Online Text and Notes in Econometrics
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Bayesian methods in econometrics
Bayesian statistics and its application to econometrics - lecture slides and notes by James Hamilton of the University of California, San Diego. The Powerpoint presentation comprises nearly 100 slides.
Vector autoregression : uses and abuses of VARS
Theory and application of VAR, using example of US GDP forecasting. Supplied on Powerpoint slides - may be problem reading symbols into some versions of Powerpoint.
Prize lectures from economics Nobel Laureates (UK)
The Nobel Foundation makes available a great deal of material on each of the Economics prize winners, including video of each Prize Lecture since Robert Mundell in 1999. As well as a lay introduction to each prize winner's research, there are "Advanced information" links giving a more technical explanation. This link is to the Economics Network's quick index of lecture videos and related materials on the site. Each video is a full lecture (usually between 40 and 60 minutes) with good audio and video quality, and pitched at a non-technical audience. Transcripts of each lecture are available in PDF form.
Using gretl for Principles of Econometrics, 3rd edition
Freely downloadable as a 374-page PDF, this manual shows students how to use Gretl software to reproduce all the examples from Hill, Griffiths, and Lim's Principles of Econometrics, 3rd edition (Wiley). The data sets and script files used in the book are also freely downloadable. The current version dates from January 2009.
What's new in econometrics videos (UK)
From a Summer Institute mini-course run by the National Bureau of Economic Research in 2007, this is a set of resources from each of 15 lectures, including video (usually 1hr long and hosted on Google Video) as well as handouts and slides in PDF format. This link goes to Economics Network's index of these materials.
Econometrics / statistics
Available are notes from lectures, problem sets, and a sample exam. Lecture topics are: Discrete Response Models, Sampling and Selection, Generalized Method of Moments, Instrumental Variables, Systems of Regression Equations, Simultaneous Equations, and Robust Methods in Econometrics. From an Econometrics / statistics course as taught by Daniel L. McFadden of University of California, Berkeley in 2001.
Lectures in mathematical statistics (UK)
Fifteen detailed lecture handouts in PDF are archived here along with 11 exercise sheets with answers. The lecture topics are: Sets and Boolean Algebra, The Binomial Distribution, The Multinomial Distribution, The Poisson Distribution, The Binomial Moment Generating Function, The Normal Moment Generating Function, Characteristic Functions and the Uncertainty Principle, The Bivariate Normal Distribution, The Multivariate Normal Distribution, Conditional Expectations and Linear Regression, Sampling Distributions, Maximum Likelihood Estimation, Regression estimation via Maximum Likelihood, Cochrane's Theorem, and Stochastic Convergence.
Introduction to econometrics / statistics
This 1998 course page has seven sets of extensive lecture notes totalling more than 160 pages of explanatory material. There are also seven quizzes, also in PDF and PostScript formats. The course is an Introduction of Econometrics / Statistics as taught by Daniel McFadden, James Powell at University of California, Berkeley.
Time series analysis (UK)
This archive has eight chapters of detailed PDF lecture notes for a course given at the Institute for Advanced Studies in Vienna. The topics covered include: Trends in Economic Time Series, Seasons and Cycles in Time Series, Models and Methods of Time-Series Analysis, Time-Series Analysis in the Frequency Domain, Linear Stochastic Models, Forecasting with ARIMA Models, Identification and Estimation of ARIMA Models,
and Seasonality and Linear Filtering. There are also thirty brief explanatory notes in Time Series Analysis. This site supports the author's courses on time-series analysis and economic forecasting.
Mathematical theory for social scientists (UK)
Thirteen PDF files on this page each contain detailed lecture notes on: Sets and Subsets, Numbers, Limits, Derivatives, Maxima and Minima, Geometric Growth, Taylor's Theorem, The Binomial Theorem, Exponential and Logistic Growth, Bivariate Optimisation, Constrained Optimisation, Matrix Algebra 1, and Matrix Algebra 2.
Economics, statistics and econometrics
This Spring 2000 course page has brief notes from a series of 23 lectures on Economics, statistics and econometrics as taught by Andrew K. G. Hildreth of University of California, Berkeley.
