Advanced Study of Econometrics 1

Announcements | Syllabus | Schedule | Problem Sets | Homework | Links

Announcements

(4/1/13) My office hours this year are M 12:10-12:55 and W 12:55-14:25

Syllabus

Objective

Understanding the theory of statistical inference, which is necessary for any data analysis.

Textbook

Hogg, R. V.; McKean, J. W. & Craig, A. T. Introduction to Mathematical Statistics, 7th ed., Pearson Education, 2013.

Related Courses

Advanced Study of Econometrics 2 (Kano)

Grading

There will be two mid-term exams and a final exam. It is necessary to submit all homeworks (answer ALL questions). Students can work together on homeworks, but must turn them in separately.

Schedule

You must download and install Adobe Acrobat Reader to view the course materials.

Abbreviations used in my lecture notes: iff (if and only if), s.t. (subject to), s.th. (such that), w.l.o.g. (without loss of generality), w.r.t. (with respect to), WTS (want to show).

Numbers in parenthesis are relevant sections in the textbook for reading assignments.

  1. (4/12) Course guidance, Probability (1.1-1.4) (slides)
  2. (4/15) Random Variables (1.5-1.9) (slides)
  3. (4/19) Random Vectors (2.1, 2.3-2.6, 2.8) (slides)
  4. (4/22) Distributions of Functions of Random Vectors (2.2, 2.7) (slides)
  5. (4/26) Important Inequalities (1.10) (slides)
  6. (5/2) Some Special Distributions (3.1-3.3) (slides)
  7. (5/8) Normal Distributions (3.4-3.5) (slides)
  8. (5/10) χ2, t, F, and Mixture Distributions (3.6-3.7) (slides)
  9. (5/13) 1st Midterm
  10. (5/17) Asymptotic Theory (5) (slides)
  11. (5/20) Sampling and Statistics (4.1) (slides)
  12. (5/24) Interval Estimation (4.2-4.3) (slides)
  13. (5/27) Order Statistics (4.4) (slides)
  14. (5/31) Point Estimation (7.1, 6.2) (slides)
  15. (6/3) Sufficient Statistics (7.2-7.9) (slides)
  16. (6/7) ML Estimators (6.1, 6.4) (slides)
  17. (6/10) EM Algorithm (6.6) (slides)
  18. (6/14) 2nd Midterm
  19. (6/17) Hypothesis Testing (4.5-4.6) (slides)
  20. (6/21) Likelihood Ratio Test (8.1-8.3) (slides)
  21. (6/24) χ2 Goodness-of-Fit Tests (4.7, 9.8) (slides)
  22. (6/28) Classical Asymptotic Tests (6.3, 6.5) (slides)
  23. (7/1) Monte Carlo Method (4.8) (slides)
  24. (7/8) Canceled
  25. (7/12) Canceled
  26. (7/16) Bootstrap (4.9) (slides)
  27. (7/19) Canceled
  28. (7/22) Analysis of Variance (9.1-9.2, 9-5) (slides)
  29. (7/26) Multiple Comparisons (9.4) (slides)
  30. (7/29) No class
  31. (8/2) Final

Problem Sets

  1. (4/12) Problem Set 1
  2. (4/15) Problem Set 2
  3. (4/19) Problem Set 3
  4. (4/22) Problem Set 4
  5. (4/26) Problem Set 5
  6. (5/2) Problem Set 6
  7. (5/8) Problem Set 7
  8. (5/10) Problem Set 8
  9. (5/17) Problem Set 9
  10. (5/20) Problem Set 10
  11. (5/24) Problem Set 11
  12. (5/27) Problem Set 12
  13. (5/31) Problem Set 13
  14. (6/3) Problem Set 14
  15. (6/7) Problem Set 15
  16. (6/10) Problem Set 16
  17. (6/17) Problem Set 17
  18. (6/21) Problem Set 18
  19. (6/24) Problem Set 19
  20. (6/28) Problem Set 20
  21. (7/1) Problem Set 21
  22. (7/16) Problem Set 22
  23. (7/22) Problem Set 23
  24. (7/26) Problem Set 24

Homework

  1. (Due on 5/10) Homework 1
  2. (Due on 5/24) Homework 2
  3. (Due on 6/7) Homework 3
  4. (Due on 6/24) Homework 4
  5. (Due on 7/16) Homework 5

Links

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