This document contains the set of lecture notes from the late Gary Chamberlain's 2010 Econometrics class (EC2120) that I (Paul Goldsmith-Pinkham) took during my economics Ph.D. at Harvard University. Gary was a remarkable teacher and this class was an amazing experience for me as a young economist.
A few things worth noting from my experience taking this course:
- The course is somewhat unique in not introducing any inference until Lecture 7 (halfway through the course). The focus prior to this is exclusively on estimation using regression.
- The lectures are linked together in groups (even though they are not marked this way). Lectures 1-3 reflect the underlying setup in notation and framework for the rest of the course. Lectures 6-9 setup inference. Lecture 9-11 discuss a general framework for using moment conditions.
- During my semester, we never got through lectures 13-15, which suggests that this is a lot of material for a single semester.
- Gary would continually refer back to Lecture 4 and Lecture 9 (indeed, I have Gary's voice saying "if we think back to the Note 9 framework..." burned into my brain. As a result, these are also some of the longest and densest lectures.
- The last 4 sections are review problems that Gary provided for preparation for the final exam. These are very fun problems, but we were not provided solutions. So, you'll have to figure them out on your own!