econometrics lecture notes and code, mostly using the Julia language
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README.md

Econometrics

Graduate level econometrics notes with embedded examples using the Julia language.

  • master is now fully adapted to Julia v0.7/1.0
  • Release 2 is from June 2018, and uses Julia v0.6.x
  • Release 1 has an older version with the examples witten for Octave.

To get just the notes, click on econometrics.pdf, and then on Download, at the upper R of the page, which will download only the pdf. Links in the pdf point to files here on github, and will open in your browser.

There are a couple of unusual thing about these notes:

  • they are available in editable form (econometrics.lyx), so that you can modify them to suit your needs: see the first chapter for more information, and get LyX from www.lyx.org.
  • they contain links that point to example programs using the Julia language. The examples show how to use the methods and illustrate properties of estimators. The example code can be modified to allow exploration.

OLS GMM Posterior