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
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
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. 3rd 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.