Statistical Inference and Methods
December 2005/January 2006/February 2006
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Statistical Inference and Methods December 2005/January 2006/February 2006
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David Stephens
Department of Mathematics, Imperial College London
| Week 1: Introduction | Session 1 Handouts |
| Week 2: Methods of Estimation | Session 2 Handouts |
| Week 3: Univariate Time Series | Session 3 Handouts |
| Week 4: Vector Time Series & Cointegration | Session 4 Handouts |
| Week 5: Computational Methods | Session 5 Handouts |
| Week 6: State-Space Models & Time to Event Data | Session 6 Handouts |
| Week 7: Volatility Modelling | Session 7 Handouts |
| Week 8: Panel Data |
Supplementary Material:
Week 1: Regression Notes
Week 2: Cliff's Paper on GMMs A recent paper by Newey and Smith
Week 3: A recent seminar of mine on Frequency Domain estimation