Econometrics Messages

Time Series

(posted: 16 Dec 2025)

This week (16 and 18 Dec), we'll discuss time-series. To prepare, read Studenmund chaps. 9, 12 and 15, read Kennedy chaps. 10, 19 and 20 and review my notebook on non-stationary residuals.

Project Proposals

(posted: 09 Dec 2025)

Using one of the datasets for course project please submit a project proposal to me by Tue 16 Dec, so that I can provide suggestions and advice.

Probability Models

(posted: 07 Dec 2025)

This week (09 and 11 Dec), we'll discuss probability models. To prepare, please review my notebook on the logit model and please read Studenmund chap. 13 and Kennedy chaps. 16 and 17.

Learning to Walk Straight

(posted: 07 Dec 2025)

When writing, it's important to write correctly. And it's important to present your (correct) writing well. The latter is why American college students (regardless of major) study literature, foreign languages, art and music. Those courses teach you to find more than one way to express a thought and to find the best presentation of that thought.

Because this is a course in Econometrics, I focused on whether you answered correctly when reading your exams. Perhaps I should also have considered how well you presented your answer.

In life, you will need to know how "walk straight," so I must teach you how to "walk straight." With that in mind, please watch this short video about why crabs walk sideways. And then please watch this poem about teaching crabs to walk straight.

When watching the poem video, notice how the translator preserved the rhythm, meter and rhyme of the original poem. To preserve those elements, the translator needed to find many different ways to express the same thought. Then he selected the best presentation of that thought.

Computer technology augments your writing skills. If you write well with pen and paper, then you will also write well with a computer. If you do not write well with pen and paper, then the computer will not have any writing skills to augment.

I want you to learn how to write well with pen and paper, so that you learn to find many different ways to express a thought and so that you learn how to present your thoughts well.

Heteroskedasticity

(posted: 20 Nov 2025)

On Thu 20 Nov, we'll continue our discussion of heteroskedasticity focusing the discussion on the case of heteroskedasticity in the logit model. To prepare, please read my notes, Studenmund chap. 10 and Kennedy chap. 8.

Midterm Exam

(posted: 20 Nov 2025)

On Tue 25 Nov, we'll hold a short midterm exam. Please prepare written answers to the questions below. Then I'll test you on your knowledge during our session on Tue 25 Nov.

  1. What is Ordinary Least Squares? What is Maximum Likelihood Estimation?
  2. What are the Gauss-Markov assumptions?
  3. Why are the OLS estimates of regression coefficients equal to the MLE estimates?
  4. Why doesn’t OLS provide an estimate of the standard error?
  5. What is the standard error of regression? What is the standard error of a regression coefficient?
  6. Why do the MLE first-order conditions provide an estimate of the standard error of the regression?
  7. Why do the MLE second-order conditions provide estimates of the standard error of the regression coefficents?
  8. Why is the standard error of a parameter estimate smaller when the log-likelihood surface comes to a sharp peak along its dimension?

Panel Data

(posted: 09 Nov 2025)

This week (11 and 13 Nov), we'll discuss panel data. To prepare, please read Studenmund chap. 16 and Kennedy chap. 18.

Tour of the New York Fed

(posted: 27 Oct 2025)

Dear Students,

An opportunity that may interest you:  Prof. James Kahn has arranged a tour of the New York Fed on Wednesday, December 3, at 1:30pm.

He arranged the tour for his Money and Banking classes, but all are welcome. The tour would be especially interesting to students of economics ... and to Bruce Willis fans (because the tour includes the legendary gold vault featured in "Die Hard with a Vengeance").

The tour is about an hour. So you would have to leave the Wilf Campus prior to 12:30pm and you probably return at around 3:30pm.

If you're interested, please either reply to me or indicate your interest at the Canvas Quiz, which I created for this purpose. I will then pass your information to Prof. Kahn and I hope you'll have fun.

Sincerely,
- EMW

Hypothesis Testing and Gauss-Markov

(posted: 27 Oct 2025)

This week (28 and 30 Oct) we'll finish our discussion of the problem set and we'll discuss hypothesis testing. To prepare, please review my answers to #3 and please read Studenmund chaps. 4 and 5 and Kennedy chap. 4.

Then, next week (04 and 06 Nov), we'll discuss the Gauss-Markov assumptions and violations of those assumptions. To prepare, please read Kennedy chaps. 5, 6 and 7.

