Mathematical Statistics for Applied Econometrics — Introduction to Statistics, Probability and Econometrics

Lecture I: Definitions and Course Overview Overheads .
- Bierens, Herman J. Introduction to Mathematical and Statistical Foundations of Econometrics Cambridge, UK: Cambridge University Press, 2005. Netlibrary .
- Notes on Measure Theory .
Lecture II: Basic Axioms of Probability Overheads .

Lecture III: Down the Rabbit Hole — An Odessy into Advanced Mathematics Overheads .
Lecture IV:: Integrals and the Lebesgue Measure Overheads ,
- Assignment 1.
- Integration Examples R Code , Maxima Code.

Random Variables and Probability Distributions

Lecture V: Probability Theory and Measure Overheads.
- Gauss Code Code which generates a sequence of Random Numbers.
- Gauss Output Resulting matrix of random numbers.
Lecture VI: Random Variables and Probability Distributions Overheads .
Lecture VII:Distribution Functions for Random Variables Overheads .
Lecture VIII: Derivation of the Normal Distribution Overheads .
Lecture IX: An Applied Sabbatical Overheads .
- Assignment 3.

Lecture VIII: Mean and Higher Moments Notes, Overheads , WMA (2009) , MP3 (2009) .
Lecture IX: Moments of More than One Random Variable Notes, Overheads , TeX File , WMA (2010) , MP3 (2010) , WMA (2009) , MP3 (2009) .
Lecture X: Moment Generating Functions Notes, Overheads , TeX File , Slides, WMA (2010) , MP3 (2010) , WMA (2009) , MP3 (2009) .

Lecture XI: Binomial and Normal Random Variables Notes, Overheads , WMA (2010) , MP3 (2010) , WMA (2009) , MP3 (2009) .
Lecture XII: Normal Random Variables Notes, Overheads , WMA (2010) , WMA (2009) .
- Assignment 5, Excel Spreadsheet .
Lecture XIII: Bivariate and Multivariate Normal Random Variables Notes, Overheads , WMA (2009) .

Lecture XIV: Large Sample Theory Notes, Overheads , TeX File , WMA(2010) , WMA(2009) .
- Ohio State Lecture Notes PDF Notes.
- University of California, Berkeley Lecture Notes PDF Notes.
- Kuersteiner, G.M. Asymptotic Theory PDF Notes.
Lecture XV: Limits and the Law of Large Numbers Notes, Overheads , TeX File , WMA(2010) , WMA(2009) .
Lecture XVI: Empirical Examples of the Central Limit Theorem Notes, Overheads , TeX File , WMA (2010) .
- Assignment 6 .
- Characteristic Functions.
- Central Limit Theorem-Statistical Fine Print Charles Annis.
- Jolliffe, I.T. "Sample Sizes and the Central Limit Theorem: The Poisson Distribution as an Illustration." The American Statistician 49(3)(August 1995): 269. JSTOR.
- Proof of Central Limit Theorem H. Krieger.
- Nakata, T. "On an Estimate of the Remainder Term in the Central Limit Theorem." Advances in Applied Probability 11(2)(June 1979): 285-6. JSTOR.
- Setup for the Central Limit Theorem Jim Pitman.
- Tardiff, R.M. "L'Hospital's Rule and the Central Limit Theorem" The American Statistician 35(1)(February 1981): 43. JSTOR.
- Illustration of the Central Limit Theorem Thayer Watkins.
- Wong, C.S. "A Note on the Central Limit Theorem." American Mathematical Monthly 84(6):472. JSTOR.
- Normal Data.dat.
- Nonstationary Data.dat.

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