbook.

This manuscript may be printed and reproduced for individual or instructional use, but may not be printed for commercial purposes.
Comments are welcome.
Solutions for the exercises are NOT available.

Current Manuscript (2017)
Formatted for printing.

Screen Version (2017)
Formatted for screen reading on a Tablet.
Use two-page view on horizontal screens.

Chapter Headings:1. Introduction
2. Conditional Expectation and Projection
3. The Algebra of Least Squares
4. Least Squares Regression
5. Normal Regression and Maximum Likelihood
6. A Introduction to Large Sample Asymptotics
7. Asymptotic Theory for Least Squares
8. Restricted Estimation
9. Hypothesis Testing
10. Endogeneity
11. Generalized Method of Moments
12. Regression Extensions
13. The Bootstrap
14. Nonparametric Regression
15. Series Estimation
16. Empirical Likelihood
17. Univariate Time Series
18. Multivariante Time Series
19. Limited Dependent Variables
20. Panel Data
21. Nonparametric Density Estimation
Appendix A: Matrix Algebra
Appendix B: Probability
Appendix C: Numerical Optimization
Bibliography