Econometrics Lecture Notes
by
Andrew J. Buck
Professor of Economics
Temple University
These lectures are for use in a 2 semester econometrics sequence at the
graduate level. Feel free to download any sections you wish, but please give attribution
when you do so. Some sections are nearly .5Mb, including the *.gif files which contain
equations and diagrams.
Some of the links are straight HTML. Some links have LiveMath documents
embedded in them. To see these you need to get the viewer from www.livemath.com. Some links take you to a
MathCAD worksheet. For the MathCAD worksheets you can use the viewer available from www.mathsoft.com.
For a fine collection of econometrics links visit Erasmus University.
Visit the virtual
laboratory for probability and statistics.
Topics in the Notes
Click on to expand or collapse the outline
- A
Review of Descriptive Statistics and Probability;
- Venn Diagram
- Descriptive
Statistics in MathCAD
- Interactive Probability in MathCAD
- Random
Variables and Distributions: Discrete and Continuous
- Notes
on Sampling Distributions
- Working with a Sampling
distribution MathCAD
- The effect of sample size on the distribution of the
sample mean.
- Order Statistics, MathCAD
- Probability and Distribution Theory: Solutions to Econometric Analysis, Chapter
3, William Greene, 4th Edition. All done in MathCAD
- Estimating Scalar Population Parameters:
Methods and Properties
- Testing Hypotheses about the Mean and
Variance
- An Introduction to Asymptotic Tests:
Likelihood Ratio, Wald and Lagrange Multiplier
The Wald, Likelihood Ratio and Lagrange Multiplier Tests stated in
terms of the Coefficient of Determination
- Workouts in Hypothesis Testing
- A Review of Analysis
of Variance and MathCAD examples
- Simple Regression: Choosing an Estimator, its Properties,
Goodness of Fit, and Hypothesis Testing
- Multiple
Regression: More of What You Saw in the
Previous Section
- Generalized Least Squares: The Aitken Estimator,
Heteroscedasticity and Autocorrelation
- Another Pass at Hypothesis Testing in
Multiple Regression: The t- and F-statistics; the Wald, Lagrange Multiplier, and
Likelihood Ratio Tests; Decision Theoretic Selection Rules
- Topics in the Pathologies of Multiple
Regression
- Specialized Error Structures
- Simultaneous Equations Models
- Time Series
- Quantile
Regression
and a simple MCAD
worksheet
- Kernel
Regression by Prof. Dr. Walter Zucchini
- Generalized Method
of Moments
- Appendices
To put to work what you have learned here you might want to visit the Fair Model
Another good site is the Cambridge University Small U.K. Model Distributed Lags
You can find past problem sets and exams HERE.
I'm always happy to hear from people interested in economics and Temple
University. You can call me at 215-204-1985. You can send me a FAX at 215-204-8173. Or you
can send email to buck@temple.edu