Statistical Inference and Methods

December  2005/January 2006/February 2006


David Stephens

Department of Mathematics, Imperial College London

For Download:

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




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