This document contains lecture notes for a first year graduate course in econometrics, with coverage of basic topics such as OLS and hypothesis testing, through maximum likelihood and GMM, nonlinear models, time series, panel data, Bayesian methods, simulation-based methods, and other topics....

Replaced by paper 575.03 in this series. Please change the 505.02 to 575.03 in your browser address bar to go to the new page, which has the download link.