The text, which will be followed closely, is:
This book covers all of the material in Part 1 and provides many problems for practice as well as excellent references.
Errors in the 5th edition may be found here.
You can also find the material in any standard text on regression.
Readings by Topic
|A. Brief review of probability|
|Brief review of probability||Casella and Berger. Statistical Inference. Chapters 1-4.|
|B. Random samples and asymptotic methods|
|Sampling and sums of random variables||Casella and Berger. Statistical Inference. Sections 5.1-5.3.|
|Laws of large numbers and central limit theorem||Casella and Berger. Statistical Inference. Section 5.5.|
|C. Statistical Theory|
|Point estimation||Casella and Berger. Statistical Inference. Sections 7.2 and 6.2.1.|
|Evaluation of estimators: Unbiasedness, sufficiency, consistency, and the Cramer-Rao theorem||Casella and Berger. Statistical Inference. Sections 7.3, 6.2.1, 6.2.2, and 10.1.|
|Interval estimation||Casella and Berger. Statistical Inference. Chapter 9 and section 10.4.|
|D. Fundamentals of regression|
|Regression in economics||
Greene. Econometric Analysis. Chapters 2 and 3 (skim chapters 7 and 8.)
Newey, W. "Convergence Rates and Asymptotic Normality for Series Estimators." Journal of Econometrics 79 (1997): 147-168.
Judd, K. "Approximation Methods." Chapter 6 in Numerical Methods in Economics. Cambridge, MA: MIT Press, 1998, pp. 195-249. ISBN: 9780262100717.
|Best linear predictor|
|Best linear approximation|
|Conditional expectation function|
|Building functional forms|
|E. Regression in finite samples|
|Basic regression algebra||Greene. Econometric Analysis. Chapters 4 and 6.|
|Finite-sample inference under normality and non-normality|
|F. Regression in large samples|
Greene. Econometric Analysis. Chapters 5, 6, 11, and 12.
Newey, W. "Asymptotic Theory of Least Squares." 14.382 Lecture Notes, Spring 2000.
Remarks on normality (PDF)
|G. Special topics (if time permits)|
Appendices in Greene collect background material on matrices and large sample theory. See also the lecture notes.