Welcome to our course web site for RECO 714 "Econometrics I".

Administrative Stuff

• How to log on to the CABNR network and access your student folder
• Folder structure within your student folder
   
• Syllabus (pdf)
   
• Textbook web-site

Matrix Algebra Tutorial

• Tutorial notes (Word format)
• Matlab scripts
  • ma_mod1
  • ma_mod2
  • ma_mod3
  • ma_mod4
  • ma_mod5
     

Matlab Info:

• Link to the library server (to access Matlab)
• My Web site with Matlab Tutorial and useful links

Background Sources for Mathematical Statistics and Distribution Theory

• An undergraduate Math Stats text such as Larsen & Marx's "An Introduction to Mathematical Statistics" (4th edition, 2006)
• A basic reference book on Statistical Distributions, such as Evans, Hastings, Peacock's "Statistical Distributions"(3rd edition, 2000)

Lecture Material

Current:

Overview of Estimation Frameworks and Estimators

• Lecture Notes
• Matlab material:
  • reco714_s1a (script illustrating the consequences of wrong assumptions using simulated data, part A)
  • reco714_s1b (script illustrating the consequences of wrong assumptions using simulated data, part B)
  • reco714_s1c (building a regression model from scratch; estimation of "incomplete" and "correct" models)
     
  • epanech_klaus (function to compute nonparametric density estimates using the Epanechnikov kernel - place it in your "functions" folder)
  • tnormrnd (function to draw from a truncated normal density - place it in your "functions" folder)

Classical Linear Regression Model and Least Squares

• Lecture Notes
• Matlab Material
  • reco714_s2a (script illustrating the full rank condition, the basic least squares technique, and the orthogonality condition)
  • reco714_s2b (partitioned regression and goodness-of-fit
  • conditional_expectations (script illustrating the concept of conditional expectations, the law of iterated expectations, and problems that arise when Assumption 3 of the CLRM is violated)
  • log_vs_linear (script comparing a log-linear and a linear regression model using the wage data)
  • wage data
     
• Powerpoint slides

The Finite Sample Properties of the Least Squares Estimator /
Basic Hypothesis Testing

• Lecture Notes
• Matlab Material
  • reco714_s3

Maximum Likelihood Estimation

• Lecture Notes
• Matlab Material
  • reco714_s4 (main script for MLE for the CLRM with numerical gradient and Hessian)
  • reco714_s4a (same with analytical gradient and Hessian)
  • normal_mle (function with MLE optimization code based on numerical gradient and Hessian - courtesy of Prof. Shonkwiler)
  • normal_mle_analytical (function with MLE optimization code based on analytical gradient and Hessian)
  • normal_L (log-likelihood vector for the normal regression model, called by "normal_mle")
  • normal_analytical_llf (sample log-likelihood, gradient, and Hessian for the normal regression model, called by "normal_mle_analytical")
     

Asymptotic Theory / Asymptotic Properties of OLS and MLE estimators

• Lecture Notes
• Matlab Material
  • reco714_s5 (script illustrating convergence in probability)
  • reco714_s5b (script illustrating convergence in distribution)
  • reco714_s5c (script illustrating convergence in distribution via stabilizing transformations)
  • reco714_s5d (script illustrating Delta Method and Krinsky-Robb (1986) Simulation)
     

Hypothesis Testing and Prediction in Least Squares and Maximum Likelihood Estimation

• Lecture Notes
• Matlab Material
  • reco714_s6 (script illustrating hypothesis testing using least squares)
  • reco714_s6b (script illustrating hypothesis testing using MLE)
  • reco714_s6c (script illustrating predictions and predictive fit)
  • fishing (data for script s6b, Excel format)
  • hedonics (data for script s6c, Excel format)

Instrumental Variables, and Two-Stage-Least Squares

• Lecture Notes
• Matlab Material
  • reco714_s7(script illustrating OV bias through omission of a correlated regressor)
  • reco714_s7b (script illustrating OV-type bias through endogeneity)
  • reco714_s7c (script illustrating OV-type bias through measurement error)
     
  • labor supply data (tab-delimited text format)
  • consumption data (tab-delimited text format)
     

Generalized Linear Regression and Robust Estimation

• Lecture Notes
• Matlab Material
  • reco714_s8 (script illustrating GLS, OLS, and robust OLS with simulated data)

Dealing with Heteroskedasticity

• Lecture Notes
• Matlab material
  • reco714_s9sim (HSK plots using simulated data)
  • reco714_s9 (HSK tests and robust estimation using water data)
    • water (data in Excel format)
  • reco714_s9b (multiplicative HSK using credit card data)
    • creditcard (data in Excel format)
  • reco714_s9c (group-wise HSK using water data)
  • reco714_s9d (HSK tests and robust estimation using fishing data)
    • fishing (data in Excel format)

Dealing with Serial Correlation

• Lecture Notes
• Matlab material
  • reco714_s10 (SC tests and robust estimation using national consumption data)
    • consumption (data in Excel format)
  • reco714_s10b (same using hotel water data)
    • hotel_ac (data in Excel format)

   

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To be updated:

Panel Data Models

• Lecture Notes
• Matlab material
  • reco714_s11 (Pooled regression: OLS vs robust OLS; within & between variability)
    • ret_school (data in Excel format)
  • reco714_s11b (same using hotel water data, 12 months, 2000)
    • hotel_panel (data in Excel format)
  • reco714_s11c (Comparing OLS, FE, and models with time effects)
  • reco714_s11d (Comparing OLS, FE, and RE -LM test, Hausman test)
  • reco714_s11e ("the works" - comparing OLS, FE, RE, hotel water consumption example)
    • hotel_panel_annual (hotel water data, annual, 1993-2000)
  • reco714_s11f ("the works" - comparing OLS, FE, RE, hours worked example)
    • ziliak (Ziliak's (1998) data on "hours worked", discussed in Cameron & Trivedi, p. 709;
      Data courtesy of textbook website)

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Additional Topics

• Working with Indicator Variables ("Dummies")

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Problem Sets

Current

• PS 1
  • Instructions
  • wage data

• PS 2 (due Sept. 30, 2009)
  • Instructions
  • ps2_data (tab-delimited text format)
     
• PS 3 (due Oct. 26, 2009)
  • Instructions
  • Data for Q.4 (tab-delimited text format)
     
• PS 4 (due Nov. 16, 2009)
  • instructions
  • homeprice (data for Q4, Excel format)
     
• PS 5 (due Dec. 2, 2009)
  • instructions
  • gasoline (data for Q.2, Excel format)
  • investment (data for Q.4, Excel format)

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Exams & Practice

• Midterm Practice Questions with Solutions
   
• Fall 2008 Midterm with Solutions
   
• Midterm 2009 with solutions

• Final Exam Practice Questions with Solutions