Maximum Likelihood Estimation

(posted: 21 Oct 2025)

When we meet this afternoon, we'll resume our discussion of Maximum Likelihood Estimation. To prepare, please read Kennedy, chaps. 1, 2 and 3 and please study problem #2 of the problem set. To assist you, I have provided my answers to #2.

Zoom Again and MLE

(posted: 16 Oct 2025)

I hope you're enjoying the holidays. We will meet via Zoom on Thu 16 Oct to resume our discussion of Maximum Likelihood Estimation. To prepare, please read Kennedy, chaps. 1, 2 and 3 and please study problem #2 of the problem set. To assist you, I have provided my answers to #2.

Below are the meeting details:

Zoom and MLE

(posted: 29 Sep 2025)

I hope you're enjoying the holidays. We will meet via Zoom on Tue 30 Sep and on Thu 16 Oct to discuss Maximum Likelihood Estimation. To prepare, please read Kennedy, chaps. 1, 2 and 3.

Below are the meeting details for our session on Tue 30 Sep:

Linear Regression

(posted: 12 Sep 2025)

This message outlines the lesson plans for our sessions on Tue 16 Sep and Thu 18 Sep.

This week we will finish our discussion of ordinary least squares. To prepare, please read Studenmund, chaps. 1, 2 and 3, please read my notes on regression and please study the problem set. To assist you, I have provided my answers to #4, which we discussed in class yesterday, and I have provided my answers to #1, which we'll discuss next week.

Background and OLS

(posted: 31 Aug 2025)

This message outlines the lesson plans for our sessions on Tue 02 Sep and Thu 04 Sep as well as for our sessions on Tue 09 Sep and Thu 11 Sep.

After finishing our introductory discussions of the Octopus Test and the effect of the minimum wage, we will review some background on statistics and probability. And then we will discuss ordinary least squares.

To prepare, please read Studenmund, chaps. 1, 2 and 3. And please begin studying the problem set. We'll discuss problem #4 first, then return to #1. To assist you, I have provided my answers to #1.

Finally, for a practical example, we'll examine the effect that a change in law has on labor market outcomes. For that discussion, please read my Analysis of the "Biagi Law". To explain my choice, I wrote a page about Teaching with the "Biagi Law" Data.

Welcome to Econometrics

(updated: 21 Aug 2025)

Welcome to Econometrics. This website helps me organize the course. I hope you find it helpful.

I have posted a copy of the syllabus. Please review it and the materials listed on the metrics page. And in case you ever need them, I keep old messages on the message board page. I hope this way of organizing the course helps.

textbooks

The textbooks that we will use are A.H. Studenmund's Using Econometrics: A Practical Guide and Peter Kennedy's A Guide to Econometrics.

To get the best deal on the Studenmund textbook, compare prices at Amazon and Alibris. And go ahead and buy a used copy. Then use your savings to buy a used copy of Kennedy's Guide. To get the best deal, compare prices at Amazon and Alibris.

data and software

To learn econometrics, you must do econometrics, so this course provides a few datasets and some null hypotheses to help you learn how to conduct an analysis of the data.

To conduct an econometric analysis, we'll use Gretl. And when we study econometric theory, we'll use wxMaxima. Please install both.

The security features of macOS quarantine wxMaxima, preventing its installation. To lift the quarantine:

xattr -d com.apple.quarantine $HOME/Downloads/Maxima-5.43.0-VTK-macOS.dmg

For more details, see the wxMaxima installation instructions by Univ. of New Haven.

let's get started

I'd like to begin the semester with a pair of introductory discussions that will help you appreciate the theory that we'll discuss this semester.

In the first discussion, I'd like to compare Statistics and Machine Learning. The specific topic will be the "octopus test" that Bender and Koller developed in their 2020 paper, "Climbing towards NLU." To help you understand it, I have prepared some notes on Bender and Koller's paper. And for fun, be sure to read Appendix A of the paper. It's hilarious.

In the second discussion, I'd like to focus on a policy issue that we'll discuss later in the semester. The specific topic will be how the minimum wage affects employment. For that discussion, please study my monopsonist and minimum wage problem and please read my analysis of minimum wage, employment and annual pay.

I hope you'll enjoy the discussions. I'm looking forward to working with you this semester.

Sincerely,
- Eryk Wdowiak

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