ECO 4000, Statistical Analysis for Economics and Finance Fall 2010
Lecture 1 Prof: Seyhan Arkonac, PhD
What is Econometrics?
Why do I need to take this course? Is this a hard course? Why am I here? Will I learn any thing useful here? Will I have to study
ECO 4000, Statistical Analysis for Economics and Finance Fall 2010
Lecture 3 Prof: Seyhan Arkonac, PhD
Last Lecture we talked about expected value, mean and variance. Lets remember them:
Expected Value, Mean and Variance
Let X be a random variable (say
REVIEW FOR FINAL EXAM (ECO 4000)
by
Seyhan Erden Arkonac, PhD
1
The Population Linear Regression Model general notation
Yi = 0 + 1Xi + ui, i = 1, n X is the independent variable or regressor Y is the dependent variable 0 = intercept 1 = slope ui = the reg
Department of Economics and Finance ECO 4000 (MW6) Statistical Analysis for Economics and Finance
Spring 2011
Professor: Seyhan Erden Arkonac, PhD seyhan.arkonac@nyu.edu Office hours: Immediately after each class I answer short questions in class room, if
Practice Midterm Exam for ECO 4000
MULTIPLE CHOICE. Choose the one alternative that best completes the statement or answers the question. 1) Analyzing the behavior of unemployment rates across U.S. states in March of 2002 is an example of using A) cross-
Answers to exercise #3:
1. a. True. The us are unobservable random variables (their values are not in
the sample of X and Y). Since we dont know the values of the us, we cant
compute the value of the simple average, u . Note that it doesnt mean
that simpl
Exercise #3
Convention: if a question is about the linear model, then the notation X with or
without subscript, stands for a fixed number. If the question is NOT about the
linear model, i.e., the term linear model is not in the question, then X stands for
Homework #3 Solutions
Econ B2000, MA Econometrics
Kevin R Foster, CCNY
Fall 2013
1. What are the names of the people in your study group?
2. Please complete the following exercises from Chapter 3 of the Stock and Watson
textbook: 3.10, 3.12, 3.16, and 3.1
Refresher on Basics for MA Students
Econ B2000
Kevin R Foster, CCNY
Fall 2016
Topics include:
1. Basics about CCNY, MA program, and keeping current here
2. Plagiarism and rules for proper citations
3. Internet searches and databases (EconLit, JStor, Lexis
My expectations of you (the student):
study regularly: keep up with the material (online and textbook) and
give a good faith effort to every homework problem
learn the data analysis software, R
form a study group - your fellow students are often the best
Homework #2 Possible Solutions
Econ B2000, MA Econometrics
Kevin R Foster, CCNY
1. Experiment with the file, samples_for_polls.xls, to create at least 100 polls, each with 30 people in it.
Show a histogram of the percent, in each poll, who support the can
Homework #1
Due Friday Sept 2, 2011
Econ B2000, MA Econometrics
Kevin R Foster, CCNY
Fall 2011
For Computer Exercises, your study group should hand in a single assignment. When submitting assignments,
please include your name and the assignment number as
Practice for Exam 2
Econ B2000, MA Econometrics
Kevin R Foster, CCNY
Fall 2011
Not all of these questions are strictly relevant; some might require a bit of knowledge that we haven't covered this
year, but they're a generally good guide.
1.
2.
3.
You migh
Possible Solutions for Exam 1
K Foster, Statistics and Introduction to Econometrics, Eco B2000, CCNY, Fall 2011
1. (15 points) You might find it useful to sketch the distributions.
a. For a Standard Normal Distribution, what is the area closer to the mean
ECO 4000: Statistical Analysis for Economics and Finance
Course introduction and organization
In God we trust,
All others bring data.
