**Lecture Notes**

**ECON 30331/Econometrics**

**Fall 2013**

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

·
**Class introduction, moving from correlation
to causation, Wednesday, August 27 ^{th}: [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**

** A simple example: Smoking and birthweight
PPT slides**

** 2SLS examples, PPT slides**

·
**Regression discontinuity design models, Dec 3,
8**