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 (ch4.do)
output log file (ch4.log)
data file (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

 

• More Exercise Questions (Review)

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

 

• Double log example: Crime analysis
   

• Interaction terms example:  Financial markets

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

• Example: Oh, no I got the wrong sign.

S&W, Ch. 7

Midterm 1

Part II.  FURTHER TOPICS IN REGRESSION ANALYSIS.

5. Regression with Panel Data

• Lecture Note 5 (Chapter 8) (Word / PDF / PDF4 )
   

• Case Study

  Example: Crime analysis (FE/RE/Hausman)
  
   

• Empirical Exercises (Homework I and II)
   

• panel data hw / data

• panel data hw2 / crime4 stata data / excel

S&W, Ch. 8

6. Regression with a Binary Dependent Variable

• Lecture Note 6 (Chapter 9) (Word / PDF / PDF4 )
   

• Example (job 1 or 0)

  data: choice_binary.dta  choice_binary.xls

  do file: choice_binary.do

  output: choice_binary.log

   

• Case Study: Extra-marital Affairs

  Data: fair.xls,  fair.dta
   

• Empirical Exercise on Choice Model (homework word file)

Data: aacsb.txt  or aacsb.xls

S&W, Ch. 9

 Midterm 2

7. Instrumental Variables Regression

• Lecture Note 7 (Chapter 10) (Word / PDF4 )
   

• Endogeneity test and 2SLS: Mroz data

  • Stata instruction file

  • Data (stata file)
     

• Exercise Questions on IV estimation
   

• Empirical Exercise: Return to school

  • Data (excel file)

  • Stata Instruction: testing for endogeneity and 2SLS
     

S&W, Ch. 10

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

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

• Other References

  • Selection Models

  • Tobit Models

  • PSM
     

  • Heckman Example: Data file
    
     

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