Deming
ECO 4000: Stat. Analysis for Econ & Finance
Textbook and MyEconLab
The textbook for this course is
S
Prof. Piskula
Second Manual Regression Worksheet
First, a reminder for those using an Apple-operating system version of excel. It is worth
searching via the excel search function for Analysis Toolpak (note the spelling). You may be
directed how to add in
Eco 4000, Prof. Piskula
Quiz 1 Practice Solutions
Actual Quiz 9/9/16
Name:_
1. List the 4 measurement scales discussed in class (not in the book) and say a few words about
each.
Nominal numbers as names
Ordinal numbers give order
Interval differences betw
Eco 4000, Prof. Piskula
Quiz 2 Practice
Actual Quiz 9/30/16
Name:_
1. Following the form in the Stock and Watson textbook (Appendix 2.1, derivation of equation
2.31), write the expression for var(aX+bY) that makes use of the definition of variance and the
Eco 4000, Prof. Piskula
Quiz 2 Practice
Actual Quiz 9/30/16
Name:_
1. Following the form in the Stock and Watson textbook (Appendix 2.1, derivation of equation
2.31), write the expression for var(aX+bY) that makes use of the definition of variance and the
2. The t-test:
Two Preliminaries:
1) the idea/concept of a critical value in hypothesis testing:
For a two-sided alternative hypothesis, the critical value is the number, c, that
solves (or satisfies) the following equation:
P( test statistic c = /2 ; whe
LAW OF LARGE NUMBER (LLN) AND WHY THE LEAST
SQUARES ESTIMATOR GIVES ACCURATE ESTIMATES
AS THE SAMPLE SIZE GOES TO INFINITY (OR IN
PRACTICE, WHEN THE SAMPLE SIZE IS LARGE):
CONSIDER N RANDOM VARIABLES WITH IDENTICAL
EXPECTATION, k, AND SAME VARIANCE, 2 , A
DEFINITION OF COVARIANCE BETWEEN TWO
RANDOM VARIABLES:
COV (X1 , X2 ) E ( (X1 - E(X1)*(X2 - E(X2) )
TO UNDERSTAND WHY THE ABOVE IS A
MEASUREMENT OF CORRELATION, THINK ABOUT
THE FOLLOWING ARGUMENT:
IF THE TWO RANDOM VARIABLES MOVE IN THE
SAME DIRECTION, IT
EXAMPLE: SAME DISTRIBTION AS THE PREVIOUS
EXAMPLE (THE ONE IN THE FILE 4000.N.5)
FROM THE DISTRIBUTION OF X, WE CAN FIGURE OUT
THE DISTRIBUTION OF ( X E(X) AND ( X E(X)2.
1 0.25
0.5
0 0.25
0.25
- 1 0.25
0.25
(X E(X) = X 0.25 =
(X 0.75)2 =
0.752
0.5
0.252
Lecture Notes 5
Econ B2000, MA Econometrics
Kevin R Foster, CCNY
Fall 2011
Learning Outcomes (from CFA exam Study Session 3, Quantitative Methods)
Students will be able to:
construct and interpret a confidence interval for a normally distributed random va
Lecture Notes 6
Econ B2000, MA Econometrics
Kevin R Foster, CCNY
Fall 2011
Learning Outcomes (from CFA exam Study Session 3, Quantitative Methods)
Students will be able to:
use a statistical analysis computer program to run regression
differentiate betwee
Lecture Notes 7
Econ B2000, MA Econometrics
Kevin R Foster, CCNY
Fall 2011
To Recap for univariate OLS:
A zero slope for the line is saying that there is no relationship.
A line has a simple equation, that Y = 0 + 1X
How can we "best" find a value of ?
Refresher on Research Methods
Kevin R Foster, CCNY
Fall 2011
Topics include:
1. Basics about CCNY, MA program, and keeping current here
2. Plagiarism and rules for proper citations
3. Internet searches and databases (EconLit, JStor, Lexis/Nexus)
4. Source
Lecture Notes 2
Econ B2000, MA Econometrics
Kevin R Foster, CCNY
Fall 2011
Two Variables
In a case where we have two variables, X and Y, we want to know how or if they are related, so
we use covariance and correlation.
Suppose we have a simple case where