Master PSME

Applied Econometrics

Office hours:

H. Huber (office # 415): Monday 1:30pm-2:30pm and Thursday 12pm-1pm

Software used for tutorials: Stata
Stata 10 is used in the computer lab and licenses for Stata 11 are available for students' personal computers (one per student)
Useful link for Stata: UCLA Academic Technology Services http://www.ats.ucla.edu/ 

Student evaluation: Personal Project (2/3) and Written Exam (1/3)
Full description: here

References:

- For general references for Econometrics, see lecture 1
- Some basic references for statistics:
            "Introductory statistics for business and economics", by T.H. and R.J. Wonnacott
            "The basic practice of statistics", by D. Moore (available at the MSE library)
- For algebra: all that is needed for this course can be found in the appendix of W. Greene's "Econometric Analysis",
available at the MSE library
 

Course material:

 

Lectures

Lecture 1: Introduction

Lecture 2: The simple linear model

Lecture 3: The multiple linear model

Lecture 4: Dummies etc

Lecture 5: The T-test

Lecture 6: Usual tests

Lecture 7: Heteroskedasticity and Autocorrelation

Lecture 8: Endogeneity

Lecture 9: Endogeneity cont'd

Lecture 10: Simultaneous equations

For lectures 11 & 12, this material could help
(will be used in class if time permits):
dataset, description, program

Lecture 11: Maximum likelihood

Lecture 12: Binary choice cont'd

The final chapter (sample selection model) is there
only for information and is not required for the final exam.

The Student table: here
The Fisher table: here
The Durbin-Watson table: here

Tutorials

Tutorial 1: The simple linear model
Slides, dataset, program, log

Tutorial 2: Dummy variables
Slides, dataset, program, log

Tutorial 3: Dummies, Anscombe & Loops
Slides, datasets 1 & 2, program, log

Tutorial 4: Simulations
Slides, program
Dataset here & description of dataset there

Tutorial 5: Wage equation, various tests, Oaxaca
Same slides and data as Tutorial 4, interim program here

Tutorial 6: Oaxaca, log transformation
More on Oaxaca here, final program here

Tutorial 7: Model choice
Slides, dataset, description of dataset, program

Tutorial 8: Outliers and quantile regression
Slides, datasets 1 & 2, program 1 & 2
Description of dataset 1 here, more on qreg here

Tutorial 9: Heteroskedasticity & autocorrelation
Slides, datasets 1 & 2, program
Description of dataset 1 & 2

Tutorial 10: IV & simultaneous equations
Slides, datasets 1 & 2, program
Description of dataset 1

Tutorial 11: Time series
Slides, dataset, program 1 & 2

 

 

 

For your information: all the slides for this year's lectures (updated Dec. 7, 2009), subject to changes

 

 

 

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