Econometrics I (Advanced Probability and Statistics) 2012 Fall
This course is mainly intended for doctoral students majoring in economics and finance. We introduce key concepts such as probability, expectation, conditional expectation, distribution, etc., in a measure-theoretical way. It follows by basic asymptotic theory and the theory of hypothesis testing. If time allows, we also study adanced topics such as martingales and stochastic integration.
The above book and additional problem sets will be enough, but the following books would also be useful. The scope of Bierens (2005) will be the most similar to this course. Rosenthal (2006) and Williams (2001) both are very readable. Dudley (2003) is for more advanced reading on probability theory.
GradingHomework (40%), Final Exam (60%).
Last updated: Sep 7, 2012