Reference Articles

Econometrics

• Notes on GMM:
  • First Set
  • 2nd Set
  • 3rd Set
• Some basic notes on moving average process estimation
• Charles Jones' Econometrics Notes:
  • Week 1 Notes
  • Week 2 Notes
  • Week 3 Notes Part 1
  • Week 3 Notes Part 2
  • Week 4 Notes
  • Week 5 Notes (OLS)
  • Week 9 Notes: Autocorrelation in standard errors. Tests of the CAPM.
  • Week 10 Notes: Panel Data
    • Simple Formulas for Standard Errors that Cluster by Both Firm and Time by Samuel Brodsky Thompson. Essentially, the covariance matrix is estimated as the sum time clustered and firm clustered minus white (which is double counted in this sum).
    • Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches by Mitchell A. Petersen.
  • Week 11 Notes: Instrumental Variables
  • Week 12 Notes: GMM
• Jialin Yu's Time Series Metrics Notes:
  • Extrumum Estimators: A general set of estimators that nests OLS, MLE, GMM, etc. Consistency and assymptotic covariance matrices.
    • Large Sample Theory of Extrumum Estimators
  • MLE and GMM
  • ARIMA: AR(1…p), MA(1..p), ARMA(p,d,q)
  • ARIMA 2 (Strong Ergodicity): A simple prerequisite that shows ARMA models are ergodic.
• Karatzas' Analysis Notes:
  • 1.1.pdf
  • 1.2.pdf
  • 1.3.1.pdf
  • 1.3.2.pdf
  • 1.4.pdf
  • 1.5.pdf
  • 1.6.pdf
  • 1.7.pdf
  • 1.9.pdf
  • 1.10.pdf
  • 2.1.pdf
  • 2.2.pdf
  • 2.3.pdf
  • 2.4.pdf
  • 2.5.pdf
  • 2.6.pdf
  • 2.9.pdf
  • 3.1.pdf
  • 3.2.pdf
  • 3.3.pdf
  • 3.4.pdf