Texts
Wooldridge, Jeffrey M. Introductory Econometrics: A Modern Approach. 3rd ed. Mason, OH: Thomson/South-Western, 2006. ISBN: 9780324289787.
Goldberger, Arthur S. A Course in Econometrics. Cambridge, MA: Harvard University Press, 1991. ISBN: 9780674175440.
DeGroot, Morris H., and Mark J. Schervish. Probability and Statistics. 3rd ed. Boston, MA: Addison-Wesley, 2001. ISBN: 9780201524888.
Wooldridge is the main text. The material in Goldberger is more advanced and optional. DeGroot and Schervish is a recommended text for statistics review. The lecture notes are unavailable.
The course consists of parts 1 (A, B, and C) and 2 (D, E, F, and G).
| TOPIC # | TOPICS | Readings |
|---|---|---|
| A. Review of probability and statistics | ||
| 1 | Probability and distribution |
Lecture note 1: Probability and distribution Lecture note 2: Expectation and moments Wooldridge. Appendix B. Goldberger. Chapters 1-7. DeGroot. Chapters 1-5. Burtless, Gary. "Are Targeted Wage Subsidies Harmful? Evidence from a Wage Voucher Experiment." Industrial and Labor Relations Review 39 (October 1985): 105-111. |
| 2 | Expectation and moments | |
| B. Review of statistical inference | ||
| 3 | Sampling distributions and inference |
Lecture note 3: Sampling distributions and inference Lecture note 4: Approximate [asymptotic] distribution of the sample mean Lecture note 5: Confidence intervals Wooldridge. Appendix C. Goldberger. Chapters 8-10. DeGroot. Chapters 6-8. Woodbury, S. A., and R. Spiegelman. "Bonuses to Workers and Employers to Reduce Unemployment: Randomized Trials in Illinois." American Economic Review 77, no. 4 (September 1987): 513-530. |
| 4 | The Central Limit theorem (Asymptotic distribution of the sample mean) | |
| 5 | Confidence intervals | |
| C. Regression basics | ||
| 6 | Conditional expectation functions, bivariate regression |
Lecture note 6: Bivariate regression Lecture notes 7 and 8: Sampling distribution of regression estimates Lecture note 9: Residuals, fitted values, and goodness of fit Wooldridge. Chapters 1-5. Goldberger. Chapters 13-16. |
| 7 | Sampling distribution of regression estimates; Gauss-Markov theorem | |
| 8 | How Classical assumptions are used; asymptotic distribution of the sample slope | |
| 9 | Residuals, fitted values, and goodness of fit | |
| D. Multivariate regression | ||
| 10 | Regression, causality, and control; anatomy of multivariate regression coefficients |
Lecture note 10: Introduction to multivariate regression Lecture note 11: Multivariate regression (cont.) Lecture note 12a: Using multivariate regression Lecture note 12b: Regression analysis of "Natural Experiments" - the minimum wage controversy Wooldridge. Chapters 6-7 and 19. Goldberger. Chapters 17-24. Krueger, A. "How Computers Have Changed the Wage Structure: Evidence from Micro Data." Quarterly Journal of Economics 108, no. 1 (February 1993): 33-60. DiNardo, J., and J. S. Pischke. "The Returns to Computer Use Revisited: Have Pencils Changed the Wage Structure Too?" The Quarterly Journal of Economics 112, no. 1 (February 1997): 291-303. Krueger, A., and S. B. Dale. "Estimating the Payoff to Attending a More Selective College: An Application of Selection on Observables and Unobservables." The Quarterly Journal of Economics 117 (November 2002): 1491-1529.
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| 11 | Omitted variables formula, short vs. long regressions | |
| 12a | Dummy variables and interactions; testing linear restrictions using F-tests | |
| 12b | Regression analysis of natural experiments, differences-in-differences | |
| E. Inference problems - heteroscedasticity and autocorrelation | ||
| 13a | Heteroscedasticity, consequences of; weighted least squares; the linear probability model |
Lecture note 13a: Heteroscedasticity, linear probability models Lecture note 13b: Serial correlation Wooldridge. Chapters 8 and 12. Goldberger. Chapters 27-28.
Graddy, K. "Testing for Imperfect Competition at the Fulton Fish Market." RAND Journal of Economics 26, no. 1 (Spring 1995): 75-92. |
| 13b | Serial correlation in time series, consequences of; quasi-differencing; common-factor restriction; Durbin-Watson test for serial correlation | |
| F. Instrumental variables, simultaneous equations models, measurement error | ||
| 14a | Using IV to solve omitted-variables problems |
Lecture note 14: Instrumental variables for omitted-variables problems Wooldridge. Chapter 15. Goldberger. Chapter 31. Angrist, J. "Lifetime Earnings and the Vietnam Era Draft Lottery: Evidence from Social Security Administrative Records." American Economic Review 80, no. 3 (June 1990): 313-336. Angrist, J., and A. Krueger. "Does Compulsory School Attendance Affect Schooling and Earnings?" Quarterly Journal of Economics 106, no. 4 (November 1991): 979-1014. Angrist, J., and W. E. Evans. "Children and Their Parents' Labor Supply: Evidence from Exogenous Variation in Family Size." American Economic Review 88 (June 1998): 450-477. Lecture note 14b: IV and measurement error Ashenfelter, O., and A. Krueger. "Estimates of the Economic Returns to Schooling from a New Sample of Twins." American Economic Review 84, no. 5 (December 1994): 1157-1174. Lecture note 14c: Regression-discontinuity Angrist, J., and V. Lavy. "Using Maimonides Rule to estimate the Effects of Class Size on Scholastic Achievement." Quarterly Journal of Economics 114, no. 2 (May 1999): 533-575. |
| 14b | Measurement error (Time-permitting) | |
| 14c | Regression-discontinuity designs (Time-permitting) | |
| G. Simultaneous equation models | ||
| 15 |
Simultaneous equations models I
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Lecture note 15: Simultaneous equations models - motivation and identification Lecture note 16: Simultaneous equations models - estimation Wooldridge. Chapter 16. Goldberger. Chapters 32-34. Angrist, J., G. Imbens, and K. Graddy. "The Interpretation of Instrumental Variables Estimators in Simultaneous Equations Models with an Application to the Demand for Fish." Review of Economic Studies 67, no. 3 (July 2000): 499-527. |
| 16 |
Simultaneous equations models II
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