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.

If you are interested in seeing what is being done in other programs then pay a visit to Goteborg University in Sweden or Queen's University in Canada.

Professor Bill Mitchell at the University of Newcastle in Australia has put up web sites for his three econometrics classes. These sites are very good.

Econ 245: A first course covering the same topics as those in Economics 241 at Temple University.
Econ 340: A course in multivariate regression and simultaneous equations. Roughly equivalent to topics I cover in Econ 615 and 616.
Econ 346: A course in time series analysis: AR, MA and ARMA processes, stationarity, cointegration, ECMs and causation. Roughly equivalent to the comaparable material in my Econ 616.

Finally, for a fine collection of econometrics links visit Erasmus University.

Topics in the Notes

A Review of Descriptive Statistics and Probability
Random Variables and Distributions: Discrete and Continuous
- What does the bivariate normal distribution look like? (MVI required)
Sampling Distributions
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
Workouts in Hypothesis Testing
- Small Sample t- and F-tests
- Large Sample Tests: LR, Wald and LM
- Summary
A Review of Analysis of Variance
Simple Regression: Choosing an Estimator, its Properties, Goodness of Fit, and Hypothesis Testing
- An Interactive Simple Regression Notebook. MathView Internet required.
Multiple Regression: More of What You Saw in the Previous Section
- An Application of Multiple Regression (MVI required)
Generalized Least Squares: The Aitken Estimator, Heteroscedasticity and Autocorrelation
- An Interactive Look at Heteroscedasticity
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 Multiple Regression
- Measurement Error
- Missing Data
- Multicollinearity
- Specification Problems: Linearity, Dummy Variables and Splines
  - An Interactive Look at Dummy Variables and Splines
  - An Interactive Look at Various Functional Forms
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
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
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
An Introduction to Time Series
- Playing with stationarity
- What do AR(p) models look like?
- What do MA(q) models look like?
Stationarity: Testing for Unit Roots
An Introduction to Vector Autoregressions
An Introduction to Cointegration

Appendices

Introduction to Linear Algebra
- Interactive (MV) Problems in Linear Algebra
Some Matrix and Distribution Theorems
An Introduction to Asymptotics

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@astro.temple.edu