Introduction to Econometrics EC220

This course refers to the Academic Year 2012/2013

The link to the official page of the course is available here.

The course, given by Dr Christopher Dougherty, begins with four optional review lectures on random variables, expectations, unbiasedness, efficiency, consistency. The main lectures cover covariance, variance and correlation; simple and multiple regression analysis; test statistics; problems of multicollinearity and misspecification; transformation of variables; dummy variables and binary response models; proxy variables; autocorrelation; heteroscedasticity; measurement errors and Friedman’s Permanent Income Hypothesis; simultaneous equations bias; instrumental variables; two-stage least squares; binary choice (linear probability model, logit analysis, probit analysis); censored regression model (Tobit analysis); sample selection bias (heckman two-step method); an introduction to maximum-likelihood estimation; an introduction to non stationary time series, unit root tests, cointegration, and error-correction models.

For Groups 3,4 and 5, the weekly office hour is held in room 1.01 32L (new building in Lincoln’s Inn Field) every Monday from 17.30 to 18.30.

Weekly Problem sets are due by Monday at 12 and need to be submitted at the pigeon hole in room 1.30 in 32L assigned to EC220 groups 3,4,5; problem sets not handed in by 12 will be recorded as “unsubmitted” (I may provide exceptional permission for late submission, but it needs to be requested by mail and well in advance). *Problem sets need to be clearly labelled and report on the top-right corner your full name (no nicknames), group number, submission date. *Students may exceptionally submit by email, but the problem set needs to be sent with only one document and in pdf version.

As prescribed by Dr Dougherty the grades assigned to each problem set are:

- Very Good;
- Good;
- Marginal;
- Poor;
- Deficient;
- Not Submitted;

*A problem set in which there emerges insufficient effort will be graded as “Deficient”, which is equivalent to “Unsubmitted” and hence equally exposes the student to the examination bar.**There will be a general check on assignment submission at the end of Week 7 of the Michaelmas term, and those who have failed to submit at least three of Problem Sets 2 to 5 will be deemed to be non-performing and given a provisional examination bar. There will be a further review at the end of Week 3 of the Lent term. Those with a provisional examination bar will then be released from it if they have submitted at least five of Problem Sets 6 to 11. The remainder will be subject to an examination bar.*

In order to encourage student participation among stuents in my classes I decided to award a prize to the “most interactive student” and “least interactive student”, these will be given in week 8, clearly the first prize is significantly better than the second (news: the prizes were awarded to four students, many more deserved one however).

Throughout the year additional documents, clarifications and further material will be uploaded on this page. In case of any question do not hesitate to contact me.

Class 1: the first “introductory element” can be found here.

Class 2: the second “introductory element” can be found here (in particular the video on the bottom right).

Class 3: the third element can be found here, given that there is a significant, positive and strong relation between years of study and earnings, now you understand why I chose to do a PhD.

Class 4: this time I prepared a short presentation (here) with graphs and sources in order to let you develop some intuition (graphical and statistical) on what happens when we change the unit of measure.

Class 5: does women education spill over to children? Does it promote empowerment? How? Some anecdotal facts and inspiration available here (the econometrics was mostly in your problem set).

Class 6: concerning the relation between weight, “size”… and a bit of politics (here).

Class 7: just to give a bit of excitement on these black/hispanic/male dummy variables… they add something to economics, politics, life (here).

Class 8: on education, employment and wages (here).

Christmas Present: find attached a document in which I reported some basic notes about interpreting regression output (here).

Class 9: some jokes on economics and econometrics to start the new year (here and here for reference).

Class 10: just to give you a quick graphic reference for heteroscedasticity (here).

Class 11: as we are finally doing IV estimation, you may enjoy this excellent cartoon (here).

Class 12: now a nice song to cheer up the most stressed of you… life is beautiful (here).

Class 13: to all of you, especially my Chinese students, 新年快乐 and especially 恭喜发财 !!! (here)!!!

Class 14: this time one of my favourite short poems (here).

Class 15: a song to celebrate the Italian elections (here).

Class 16: a little speech by Nobel Prize Winner Joseph Stiglitz, remind you, us and economists in general to be critical and not to accept ideologies (here).

Class 17: spring is coming and a nice sweet song will help you waking up for classes (or during the classes) (here).

Class 18: I wish you a nice (and productive) break (here).

Class 19: to close the year and this course, here there are two nice songs: the first reminds me of your problem sets (here) and the second to wish you the best for the exam and, especially, the rest (here).