Econometric Modeling and Inference Book

Part I. Statistical Methods:

1. Statistical models;
2. Sequential models and asymptotics;
3. Estimation by maximization and by the method of moments;
4. Asymptotic tests;
5. Nonparametric methods;
6. Simulation methods;

Part II. Regression Models:
7. Conditional expectation;
8. Univariate regression;
9. Generalized least squares method, heteroskedasticity, and multivariate regression;
10. Nonparametric estimation of the regression;
11. Discrete variables and partially observed models;

Part III. Dynamic Models:
12. Stationary dynamic models;
13. Nonstationary processes and cointegration;
14. Models for conditional variance;
15. Nonlinear dynamic models;

Part IV. Structural Modeling:
16. Identification and over identification in structural modeling;
17. Simultaneity;
18. Models with unobservable variables.