This page contains information about Michael Creel's graduate level
econometrics notes. There are a couple of unusual thing about these
You may be wondering why the notes are available in this form. It's
simply because I use a lot of free software, and this is a means of
contributing back to the community. Also, I'm hoping to receive error
corrections and contributions from users of the notes.
- they are available in editable form, so that you can modify them
to suit your needs. They are however copyrighted, so you should learn
about the GPL
before modifying and distributing them.
- they contain links that point to example
programs using the Octave
programming language. There are examples for stuff like OLS, ML, etc.,
but there is also working (GPL'd) code for nonparametric methods,
methods, and parallel programming applications in econometrics. The
examples make use of some other code for GNU Octave that I have written
- minimizers and other stuff, available
- the example programs together with data and all needed software
are on PelicanHPC.
A bit more detail: The notes are written using the LyX word processor, which allows export
to LaTeX. The document is about 500 pages. Coverage is 2
semesters of econometric theory, emphasizing models for stationary
data. Pure time series methods are very sparsely treated, and models
for nonstationary are completely absent. I would love to receive a
couple of contributed chapters in these areas.
- the notes,
in pdf form.
contains the notes and all the examples,
ready to run. You don't need to install anything to use it.
- all of the sources for the notes and examples are here.
To run the examples, you need to have Octave installed. To edit the
notes, you need to install LyX. I can provide help for installing the
code on Linux, just ask.