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ECO 603Applied Econometrics I

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15 lectures · Three hours per class

Follow the core lessons for class and start with the recommended practice. The appendices offer further examples and optional derivations. Begin the optional linear algebra sequence.

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Economic questions, data and causal reasoning

Turn an economic question into a comparison that the data might support.23 core slides · 6 appendix slides

Simple regression: estimation, units and fit

Fit a line and report what a realistic change in its predictor would imply.14 core slides · 3 appendix slides

Multiple regression: estimation and omitted variables

Explain why an estimate changes when the controls change.23 core slides · 17 appendix slides

Multiple regression: OLS properties and partialling out

Show which variation identifies the fitted slope and why its precision can change.25 core slides · 12 appendix slides

Multiple regression: statistical inference

Report a meaningful effect size with an interval and a justified test.18 core slides · 12 appendix slides

OLS asymptotics

Decide whether collecting more data would solve the problem in an estimate.13 core slides · 6 appendix slides

Functional form, indicators and prediction

Choose a specification for a realistic comparison and check whether it predicts well.45 core slides · 24 appendix slides

Heteroskedasticity and imperfect data

Match a variance correction, a different estimator or a data audit to the problem.19 core slides · 18 appendix slides

Time series: basic regression and distributed lags

Specify the timing of a regression and recover a response over several dates.21 core slides · 10 appendix slides

Time series: functional form, indexes and calendar patterns

Choose units, trends and calendar controls for a dated policy comparison.15 core slides · 5 appendix slides

Time series: stationarity, persistence and dynamic completeness

Use persistence and stationarity to decide what a fitted time-series relationship describes.17 core slides · 4 appendix slides

Time series: serial correlation and diagnostics

Distinguish residual dependence from a missing part of the mean equation.15 core slides · 4 appendix slides

Time series: corrections, heteroskedasticity and responses

Choose a time-series uncertainty method and estimate a response at a named horizon.24 core slides · 21 appendix slides

Panel methods, DiD and instrumental variables

Choose between a within-unit, before-and-after group, or instrumental comparison.52 core slides · 28 appendix slides

Binary response: logit, probit and interpretation

Estimate a binary-outcome model and report effects on the probability scale.19 core slides · 10 appendix slides