Handouts for Class

ECOE 30331:  Econometrics

Spring 2018 Department of Economics


   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 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, January 29/31, Feb 5

                  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, 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 10-12 – 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 Durbin-Watson 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 – Two-stage least squares, April 11, 16, 23


            Detailed derivations

            Slides and paper tables PPT slides



  • Regression discontinuity design models, April 25, April 30

                       PPT slides