Topic 1: Probability

Material covered in class

The references in this section are to Bruce Hansen’s textbook Probability and Statistics for Economists. The notes are a hodge podge of material from the textbook, notes from Len Goff who was (is?) a previous instructor of this course, notes from a semi-related course that I taught at the University of Mississippi (which primarily used the Casella and Berger textbook as a reference).

  1. Introduction to probability

    • Reading: 1.1-1.10

  2. Random variables (to be posted)

    • Reading: 2.1-2.18

  3. Parametric Distributions (to be posted)

    • Reading: 3.1-3.2, 3.12

  4. Multivariate distributions (to be posted)

    • Reading: 4.1-4.16, 4.18, 5.1-5.3

Additional material

I am probably not going to explicitly cover the following topics/sections, but as you have time over the first few weeks of the course, please read through the remainder of chapter 3. And, in particular, the following distributions are the most important to read about:

  • Rademacher - 3.3
  • Binomial - 3.4
  • Multinomial - 3.5
  • Poisson - 3.6
  • Uniform - 3.8
  • Exponential - 3.9
  • Cauchy - 3.13
  • Student t - 3.14
  • Logistic - 3.15
  • Chi-Square - 3.16

Also, we’ll cover the material in the Appendix A (Mathematics Reference) as needed, but here are some sections that you might want to go ahead and read:

  • Exponential - A.4
  • Logarithm - A.5
  • Differentiation - A.6
  • Mean Value Theorem - A.7
  • Integration - A.8
  • Matrix Algebra - A.11

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