Mathematical Statistics for Applied Econometrics — Point Estimation

Lecture XIX: Definition of Estimator and Choosing among Estimators Overheads .
Lecture XX: Mean Squared Error and Maximum Likelihood Overheads .
- Assignment 7 .
Lecture XXI: Sufficient Statistics Overheads .
Lecture XXII: Concentrated Likelihood Functions, Normal Equations, and Properties of Maximum Likelihood Overheads .
- Estimating the Gamma Distribution using Maximum Likelihood and Method of Moments PowerPoint.
- Maximum Likelihood Code R code.
- Method of Moments Gamma (Exactly Identified) R Code.
- Method of Moments Gamma (Overidentifitied) R Code.
- Gamma Data Data.
- Lecture XXa - Notes on Numerical Maximum Likelihood Notes .

Interval Estimation

Lecture XXIII: Type I and Type II Errors and the Neyman-Pearson Lemma Notes , Overheads , WMA(2009) .
Lecture XXIV: Composite Tests and the Likelihood Ratio Test Notes , Overheads , Sideshow.
- Assignment 9 , Data Set .
Lecture XXV: Examples and Multivariate Testing pdf Notes , PowerPoint, Slideshow.

Lecture XXVI: Review of Matrix Algebra and Vector Spaces pdf Notes , Overheads , WMA(2010) .
- Assignment 10 , Data .
Lecture XXVII: Vector Spaces and Eigenvalues pdf Notes , Overheads .

Lecture XXVIII: Simple Linear Regression pdf Notes , Overheads , WMA(2010) .
- Link to R-Project Webpaage
- Link to RStudio Webpage , Download Site
- R Code for Soybean Production Function R Code
- Dataset for Soybean Production Function csv
Lecture XXIX: Distribution of Estimates and Multivariate Regression pdf Notes , Overheads , WMA(2010) .
- Assignment 11 , Florida Land Data .
- Linear Restrictions R Code , Excel Spreadsheet , CSV Data
Lecture XXX: Restricted Least Squares and Hypothesis Testing pdf Notes , Overheads , WMA(2010) .
- R Code to generate linear model.
- Pseudo data .
- R Code restricted estimation.
Lecture XXXI: Exceptions to Ordinary Least Squares pdf Notes , Overheads , WMA(2010) .
- Assignment 12 , Excel Data .
Lecture XXXII: System Estimators - Least Squres and Maximum Likelihood pdf Notes , Overheads , WMA(2010) .
- Setting up the Seemingly Unrelated Regression pdf Notes , Overheads .
- SUR Example in R , Data in Excel , ML System Example.
Lecture XXXIII: Generalized Method of Moments Estimator pdf Notes , Overheads , WMA(2010) .
Lecture XXXIV: Times Series in Econometrics pdf Notes , Overheads , WMA(2010) .
- Autocorrelation in Structural Models , Time Series Estimation , Excel Data.
Lecture XXXV: Nonstationarity in Econometrics pdf Notes , Overheads , WMA(2010) .

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