Lecture Notes

ECON 30331/Econometrics

Spring 2009

 

 

·         Class introduction, Monday, January 19:  [Download notes in PPT handout mode]

·         Chapters 1, Scatter Plots and Correlation Coefficients, Monday, January 19

                  PPT notes, Chapter 1,

 

·         Chapter 2, The bivariate regression model, Wednesday, January 21 through Wednesday, January 28

                        PPT notes, Chapter 2, the Bivariate model

 

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, February 2nd and 4th

 

                  PPT notes, Chapter 3

 

                  Detailed derivations

                                          Deriving the estimates in multivariate models

                                          Omitted variables bias in the MV model

                                          The “Partialling” out property of MV regressions                       

 

·         Chapter 4, Statistical inference (February 9, 11, 16)

 

                        PPT notes, Part 1:  Inference about 1 parameter

                        PPT notes, Part 2:  Tests of multiple parameters

 

·         Chapter 7, Dummy variables in regression models, Feb 18

 

                        PPT notes, Chapter 7

 

·         Review Sheet – how to interpret regression coefficients

 

·         Notes for Bertrand and Mullinathian, February 23

                 

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

 

·         Notes for Sacerdote, February 23 and 25

 

·         Notes for Duggan/Levitt and Fisman/Miguel, Feb 25, March 2

 

·         Chapter 5, the consistency of OLS estimates, Monday, Match 16th

 

PPT slide show

Detailed derivations

      The consistency of OLS estimates

      The impact of measurement error in x

 

·         Chapter 10-12 – Some topics in Time Series Analysis

           

            Time Series, part I, PPT slide show, March 18 and 23

            Time Series, Part II, PPT slide show, March 25

            Critical values for Durbin-Watson Statistic (Use Table A2)

            Notes for Wilcox paper, March 25

 

            Detailed derivations, impact of autocorrelation on mean and variance of B1

 

·         Chapter 13 -- Difference in Difference Models

                  PPT slide show

                  Tyler et al., Ayers & Levitt, PPT slide show

 

·         Chapter 15 – Two-Stage Least Squares (2SLS)

                  PPT slide show, part 1

                  PPT slide show, part 2

 

·         Regression discontinuity models

            PPT slide show part 1

            Angrist and Lavy

            Card et al.