**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]