Econometrics

course outline

• introductory discussions
• statistics vs. machine learning
• Bender and Koller (2020). "Climbing towards NLU"
• the octopus test – notes on Bender and Koller's paper
• Wdowiak. monopsonist and minimum wage
• Wdowiak (2017). minimum wage, employment and annual pay


• background -- statistics and probability
• bivariate normal distribution, (wxM) (PDF)


• lecture 1 -- ordinary least squares
• Studenmund, chaps. 1, 2 and 3
• notes on regression, (PDF)
• OLS regression, (PDF)
• OLS regression, (R script)
• OLS regression, (wxM) (PDF)
• problems #4 and #1


• lecture 2 -- maximum likelihood
• Kennedy, chaps. 1, 2 and 3
• MLE mean-variance, (wxM) (PDF)
• MLE regression, (wxM) (PDF)
• MLE 2nd o.c., (wxM) (PDF)
• problem #2


• lecture 3 -- hypothesis testing
• Studenmund, chaps. 4 and 5
• Kennedy, chap. 4
• MLE explanations, (wxM) (PDF)
• distribution of beta hat, (R script)
• problems #3 and #4


• lecture 4 -- violations of the Gauss-Markov assumptions
• Kennedy, chaps. 5, 6 and 7


• lecture 5 -- panel data
• Studenmund, chap. 16
• Kennedy, chap. 18


• lecture 6 -- heteroskedascity
• Studenmund, chap. 10
• Kennedy, chap. 8
• heteroskedascity in the logit model


• lecture 7 -- probability models
• Studenmund, chap. 13
• Kennedy, chaps. 16 and 17
• logit model, (wxM) (PDF)


• lecture 8 -- time-series
• Studenmund, chaps. 9, 12 and 15
• Kennedy, chaps. 10, 19 and 20
• non-stationary residuals, (wxM) (PDF)


• lecture 9 -- simultaneous equations
• Studenmund, chap. 14
• Kennedy, chap. 11

references and software

• statistics
• my statistics course
• L.&H. Friedman's statistics course


• statistical software
• the R language
• Introduction to R
• RKWard
• LearnEconometrics.com
• gretl
• gretl Resources


• mathematical software
• Maxima and wxMaxima
• wxMaxima installation instructions (U. New Haven)
• Josef Leydold's Maxima for Economics
• Zachary Hannan's wxMaxima for Calculus

textbooks

• required:
  • A.H. Studenmund. Using Econometrics: A Practical Guide.
  • P. Kennedy. A Guide to Econometrics.
  
  
• other suggestions:
  • L. Adkins (2018). Using gretl for Principles of Econometrics.
  • note:  Lee Adkins is the author of LearnEconometrics.com
  • DeGroot and Schervish. Probability and Statistics.
  • Pearce. The MIT Dictionary of Modern Economics.