## Advanced StatisticsBack JP / EN

Numbering Code Year/Term G-ECON31 5A406 LJ43 2021 ・ First semester 2 Lecture Japanese Tue.2 HITOMI KOUTAROU (Part-time Lecturer) Learn the statistics necessary for studying econometrics at the graduate level. We aim to obtain statistical knowledge necessary for taking advanced econometrics. 1. Measure, probability space, axiom of probability 2. Stochastic variable, distribution function, density function 3. Moment generating function, characteristic function 4. Variable conversion of random variable 5. Distribution of multiple random variables (simultaneous distribution, marginal distribution, conditional distribution) 6. (Weak) Laws of large number 7. Central limit theorem 8. Some limit theorems 9. Estimation method (Moment method and maximum likelihood method) 10. Consistency, asymptotic normality, effectiveness 11. Test (Statistical Inference) The concept of statistical test, Naman-Pearson's lemma (most powerful test) 12. Likelihood ratio test, Wald test, score test 13. Basics of linear algebra for econometrics 14. Classical regression model Small sample theory of OLS under normal error Large sample characteristics of least squares estimator 15. Answer and explanation of the exam A weighted average of homework (30%) and final exam (70%) is your score. It is desirable to have knowledge of undergraduate level statistics and econometrics. I will give homework assignments that I could not cover in class so students should do my homework every time. 現代数理統計学, 竹村彰通, (創文社), ISBN:4-423-89508-0