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Texts

Part 1

The text, which will be followed closely, is:

Casella, George, and Roger Berger. *Statistical Inference* . 2^{nd} 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*. 5^{th} 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

Course readings.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. |

Part II

Course readings.TOPICS | READINGSS |
---|

**D. Fundamentals of regression** |

Regression in economics | Greene. *Econometric Analysis.* Chapters 2 and 3 (skim chapters 7 and 8.) Varian, H. "Econometrics." Chapter 12 in *Microeconomic Analysis*. 3^{rd} ed. New York, NY: W.W. Norton and Company, 1992, pp. 198-214. ISBN: 9780393957358. Newey, W. "Convergence Rates and Asymptotic Normality for Series Estimators." *Journal of Econometrics* 79 (1997): 147-168. Judd, K. "Approximation Methods." Chapter 6 in *Numerical Methods in Economics*. Cambridge, MA: MIT Press, 1998, pp. 195-249. ISBN: 9780262100717. |

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.