EC 471

 

Econometrics

Professor Junsoo Lee

Syllabus 

Resource Pages (updated frequently)

Note: Due to unknown technical issues, I will not be able to update the links to new files in this web page.  I will send the new syllabus file and other files by email.  We will share other resource files using emails or other methods.  We will discuss about details in class.  If you have other questions, please email me at jlee@cba.ua.edu.  

Links to Related Web Pages

Lee's Stata Note

Statistical Tables PPT

Math Review

 

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DO NOT USE

OLD Lecture Notes and Supporting Materials

Syllabus (Word / PDF)

Stock and Watson Site (Student Resources)

 

Topics

Readings

Part I.  FUNDAMENTALS OF REGRESSION ANALYSIS.

 

1. Linear Regression with One Regressor

  • Lecture Note 1 (Chapter 4) (Word / PDF / PDF4 )
     

  • Stata Tutorial:

STATA Tutorial pdf file (S&W) 
Supporting files (zipped) for Tutorial
 

  • Case Study

    • CAPM

    • K-8 Districts in California
       

  • Replication of Ch 4 results:

stata do file (http://www.cba.ua.edu/assets/docs/jlee/ch4.do)
output log file (http://www.cba.ua.edu/assets/docs/jlee/ch4.log)
data file (http://www.cba.ua.edu/assets/docs/jlee/caschool.dta)
excel (caschool.xls)
description of the data

  • In class Empirical Exercise:

Empirical Exercise 1
do file (ch4_ee.do)
dta file (cps98.dta)
excel (cps98.xls)
description of the data
Answer
 

  • Additional Empirical Exercise (Homework):

Empirical Exercise 2 (assignment)
dta file (collegedistance.dta)
excel (collegedistance.xls)
description of the data
 

Statistical Tables PPT

 

 

S&W, Ch. 4

 

2. Linear Regression with Multiple Regressors

  • Lecture Note 2 (Chapter 5) (Word / PDF / PDF4 )
     

  • Case Study

    • Wage Discrimination
       

  • Replication of Ch 5 results:

stata do file (ch5.do) 
output log file (ch5.log)
data file (caschool.dta)
excel (caschool.xls)
description of the data

  • In class Empirical Exercise:

Empirical Exercise 1
do file (ch5_ee.do)
dta file (cps98.dta)
excel (cps98.xls)
description of the data
Answer
 

  • Additional Empirical Exercise (Homework):

Empirical Exercise 2 (assignment)
dta file (collegedistance.dta)
excel (collegedistance.xls)
description of the data
 

Empirical Exercise Series 1

Data file: crime1.xls

S&W, Ch. 5

 

3. Nonlinear Regression Functions.

  • Lecture Note 3 (Chapter 6) (Word / PDF / PDF4 )
     

  • Case Study

    • Non-linearity in Salary
       

  • Replication of Ch 6 results:

stata do file (ch6.do) 
output log file (ch6.log)
data file (caschool.dta)
excel (caschool.xls)
 

  • In class Empirical Exercise:

Empirical Exercise 1
do file (ch6_ee.do)
dta file (cps98.dta)
excel (cps98.xls)
description of the data
Answer
 

  • Additional Empirical Exercise (Homework):

Empirical Exercise 2 (assignment)
dta file (collegedistance.dta)
excel (collegedistance.xls)
description of the data

 

 

S&W, Ch. 6

 

4. Assessing Studies Based on Multiple Regression

  • Lecture Note 4 (Chapter 7) (Word / PDF / PDF4 )
     

  • Case Study

    • Massachusetts vs. California
       

  • Replication of Ch 7 results:

stata do file (ch7.do) 
output log file (ch7.log)
data file (caschool.dta)
excel (caschool.xls)

data file (mcas.dta)
excel (mcas.xls)
data description (mcas.doc)
 

  • In class Empirical Exercise:

Empirical Exercise 1
do file (ch7_ee.do)
dta file (cps92_98.dta)
excel (cps92_98.xls)
description of the data
Answer
 

  • Additional Empirical Exercise (Homework):

Empirical Exercise 2 (assignment)
dta file (collegedistancewest.dta)
excel (collegedistancewest.xls)
description

S&W, Ch. 7

Midterm 1

Part II.  FURTHER TOPICS IN REGRESSION ANALYSIS.

 

5. Regression with Panel Data

 

S&W, Ch. 8

 

6. Regression with a Binary Dependent Variable

Data: aacsb.txt  or aacsb.xls

S&W, Ch. 9

 Midterm 2

 

7. Instrumental Variables Regression

S&W, Ch. 10

 

 

8. Treatment Effects Models, Selection Bias Models, and Tobit Models

 

S&W, Ch. 11

reference

 

9. System of Equations

Lecture Note 8 (Chapter 11) (Handwritten: distributed in class)

reference

Final Exam (May 3, Monday, 7 � 9:30 PM)

 

 

Part III. REGRESSION ANALYSIS OF ECONOMIC TIME SERIES DATA (Skip: Will be discussed in EC 413, Fall 2004)

 

10. Introduction to Time Series Regression and Forecasting*

S&W, Ch. 12

 

11. Estimation of Dynamic Causal Effects*

S&W, Ch. 13

 

12. Additional Topics in Time Series Regression*

S&W, Ch. 14