matteocourthoud / Phd-Econometrics

Graduate Econometrics course notes with code in Julia

Econometrics

⚠️ WORK IN PROGRESS! ⚠️

Welcome to my lecture notes for graduate Econometrics!

These notes were initially born as my personal summary for the PhD Econometrics course of professor Damian Kozbur in Zurich. The first draft was the result of an intense collaborative effort together with Chiara Aina and Paolo Mengano. They helped a lot in both drafting and revising the original notes. During the years I have expanded the first draft in order to make it more comprehensive and include Julia code examples. I will try to be as transparent as possible on the sources of the material but all errors are mine.

Content

My notes cover the following content

• Matrix Algebra

  • Hansen (2021). "Econometrics". Appendix A.
  • Greene (2006). "Econometric Analysis". Appendix A: Matrix Algebra.

• Probability Theory

  • Greene (2006). "Econometric Analysis". Appendix B: Probability and Distribution Theory.
  • Greene (2006). "Econometric Analysis". Appendix C: Estimation and Inference.

• Asymptotic Theory

  • Hansen (2021). "Econometrics". Chapters 6.
  • Wooldridge (2010). "Econometric Analysis of Cross Section and Panel Data". Chapter 3: Basic Asymptotic Theory.
  • Halmos (2006). "Lectures on Ergodic Theory".
  • Greene (2006). "Econometric Analysis". Appendix D: Large Sample Distribution Theory.
  • Hayashi (2000). "Econometrics". Chapter 2: Large-Sample Theory.

• Inference

  • Hansen (2021). "Econometrics". Chapter 9: Hypothesis Testing.

• OLS Algebra

  • Hansen (2021). "Econometrics". Chapters 3 and 4.
  • Hayashi (2000). "Econometrics". Chapter 1: Finite-Sample Properties of OLS.

• OLS Inference

  • Hansen (2021). "Econometrics". Chapters 7.
  • Hayashi (2000). "Econometrics". Chapter 2: Large-Sample Theory.

• Endogeneity

  • Hansen (2021). "Econometrics". Chapters 12 and 13.
  • Hayashi (2000). "Econometrics". Chapter 3: Single-Equation GMM.
  • Belloni, A., Chen, H., Chernozhukov, V., & Hansen, C. B. (2012). Sparse Models and Methods for Optimal Instruments With an Application to Eminent Domain. Econometrica, 80(6), 2369–2429.

• Non-parametrics

  • Hansen (2021). "Econometrics". Chapters 19, 20 and 21.
  • Newey, W. K. (1997). Convergence rates and asymptotic normality for series estimators. Journal of Econometrics, 79(1), 147–168.

• Variable Selection

  • Hansen (2021). "Econometrics". Chapter 24.
  • Hastie, Tibshirani, Friedman (2001). "The Elements of Statistical Learning".
  • Belloni, A., Chernozhukov, V., & Hansen, C. (2014). Inference on Treatment Effects after Selection among High-Dimensional Controls. The Review of Economic Studies, 81(2), 608–650.

Sources

• Kozbur (2019), PhD Econometrics - Lecture Notes.
• Hansen (2019), "Econometrics".
• Wooldridge (2010), "Econometric Analysis of Cross Section and Panel Data".
• Greene (2006), "Econometric Analysis".
• Hayashi (2000), "Econometrics".