Econometrics Lecture Notes


Andrew J. Buck

Professor of Economics

Temple University

These lectures are for use in a 2 semester econometrics sequence at the graduate level. Feel free to download any sections you wish, but please give attribution when you do so. Some sections are nearly .5Mb, including the *.gif files which contain equations and diagrams.

Some of the links are straight HTML.  Some links have LiveMath documents embedded in them.  To see these you need to get the viewer from  Some links take you to a MathCAD worksheet.  For the MathCAD worksheets you can use the viewer available from

For a fine collection of econometrics links visit Erasmus University.

Visit the virtual laboratory for probability and statistics.

Topics in the Notes

Click onWB01514_.gif (256 bytes) to expand or collapse the outline  

  1. Click to exapnd or collapse.A Review of Descriptive Statistics and Probability;
  2. Click to exapnd or collapse.Random Variables and Distributions: Discrete and Continuous
  3. Click to exapnd or collapse.Notes on Sampling Distributions
  4. Estimating Scalar Population Parameters: Methods and Properties
  5. Testing Hypotheses about the Mean and Variance
  6. An Introduction to Asymptotic Tests: Likelihood Ratio, Wald and Lagrange Multiplier
    The Wald, Likelihood Ratio and Lagrange Multiplier Tests stated in terms of the Coefficient of Determination
  7.  Click to exapnd or collapse.Workouts in Hypothesis Testing
  8.   Click to exapnd or collapse.A Review of Analysis of Variance and MathCAD examples
  9.  Click to exapnd or collapse.Simple Regression: Choosing an Estimator, its Properties, Goodness of Fit, and Hypothesis Testing
  10. Click to exapnd or collapse.Multiple Regression: More of What You Saw in the Previous Section
  11.  Click to exapnd or collapse.Generalized Least Squares: The Aitken Estimator, Heteroscedasticity and Autocorrelation
  12. Another Pass at Hypothesis Testing in Multiple Regression: The t- and F-statistics; the Wald, Lagrange Multiplier, and Likelihood Ratio Tests; Decision Theoretic Selection Rules
  13.   Click to exapnd or collapse.Topics in the Pathologies of Multiple Regression
  14.   Click to exapnd or collapse.Specialized Error Structures
  15.   Click to exapnd or collapse.Simultaneous Equations Models
  16.   Click to exapnd or collapse.Time Series
  17.   Quantile Regression and a simple MCAD worksheet
  18.      Kernel Regression by Prof. Dr. Walter Zucchini
  19.    Generalized Method of Moments
  20.   Click to exapnd or collapse.Appendices

To put to work what you have learned here you might want to visit the Fair Model
Another good site is the Cambridge University Small U.K. Model Distributed Lags

You can find past problem sets and exams HERE.

I'm always happy to hear from people interested in economics and Temple University. You can call me at 215-204-1985. You can send me a FAX at 215-204-8173. Or you can send email to