# ECON 626: Econometric Theory I

# Part I: Basics

## Measure and Integration

Family of Distributions : we will not cover in class, read and refer to Song (2021) Chapter 3 as needed

Basics of Inference

- Required reading: Song (2021) Chapter 4
- Identification
- Estimation
- Hypothesis Testing

# Part II: Generalized Linear Model

- Preliminaries of Projection Geometry
- Generalized Linear Models and Gauss-Markov Theorem
- Tests of Linear Hypothesis

# Part III: Tools of Asymptotic Theory

# Part V: Linear Models with Endogeneity

## References

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.