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e607::Notes

 

  • 1. Background and preliminaries`
  • --- Terms you should know already. Econometric basics: [pdf 27k].
  • --- History. If you want to consider yourselves well-trained, you should (before you leave JHU) read all the papers in the history section of the reading list.
  • --- Course overview and brief discussion of the role of stat. theory. [pdf 115k]
  • --- Why applied work in macro is challenging. [pdf 35k]
  • --- Applied work as reduction in theory and in practice. [pdf 99k]
  • 2. From elementary econometrics to advanced time series`
  • --- Read the Wright notes, pp. 1-6. Wright notes
  • --- From elementary to advanced econometrics in the least squares family. [pdf 97k]
  • --- Richer cases (nonlinear models, heterogeneously distributed, dependent data). [pdf 109k]
  • --- Sufficiently well behaved\ldots, in general and in time series\ldots. [pdf 239k]
  • --- Companion to previous note: Covariance-stationary math. [pdf 111k];
  • --- WCEAVCM. [pdf 89k]
  • --- The GLS principle. [pdf 65k]
  • --- Efficiency in the more general case. [pdf 70k]
  • 3. From elementary to advanced to modern advanced econometrics: a transitional section`
  • --- Transition and introduction. [pdf 51k]
  • --- HAC estimation in relevant sample sizes. [pdf 87k]
  • --- Parsimonious approximation of dynamics in relevant sample sizes. [pdf 103k]
  • --- GMM in relevant sample sizes. [pdf 317k]
  • --- Transition and conclusion. [pdf 34k]
  • 4. Brief interlude on tools`
  • --- Review, preview, and sketch of deeper issues in testing and confidence intervals. [pdf 106k]
  • --- Note on LM tests and Diagnostic testing. [pdf 95k]
  • 5. Testing and the bootstrap`
  • --- Bootstrap Intro. [pdf 97k]
  • --- --- Supporting programs: [zip 6k]
  • --- Background: asymptotic expansions. [pdf 84k]
  • --- Bootstrap and Asymptotic Refinements. [pdf 58k]
  • --- Bootstrap DGPs. [pdf 100k]
  • --- Bootstrap Applications. [pdf 107k]
  • 6. Bridging interlude on the way to persistence`
  • --- Testing for breaks. [pdf 156k]
  • 7. Persistence`
  • --- Intro. [pdf 86k]
  • --- Unit root asymptotics. [pdf 65k]
  • --- I(0) and I(1) in the multivariate setting. [pdf 78k]
  • --- For completeness: long memory. [pdf 56k]
  • --- For completeness: Various odds and ends. [pdf 32k]
  • --- Practical observations and suggestions. [pdf 180k]