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, Feb 10, 15


                        PPT notes, Chapter 7

            Review Sheet – how to interpret regression coefficients




·         The Potential Outcomes Framework, Feb 15


·         Notes for articles

                        Finkelstein et al., Oregon Health Insurance Experiment, Feb 15

            Sacerdote, Testing for nature vs. nurture, Feb 17

                  Black, How parents’ value school quality, Feb 17,

                  Dale and Krueger, The returns for attending a more selective college, Feb 22


·         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