Lecture Notes

ECON 30331/Econometrics

Spring 2016



·         Class introduction, moving from correlation to causation, Wednesday, January 13:  [Download notes in PPT handout mode]



·         Chapter 2, The bivariate regression model, January 18/20 [Download PPT notes]

                        Some simulations that help explain unbiased estimates


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, January 25/27

                  PPT notes, Chapter 3


                  Detailed derivations for multivariate models.  The topics include

·         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, Feb 3, 8


                        PPT notes, Part 1:  Inference about 1 parameter

                        PPT notes, Part 2:  Tests of multiple parameters





·         Chapter 7, Dummy variables in regression models, September 22


                        PPT notes, Chapter 7

            Review Sheet – how to interpret regression coefficients


·         The Potential Outcomes Framework, Sept 28


·         Notes for articles

                        Finkelstein et al., Oregon Health Insurance Experiment, Sept 30

            Sacerdote, Testing for nature vs. nurture, September 30

                  Black, How parents’ value school quality, October 5

                  Dale and Krueger, The returns for attending a more selective college, October 5


·         Chapter 5, Large sample properties of OLS estimates, Oct 7/12 [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 26/28

                  Detailed derivations:  Chapter 11:  Autocorrelated processes


                  Notes for Wilcox paper, October 28

                  The Efficient Market Hypothesis, Nov 2

                        Time Series, Par II, PPT slide show, Nov 2,4

                   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, Nov 4, 9

            Lecture notes, part 2 (plus Ayers and Levitt), PPT slide show, Nov 9,11


·         Chapter 15 – Two-stage least squares, Nov 25, Dec 1, 3


            Detailed derivations

            Slides and paper tables PPT slides


·         Regression discontinuity design models, Dec 2, 7

                       PPT slides