Hansen Bruce E. Econometrics (Jan 2018)

University of Wisconsin. Department of Economics. This Revision: January 2018. — 556 p.This book is intended to serve as the textbook of the first-year graduate course in econometrics. Readers are assumed to understand multivariate calculus, probability theory, linear algebra, and mathematical statistics. A priori course in undergraduate econometrics would be helpful, but not required. Two excellent undergraduate textbooks are Wooldridge (2013) and Stock and Watson (2015). For reference, some of the basic tools of matrix algebra, probability, and statistics are reviewed in the Appendix. Beyond these texts, the Handbook of Econometrics series provides advanced summaries of contemporary econometric methods and theory. The end-of-the-chapter exercises are important parts of the text and are meant to help students of econometrics. Answers are not provided, and this is intentional.Conditional Expectation and Projection
The Algebra of Least Squares
Least Squares Regression
Normal Regression and Maximum Likelihood
A Introduction to Large Sample Asymptotics
Asymptotic Theory for Least Squares
Restricted Estimation
Hypothesis Testing
Multivariate Regression
Endogeneity
Generalized Method of Moments
The Bootstrap
Univariate Time Series
Multivariante Time Series
Panel Data
Nonparametric Regression
Series Estimation
Empirical Likelihood
Regression Extensions
Limited Dependent Variables
Nonparametric Density Estimation
Appendix A: Matrix Algebra
Appendix B: Probability Inequalities