Econometrics Notes
These notes are based on the Cambridge MPhil in Economic Research 2023-2024. These notes are not endorsed by the lecturers, and have often been modified heavily from the original material.
R300 - Intro Econometrics
Topics:
- Causal interpretation of regression. Geometric interpretation of OLS.
- Gauss-Markov theorem and distribution of the OLS estimator.
- Delta method and asymptotic theory for OLS.
- Ridge and LASSO. Model Selection for Prediction.
- White and Newey-West standard errors.
- Functional CLT. Fixed-b asymptotics
- Binary regression models. Maximum Likelihood.
- Asymptotic theory for the ML estimator.
- Asymptotics of probit. Likelihood Ratio test.
- 2SLS, endogeneity and overidentification tests.
- Irrelevant and weak instruments.
- Generalized method of moments.
- Large sample properties of GMM.
- Panel data.
R301a - Time Series
Topics:
- Time series models. Stationarity. Long Memory.
- Unobserved components and signal extraction. State space models and the Kalman filter.
- Spectral Analysis.
- Trends and cycles in macro time series.
- Explanatory variables and interventions.
- Multivariate models and co-integration. VARs and VECMs.
- Nonlinear models.
- Volatility
- Dynamic correlation
R301b - Cross Section and Panel Data
Topics:
- Binary response models.
- Multinomial response models.
- Mixed logit model.
- Linear unobserved effects panel models. Large T panels.
- Bayesian inference.
- Hierarchical Bayesian models.
- Decision trees. Regression trees and forests.
- Machine learning for causal effects.
