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  

1. A Review of Descriptive Statistics and Probability;
   • Venn Diagram
     • Venn Diagram in LiveMath
     • Venn Diagram in MathCAD
   • Descriptive Statistics in MathCAD
     • Center of mass in LiveMath
     • Center of Mass in MathCAD
   • Interactive Probability in MathCAD
     • Part 1 MathCAD
     • Part 2 MathCAD
     • Part 3 MathCAD
       
2. Random Variables and Distributions: Discrete and Continuous
   • Discrete Distributions, MathCAD
   • Continuous Distributions, MathCAD
   • What does the bivariate normal distribution look like? (LiveMath)
   • What about skewness and kurtosis?
     
3. 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
     • Questions 1 through 11
     • Question 12
     • Questions 14 through 17
     • Questions 18 through 20
     • Questions 21 through 29
       
4. Estimating Scalar Population Parameters: Methods and Properties
• An Interactive Look at Maximum Likelihood Estimation
• An Interactive Look at Confidence Intervals
  
5. Testing Hypotheses about the Mean and Variance
   
6. 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
   
7.  Workouts in Hypothesis Testing
   • Small Sample t- and F-tests (pdf)or in MathCAD
   • Large Sample Tests: LR, Wald and LM
     • Bernoulli and Normal Examples (pdf) or in MathCAD
     • An Exponential Example (pdf) or in MathCAD
     • A Weibull Example (pdf) or in MathCAD
   • An Expository Note on LR, Wald and LM test
   • Summary
     
8.   A Review of Analysis of Variance and MathCAD examples
   • One Way ANOVA
   • Two Way ANOVA
   • Another Two Way ANOVA written as a program in MCAD
   • Two Way ANOVA: Unequal Samples
   • Two Way ANOVA with Interaction
   • Simple Regression and ANOVA
     
9.  Simple Regression: Choosing an Estimator, its Properties, Goodness of Fit, and Hypothesis Testing
   • Ordinary Least Squares Projections: Part 1 and Part 2.
   • An Interactive Simple Regression Notebook. LiveMath Internet required.
   • The Consistency of Ordinary Least Squares.
     
10. Multiple Regression: More of What You Saw in the Previous Section
    • An Application of Multiple Regression (MVI required)
    • An Example using MathCAD
    • A little OLS program written in MathCAD
      
11.  Generalized Least Squares: The Aitken Estimator, Heteroscedasticity and Autocorrelation
    • An Interactive Look at Heteroscedasticity
    • An Interactive look at Autocorrelation
      
12. 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
    
13.   Topics in the Pathologies of Multiple Regression
    • Measurement Error
    • Missing Data
    • Multicollinearity and Explorations (MCAD) in Multicollinearity
    • Specification Problems: Omitted Variables, Linearity, Dummy Variables and Splines, and Non-nested Hypotheses
      • An Interactive Look at Dummy Variables and Splines
      • An Interactive Look at Various Functional Forms
        
14.   Specialized Error Structures
    • Autoregressive Conditional Heteroscedasticity (ARCH) or get the Self-extracting download
    • Zellner's Seemingly Unrelated Regression and an illustration of the efficiency gain.
    • An Introduction and lecture notes on Random Effects Models with a REM Example: Choosing Between OLS, LSDV and REM
      • REM Example: Individual Effects Plot
      • REM Example: Time Effects Plot
      • REM Example: Random Effects Plot
      • REM Example: Summary of Specification Tests
        
15.   Simultaneous Equations Models
    • Identification
      • A Three Dimensional View of the Identification Problem
      • A Two Dimensional View of Identification and the Observed Data
      • Consistency and LS Over-estimation
    • System Estimation and Specification
    • A Numerical Example
      
16.   Time Series
    • An Introduction
      • Playing with stationarity
      • MathCAD provides and easy way to simulate the Autoregressive, the Moving Average and ARMA models discussed in the lecture notes.
    • Stationarity: Testing for Unit Roots
    • An Introduction to Vector Autoregressions
    • An Introduction to Cointegration:   A money - GNP example (using RATS) and accompanying data.
      
17.   Quantile Regression and a simple MCAD worksheet
18.      Kernel Regression by Prof. Dr. Walter Zucchini
    
19.    Generalized Method of Moments
20.   Appendices
    • Introduction to Linear Algebra
      • Interactive (MV) Problems in Linear Algebra
      • Interactive problems in linear algebra with MathCAD
    • Some Matrix and Distribution Theorems
    • An Introduction to Asymptotics

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