Econometrics

Michael Creel

UFAE and IAE Working Papers from Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC)

Abstract: This document contains lecture notes for a first year graduate course in econometrics, with coverage of basic topics such as OLS and hypothesis testing, through maximum likelihood and GMM, nonlinear models, time series, panel data, Bayesian methods, simulation-based methods, and other topics. The document contains numerous embedded links to example scripts and data, using the Julia programming language, which illustrate the topics.

Keywords: Econometrics lecture notes; open source (search for similar items in EconPapers)
JEL-codes: A23 C1 (search for similar items in EconPapers)
Pages: 461
Date: 2003-05-30, Revised 2015-10-23
New Economics Papers: this item is included in nep-cmp and nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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https://github.com/mcreel/Econometrics The main source (text/html)

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Persistent link: https://EconPapers.repec.org/RePEc:aub:autbar:575.03

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