Lecture Notes

ECON 30331/Econometrics

Fall 2013



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


·         Class introduction, moving from correlation to causation, Wednesday, August 28th:  [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


            Detailed derivations

            A simple example:  Smoking and birthweight PPT slides

            2SLS examples, PPT slides