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Econometrics(University of Wisconsin,2014).pdf
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Preface
This book is intended to serve as the textbook for a first-year graduate course in econometrics.It can be used as a stand-alone text, or be used as a supplement to another text.Students are assumed to have an understanding of multivariate calculus, probability theory,linear algebra, and mathematical statistics. A prior course in undergraduate econometrics would be helpful, but not required. Two excellent undergraduate textbooks are Wooldridge (2009) and Stock and Watson (2010).For reference, ome of the basic tools of matrix algebra, probability, and statistics are reviewedin the Appendix.For students wishing to deepen their knowledge of matrix algebra in relation to their study of econometrics, I recommend Matrix Algebra by Abadir and Magnus (2005). An excellent introduction to probability and statistics is Statistical Inference by Casella and Berger (2002). For those wanting a deeper foundation in probability, I recommend Ash (1972) or Billingsley (1995). For more advanced statistical theory, I recommend Lehmann and Casella (1998), van der Vaart (1998), Shao (2003), and Lehmann and Romano (2005).
For further study in econometrics beyond this text, I recommend Davidson (1994) for asymptotic theory, Hamilton (1994) for time-series methods,Wooldridge (2002) for panel data and discrete response models, and Li and Racine (2007) for nonparametrics and semiparametric econometrics. Beyond these texts, the Handbook of Econometrics series provides advanced summaries of contemporary econometric methods and theory.The end-of-chapter exercises are important parts of the text and are meant to help teach students of econometrics. Answers are not provided, and this is intentional.
I would like to thank Ying-Ying Lee for providing research assistance in preparing some of the empirical examples presented in the text.As this is a manuscript in progress, some parts are quite incomplete, and there are many topics which I plan to add. In general, the earlier chapters are the most complete while the later chapters need significant work and revision.
content
http://www.ssc.wisc.edu/~bhansen/econometrics/
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