Lecture Notes

ECON 30331/Econometrics

Spring 2010

 

 

·         Class introduction, moving from correlation to causation, Tuesday, January 12:  [Download notes in PPT handout mode]

 

·         Chapter 2, The bivariate regression model, Thursday, January 14 through Thursday, January 21 [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, January 26th and 28th

                  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, February 2, 4, 9

 

                        PPT notes, Part 1:  Inference about 1 parameter

                        PPT notes, Part 2:  Tests of multiple parameters

 

 

·         Chapter 7, Dummy variables in regression models, Feb 9

 

                        PPT notes, Chapter 7

 

·         Review Sheet – how to interpret regression coefficients

 

 

·         Notes for articles

 

Bertrand and Mullinathian, February 16

                 

                                                STATA data set that will allow you to replicate basic results in Table 1

 

            Notes for Sacerdote, February 18

            Notes for Katz et al., Moving to Opportunity, February 23

            Notes on the Economics of Corruption: Duggan/Levitt, Fisman and Miguel, February 23/25

 

·         Chapter 5, Consistency and the Central Limit Theorem, March 16 and 18 [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, March 18 and 23