Note: My lecture notes follow very closely from Bruce Hansen’s book. His book is excellent and much better than I could write. I provide these here for your convenience, mainly so you can have a copy of the notes that I use to teach from and so you have a reminder of the material that we cover in class (which is mostly subset of the material covered in the book).

Preliminary Lecture Notes: Conditional Expectation and Projection (These notes cover chapter 2 in the book. Please read the entire chapter, but pay particular attention to the sections covered in the notes.)

Lecture Notes 1: Why Linear Regression? (These notes are mainly independent of the textbook though related to H: 2.30). These notes have been slightly updated from the first version I released. The original version is here.

Lecture Notes 2: The Algebra of Least Squares (These notes cover chapter 3 in the book. Please read the entire chapter, but pay particular attention to the sections covered in the notes.)

Lecture Notes 3: Least Squares Regression (These notes cover chapter 4 in the book. Please read the entire chapter, but pay particular attention to the sections covered in the notes.)

Lecture Notes 4: Asymptotic Theory for Least Squares (These notes cover chapters 6 and 7 in the book. Please read the entire chapters, but pay particular attention to the sections covered in the notes.)

**Preliminary Reading**

I think that the following material should all be review from last semester.

Early in the semester, I would like for you to read chapters 1, 2, 6, and appendix A and B as you have time. Please pay particular attention to the following sections:

2.5-2.25, 2.28, 6.1-6.7, A.1, A.3-A.6, A.10-A.11, A.20

and, at least, additionally read:

all of chapter 1, the remaining sections of chapter 2, 6.8, A.7-A.9, A.21-A.23

We are not covering the material in chapter 5 at all

The material in chapter 6 should be a review for you.