ECON 626: Econometric Theory I


Paul Schrimpf

Part I: Basics

Measure and Integration

  • Measure slides

    • Required reading: Song (2021) Chapter 1
    • Supplementary reading: Pollard (2002), Tao (2011)
  • Probability slides

    • Required reading: Song (2021) Chapter 2
    • Supplementary reading: Pollard (2002), Çinlar (2011)
    • Random Variables, and Distributions
    • Conditional Expectations and Conditional Distributions
  • Family of Distributions : we will not cover in class, read and refer to Song (2021) Chapter 3 as needed

  • Basics of Inference

Part II: Generalized Linear Model

Midterm Review

Part III: Tools of Asymptotic Theory

Part IV

Part V: Linear Models with Endogeneity


Çinlar, Erhan. 2011. Probability and Stochastics. Vol. 261. Springer.
Pollard, David. 2002. A User’s Guide to Measure Theoretic Probability. 8. Cambridge University Press.
Song, Kyunchul. 2021. “Introduction to Econometrics.”
Tao, Terence. 2011. An Introduction to Measure Theory. Vol. 126. American Mathematical Society Providence.