Econometrics - by Bruce E. Hansen (2015) [kgpian].pdf

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).

Contents

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