Topics in econometrics (UK)
The Topics in econometrics: course webpage, reflects the topic as taught by Alan Duncan and Peter Wright at the University of Nottingham. The course aims to illustrate use of econometrics in estimating models derived from theory, to introduce a range of microeconometric techniques, and indicate criteria by which one might judge the appropriateness of each method, to demontrate the practical use of microeconometric methods with reference to specific issues of applied economic interest, to facilitate effective interpretation and critical appraisal of model estimates. The page includes lecture overheads and notes, support materials such as result sets and data, computer based practical exercises and past exam papers.
Deterministic modeling: linear optimization with applications
This page has a great deal of illustrated text on optimization and linear programming with many related external links. It has been produced by Hossein Arsham of the University of Baltimore.
Econometrics I: lecture handouts and exams
This course page includes lecture notes and some practice questions and exam papers. Answers are in separate files. It covers an econometrics course as taught by Chris Sims of Princeton in 2002.
Time series econometrics
This course site from 2001 has lecture notes and exercises. By following the links, you can see archived materials from the course from 2000, 1999 and 1997.
Discrete choice methods with simulation
Discrete choice methods with simulation is an online text written by Kenneth Train of University of California, Berkeley in 2003. It covers topics such as numerical maximization, simulation assisted estimation and Bayesian procedures. Each chapter is available as a PDF file to download, and the site also provides an index, bibliography and errata discovered since publication. Users can also download the whole text as a single zip file.
Lecture notes on optimization
This 140-page book, originally published in 1971 but now out of print, is available online in its entirety as a single PDF file.
Time series analysis: forecasting product demand and revenue: lecture notes
Lecture notes totally 163 pages from a 2000 short course are available here in PDF format. Most of the text refers to exercises using the accompanying TSP 4 and Excel files.
Qualitative Choice Analysis
This archived page from a 2000 short course has a series of lengthy bullet-point lecture handouts in PDF format. There is also a directory of data files and programs for the proprietary program SST. Kenneth Train, Daniel McFadden of University of California, Berkeley
Statistical decision tree
Subtitled "A guide for selecting statistical techniques for analysing survey data", this presents you with a tree of choices about your data and the hypotheses being tested, resulting in a recommended statistical test. It was created by the authors of the MicrOsiris statistical software. It is freeware that is downloaded with MicrOsiris.
How to do a painless econometrics project
This is a short, very introductory article, spread over four pages, which takes the reader through a simple regression test in Excel. The given example involves testing whether Okun's Law applies to US data, and there is a downloadable Excel file used in the exercise.
[Econometric theory: texts and exercises] (UK)
This is the home page for an intermediate econometrics course, containing two complete course texts, downloadable as a series of PDF chapters. One of these is "A Course of Econometrics", consisting of seventeen chapters from "Elementary Regression Analysis" to "Multivariate Autoregressive Moving-Average Models". The other is "Topics in Econometric Theory," a set of 27 brief lecture handouts. There is also a set of detailed worksheets.
Basic applied econometrics lecture slides and handouts
Provided in both PowerPoint and as PDF downloads, these slide shows and handouts introduce the practice of econometrics and some probability theory, with some examples. These were produced by David McPherson of Florida State University, for teaching purposes in 1999/2000.
Applied econometrics: 2005-2006 outline and teaching materials (UK)
These pages give materials for the BA degree honours year Applied Econometrics class at the University of Strathclyde as taught by Roger Perman. Lecture notes and references notes in Word format are listed on this course home page. It covers topics such as Dynamic Econometric Modelling, Model misspecification and misspecification testing, Stochastic regressors, instrumental variables and weak exogeneity and Panel data analysis.
Introduction to econometrics: course materials (UK)
From this page you can access lecture notes, handouts and past exam papers from this LSE course, Introduction to Econometrics, all in PDF. It includes an extensive study guide broken down into chapters, a syllabus, problem sets and lecture topics, marking schemes for assessment and statistical tables.
Introductory econometrics
This is a course website for Introductory Econometrics as taught by Mike Abbott at Queen's University, Kingston (Australia). It includes extensive course materials, lecture notes, statistical tables, datasets and assignments and a number of past exams, going back to 1997, some with answers in separate files.
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This page was last updated Mon Mar 8 12:30:58 GMT 2010