**Lecture Notes**

**ECON 30331/Econometrics**

**Fall 2013**

·
**Why econometrics? Wednesday, August 28 ^{th}: [Download
notes in PPT handout mode]**

·
**Class introduction, moving from correlation
to causation, Wednesday, August 28 ^{th}: [Download notes in PPT
handout mode]**

·
**Chapter 2, The bivariate regression model,
Monday September 2 [Download PPT notes]**

**Detailed derivations. This is a 15-page
handout that includes all the important derivations I will do at the board for
this chapter, the topics include:**

** Important properties of
summations**

** Deriving the OLS
estimates**

** Deriving the R-squares**

** OLS estimates are unbiased**

** The
variance of OLS estimates**

· **Chapter 3, The multivariate regression
model, September 11, 16 and 18**

** PPT notes, Chapter 3**

**Detailed
derivations for multivariate
models**

** Deriving the estimates in multivariate
models**

** Omitted variables bias in the
multivariate model**

** The “partialling”
out property of multivariate models**

** A note on variances in multivariate
models**

·
**Chapter
4, Statistical inference, September 18 and 23**

** PPT notes, Part 1: Inference about 1
parameter**

** PPT notes, Part 2: Tests of multiple parameters**

·
**Chapter 7, Dummy variables in regression
models, September 26**

** PPT notes, Chapter 7**

** Review Sheet – how to interpret regression coefficients
**

·
**Notes for articles**

**Bertrand and Mullinathian,
October 1**

** **

** STATA data set that will allow you to replicate basic
results in Table 1**

** Notes for Katz et
al., Moving to Opportunity, October 7**

** Notes for Sacerdote, October 7**

** Notes for Dale
and Krueger, October 9**

·
**Chapter 5, Large sample properties of OLS
estimates, Oct 28/30 [Download PPT notes]**

**Notes on the consistency of OLS estimates**

**Notes on measurement error in X**

·
**Chapter 10-12 – Some topics in Time Series
Analysis**

** Time Series, Part I, PPT slide show, Oct 30, Nov 4**

** Detailed derivations:**

** Chapter 11: Autocorrelated processes**

** Notes for
Wilcox paper, Nov 4**

** The
Efficient Market Hypothesis, Nov 6
**

Time Series, Par
II, PPT slide show, Nov 6, 11

** Detailed derivations:**

** Chapter 12: Autocorrelated errors**

** Critical values for Durbin-Watson Statistic
(Use Table A2)**

·
**Chapter 13/14
– Pooled time series/cross sectional data sets**

** **

** Lecture notes, part 1 (plus Meyer et
al., Card and Krueger), PPT slide show,
November 13/18**

** Lecture notes, part 2 (plus Ayers
and Levitt, Linden and Rockoff), PPT slide show,
November 18/20**

·
**Chapter 15 – Two-stage least squares, Nov 25,
Dec 2, 4**

** A simple example: Smoking and birthweight
PPT slides**

** 2SLS examples, PPT slides**