Topic 1: Linear Regression

Material covered in class

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).

• Lecture Notes 1: 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 2: Why Linear Regression? (These notes are mainly independent of the textbook though related to H: 2.30).

• Lecture Notes 3: 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 4: 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 5: 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.)

Additional material

Preliminary Reading

As you have time over the first couple of weeks of the semester, you should read Chapter 1 of the textbook as well as Appendix A and B.

Please pay particular attention to the following sections:

A.1, A.3-A.6, A.10-A.11, A.20

as well as the following: Review Notes for Matrix Algebra

The material that we will cover in this topic mainly comes from chapters 2, 3, 4, 6, and 7 of the textbook.

Additional comments

• We are not covering the material in chapter 5 at all

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