Lecture Notes

ECON 30331/Econometrics

Fall 2013



·         Why econometrics?  Wednesday, August 27th:  [Download notes in PPT handout mode]


·         Class introduction, moving from correlation to causation, Wednesday, August 27th:  [Download notes in PPT handout mode]


·         Chapter 2, The bivariate regression model, Monday September 1, 3 and 8 [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 10, 15, 17


                  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, September 17 and 22


                        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, 29


                        PPT notes, Chapter 7

            Review Sheet – how to interpret regression coefficients



·         Notes for articles


Bertrand and Mullinathian, Discrimination in the job market, October 1


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


            Sacerdote, Testing for nature vs. nurture, October 1

                  Black, How parents’ value school quality, October 8

                  Carrell et al., Peer effects in physical fitness, October 8

            Dale and Krueger, The returns for attending a more selective college, October 13



·         Chapter 5, Large sample properties of OLS estimates, Oct 27/29 [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 29/Nov 3

                  Detailed derivations:  Chapter 11:  Autocorrelated processes


                  Notes for Wilcox paper, Nov 5

                  The Efficient Market Hypothesis, Nov 5

                        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

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



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


            Detailed derivations

            A simple example:  Smoking and birthweight PPT slides

            2SLS examples, PPT slides



·         Regression discontinuity design models, Dec 3, 8

                       PPT slides