

LECTURE NOTES ECON 30331: Econometrics 


·
Class introduction, moving from correlation
to causation, Wednesday, January 17: [Download notes in PPT
handout mode]
·
Chapter 2, The bivariate regression model,
January 22/24 [Download PPT notes]
Some simulations that help explain
unbiased estimates
Detailed derivations. This is a 15page 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 Rsquares
·
OLS estimates are unbiased
·
The variance of OLS estimates
·
Chapter 3, The
multivariate regression model, January 29/31, Feb 5
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, Feb 5, 7
PPT notes, Part 1: Inference about 1
parameter
PPT notes, Part 2: Tests of multiple parameters
·
Chapter 7, Dummy variables in regression
models, Feb 14, 19
PPT notes, Chapter 7
Review Sheet – how to interpret regression coefficients
·
Notes for articles
Cook et al. Gender pay gap in Uber, Feb 21
Bertrand
and Mullinathian, February 21
Sacerdote, Testing for nature
vs. nurture, Feb 26
Dale
and Krueger, The returns to more selective colleges, Feb 26
·
Chapter 5, Large sample properties of OLS
estimates, Feb 28/March 5
[Download PPT notes]
Notes on the consistency of OLS estimates
Notes on measurement error in X
·
Chapter 1012 – Some topics in Time Series
Analysis
Time Series, Part I, PPT slide show, March 19/21
Detailed derivations: Chapter 11:
Autocorrelated
processes
Notes for
Wilcox paper, March 21
The
Efficient Market Hypothesis, March 26
Time Series, Par II, PPT slide show, March 26/28
Detailed derivations: Chapter 12:
Autocorrelated
errors
Critical values for DurbinWatson Statistic
(Use Table A2)
·
Chapter 13/14
– Pooled time series/cross sectional data sets
Lecture notes, part 1 PPT slide show,
March 28, April 4
(these also
include motes on Meyer et al., Card and Krueger)
Lecture notes, part 2 (plus Ayers
and Levitt), PPT
slide show,
April 4 and
7
Lecture notes for Chandra et al. ppt slide show
·
Chapter 15 – Twostage least squares, April
11, 16, 23
Slides and paper tables PPT slides
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·
Regression discontinuity design models, April
23, 25, 30