Advanced Econometrics - Lecture PDFs

Lecture blocks can span multiple sessions. Each PDF includes the core material, slides, and examples for the topic.

Linear systems, projections, eigenvalues, and matrix decompositions used in estimation.

Probability foundations, common distributions, convergence concepts, and limit theorems.

OLS estimation, assumptions, interpretation, and sampling properties of estimators.

Partialling out, omitted variable bias, inference, and finite sample properties.

Likelihood construction, MLE computation, consistency, and asymptotic normality.

Binary choice, logit and probit, tobit, and selection models with interpretation.

Moment conditions, IV and GMM estimation, efficiency, and robust inference.

Functional form, polynomials, interactions, marginal effects, and statistical learning foundations.

Stationarity, ARMA processes, unit roots, and dynamic forecasting.

Fixed effects, random effects, dynamic panels, and clustered inference.

Two-way fixed effects, staggered adoption, event studies, and synthetic control links.

Source Files

All sources for this lecture are availablein this Github repo