Lecture notes for Econ5121A: Econometric Theory and Applications. This is an open-source writing project.
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Chinese University of Hong Kong, Fall 2018

ECON5121A: Econometric Theory and Applications

“All theory is gray, my friend. But forever green is the tree of life.” ---Johann Wolfgang von Goethe: Faust: Part I

Year 2018

My lectures are based primarily on Bruce Hansen's textbook.

I have substantially updated my lecture notes this year to bring forward the teaching of R and demonstrate its use along with theory.

Caveat: This is an ongoing writing project. The text is incomplete, and must contain errors. Use them at your own risk! I edit the IPython notebooks (*.ipynb) as the latest version. The PDF version may be behind, though it is print friendly.

I encourage anyone, in particular students taking my class, to contribute or improve the notes. Send me pull requests.

Important dates: Midterm Oct 19. Final: Dec 7.