ECON 626: Econometric Theory I

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

  • 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

Midterm Review

Part III: Tools of Asymptotic Theory

• Convergence in probability
• Convergence in distribution
• Delta Methods
• Asymptotics of Least Squares

Part IV

• Difference in differences

Part V: Linear Models with Endogeneity

• Endogeneity
• Identification through IV and Inference
• Preview of GMM

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.