Economics
527
Econometric Methods
Lecture
Notes:
Vector and Matrix Differentiation (updated: October 6, 2009)
LECTURE 1: Basics of Probability. (updated: September 28, 2011)
LECTURE 2: Linear regression model and OLS. (updated: September 27, 2011)
LECTURE 3: Geometry of LS, partitioned regression, goodness of fit. (updated: October 6, 2008)
LECTURE 4: Confidence intervals. (updated: October 14, 2010)
LECTURE 5: Hypothesis testing. (updated: December 21, 2010)
LECTURE 6: Properties of the adjusted coefficient of determination, models misspecification, structural change, dummy variables, forecasts. (updated: November 2, 2010)
LECTURE 7: Large sample theory. (updated: September 15, 2011)
LECTURE 8: Large sample properties of OLS, asymptotic confidence intervals and hypothesis testing. (updated: December 21, 2010)
LECTURE 9: Heteroskedasticity and GLS. (updated: December 8, 2008)
LECTURE 10: Endogeneity and IV estimation. (updated: December 17, 2010)
LECTURE 11: GMM,
part
LECTURE 12: GMM, part II. (updated: December 21, 2010)
LECTURE 13: Simultaneous equations. (updated: November 15, 2006)
LECTURE 14: Maximum likelihood estimation. (updated: December 8, 2008)
LECTURE 15: Binary response models. (updated: December 8, 2008)
LECTURE 16: Time series topics. (updated: February 8, 2006)
Assignments:
Assignment 1 due Thursday September 15 Solution
Assignment 2 due Thursday September 22
Solution
Assignment 3 due Friday September 30 Solution
Assignment 4 due Friday October 7
Solution
Assignment 5 due Friday October 14
Solution
Assignment 6 due Friday October 21 Solution
Assignment 7 due Friday October 28 Solution
Assignment
8 due Friday November 11 Solution
Assignment 9 due Tuesday November 22 Solution
Assignment 10 due Friday December 2 Solution
Practice Questions:
2009 Midterm Solution
2010 Midterm Solution
2008 Final Solution
2009 Final Solution
2010 Final Solution
Stata Notes:
Stata basics