Lecture Notes

ECON 30331/Econometrics

Fall 2012

 

 

·         Class introduction, moving from correlation to causation, Wednesday, August 22^nd:  [Download notes in PPT handout mode]

 

·         Chapter 2, The bivariate regression model, Monday August 27^th Monday September 3 [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 model, September 10, 12 and 17

 

                  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 17 and 19

 

                        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 1

            Notes for Sacerdote, October 3

            Notes on the Corruption in sumo wrestling,  Duggan/Levitt, October 3/8

 

 

·         Chapter 5, Large sample properties of OLS estimates, Oct 22/24 [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 24, 29

                  Detailed derivations:

                       Chapter 11:  Autocorrelated processes

 

                Notes for Wilcox paper, Oct 31

                  The Efficient Market Hypothesis, Oct 31

                        Time Series, Par II, PPT slide show, Nov 5,7

                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 12/14

            Lecture notes, part 2 (plus Ayers and Levitt, Linden and Rockoff), PPT slide show, November 14/19

 

 

·         Chapter 15 – Two-stage least squares

 

            Detailed derivations

            A simple example:  Smoking and birthweight PPT slides

            2SLS examples, PPT slides