Econometrics

Topic 0: Econometrics in Action

· Empirical Methods, Data and Causality
- Empirical Evidence and Decision-Making
- A Tale of Two Revolutions
- The Importance of Counterfactuals
- Time Heals all Wounds? Sometimes
- Understanding the Data
- Causality Vs Correlation


Topic 1: OLS Review

· Linear Regression with Multiple Regressors
- The Multiple Regression Model
- The OLS Estimator in Multiple Regression
- Measure of Fit in Multiple Regression
- The Least Squares Assumptions in Multiple Regression
- The Distribution of the OLS Estimators in Multiple Regression
- Multicollinearity

· Hypothesis Tests and Confidence Intervals in Multiple Regression (review)
- Hypothesis Tests and Confidence Intervals for a Single Coefficient
- Tests of Joint Hypotheses
- Testing Single Restrictions Involving Multiple Coefficients
- Model Specification for Multiple Regression
- Analysis of the Test Score Data Set


Topic 2: Application: Class Size and Test Score

· Assessing Studies Based on Multiple Regression
- Internal and External Validity
- Threats to Internal Validity of Multiple Regression Analysis
- Internal and External Validity when the Regression is Used for Forecasting
- Example: Test Scores and Class Size

Topic 3: Non-Linear Regression Functions

· Nonlinear Regression Functions
- A General Strategy for Modeling Nonlinear Regression Functions
- Nonlinear Functions of a Single Independent Variable
- Interactions Between Independent Variables
- Nonlinear Effects on Test Scores of Student-Teacher Ratio


Topic 4: Binary Outcomes

· Regression with a Binary Dependent Variable
- Binary Dependent Variables and the Linear Probability Model
- Probit and Logit Regression
- Estimation and Inference in the Logit and Probit Models
- Some applications


Topic 5: OLS and Endogeneity

· OLS and Endoegeneity
- Endogeneity
- Omitted Variable Bias
- Other Sources of Endogeneity
- OLS in Matrix Form


Topic 6: Panel data

· Regression with panel data
- Panel data with two time periods
- Fixed effects regression
- Regression with time fixed effects
- The fixed effects regression assumptions and standard errors for fixed effects regression
- Empirical example: drunk driving laws and traffic deaths


Topic 7: IV variables

· Instrumental Variable Regression
- The IV Estimator with a Single Regressor and a Single Instrument
- The General IV Regression Model
- Checking Instrument Validity
- Where Do Valid Instruments Come From?
- Appendix 2: Derivation of the Formula for the TSLS Estimator
- Appendix 3: Large-Sample Distribution of the TSLS Estimator

Topic 8: Randomized Experiments (optional)

· Experiments and quasi-experiments
- Potential outcomes, causal effects and idealized experiments
- Threats to validity experiments
- Experimental estimates of the effect of class size reductions
- Quasi-experiments
- Potential problems with quasi-experiments