Some more Introductory material and guidance - to get you started
Good afternoon class. A long message, following up on my promises:
A) For you to review fundamental/introductory notions of Probability Spaces, Random Variables, LLN's and CLT's in an accessible way, as well as some hints about what is at stake with Stochastic Processes (remember, it's essentially about memory and heterogeneity and how we can (or cannot) restrict them), I suggest you find the book
"Statistical Foundations of Econometric Modelling" by Aris Spanos (1986).
The book is 30 years old but still one of the best for this type of introductory educational review on these notions. What interests us here is "Part II - Probability Theory", namely, chapters 3-10, and especially, ch, 3, 4, 8, 9. The other chapters in the 3-10 collection contain extensions and more specific theoretical tools (say, about conditional expectation, modes of convergence, etc), and they are certainly also useful as review helpers.
If you cannot find this book, as an imperfect substitute (regarding our goal here) search for the book
"Probability Theory and Statistical Inference: Econometric Modeling with Observational Data" (1999) by the same author
and look up chapters 2,3,8,9, in there.
B) e-Class Material to start with
I suggest you go over the documents "Notes on Introductory Notions of Stochastic Processes 1" and "Notes on Introductory Notions of Stochastic Processes 2".
that can be found in the Documents section of e-class. The basic goal here is mainly to realize and understand what parts you don't understand.
C) THE MATLAB ISSUE
As we have said, we will be inspecting code in the MATLAB environment later on, so it would be good if you could browse the subject and get a little bit familiar with the logic of creating Matlab scripts either to estimate actual data, or to run "Monte Carlo"(simulation) experiments.
Closing, don't hesitate to contact me with absolutely any question you may have related to the class and the material. I check my e-mail many times a day, and usually sit down to answer them late at night on the same day, so you will get quick feedback. I cannot promise that the feedback will be what you have imagined/hoped for, but feedback it will be.
-- Alecos Papadopoulos PhD Candidate - TA for Econometrics II 2017-2018 papadopalex@aueb.gr
https://alecospapadopoulos.wordpress.com/
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