Random Quote: And in order to do good to others he would have needed, besides the principles which filled his mind, an unprincipled heart–the kind of heart that knows no general cases, but only of particular ones, and has the greatness of small actions. – Boris Pasternak
This is the homepage for my graduate level econometric theory text, published by MIT Press.
The following is from the preface to the book:
This is a quick course on modern econometric and statistical theory, along with the underlying ideas from probability and linear algebra that budding econometricians should know. The focus is on foundations and general principles. Although it was written to teach from, there are many solved exercises, making the text well suited to self-study. Exercises, worked examples and sample code are used to reinforce ideas.
Thanks to the work of Akshay Shanker, a full set of lectures slides are available from GitHub – both PDF and source (TeX)
They are licensed under BSD-3 and you are free to modify them in any way you wish.
The code in the book is written in a mixture of R, Python and Julia. It is organized into Jupyter notebooks, which you can get by cloning the GitHub repository or just grabbing the zip file.
The next step is to install Jupyter, which comes bundled with the Anaconda Python. Then, if you want to run the R and Julia code, you’ll need the appropriate kernels. Search for documentation on how to run R and Julia code in a Jupyter notebook.