KAN-COECO1054U Econometrics
September 9, 2014
Copenhagen Business School
Department of Economics
Ralf A. Wilke
2014/2015, Autumn term
Problem Set 2: OLS Estimation and Inference
1. The following model can be used to study whether campaign expenditures aec
KAN-COECO1054U Econometrics
September 16, 2014
Copenhagen Business School
Department of Economics
Ralf A. Wilke
2014/2015, Autumn term
Problem Set 3: Heteroskedasticity and Units of Measurement
1. Consider the following model to explain sleeping behaviour
OLS: Distribution
and Asymptotics
2014/2015, Semester 1
Ralf A. Wilke
Copenhagen Business School
KAN-COECO1054U - 2014
1
OLS Sampling
Distribution
Main Texts:
Wooldridge, 2009, Introductory
Econometrics, parts of chapter 4
(Inference), Appendix E3
KAN-COE
Review:
Basics of the Linear
Regression Model
2014/2015, Term 1
Ralf A. Wilke
Copenhagen Business School
KAN-COECO1054U - 2014
1
A simple model for explaining y given x is:
y = 0 + 1x + u
Some terminology:
y: Dependent Variable, Explained Variable, Respon
Endogeneity
2014/2015, Term 1
Ralf A. Wilke
Copenhagen Business School
KAN-COECO1054U - 2014
1
Main references:
Wooldridge, 2010, Chapter 5, parts of Chapter 6
Several (sub) chapters of Wooldridge, 2009, mainly Chapter 15
KAN-COECO1054U - 2014
2
Suppose
Multiple Regression
Model: Further Topics
2014/2015, Term 1
Ralf A. Wilke
Copenhagen Business School
KAN-COECO1054U - 2014
1
Heteroskedasticity
Main texts: parts of Chapter 8
of Wooldridge, Introductory
Econometrics, 2009.
KAN-COECO1054U - 2014
2
Conseque
Math/Stats Camp (MSc AEF)!
Day 3: Review of probability and statistics!
!
!
Yun Liu!
!
Department of Economics!
!
September 5, 2014 !
!
Todays Plan
Recap Day 2
!
Probability framework for statistical inference
Single random variable
Two random variabl
8/28/2013
Agenda
Getting to know you a bit
Probability and Statistics
Introduction & Some basic Concepts
Probability
Random Variables
Moira Daly
Probability Density Functions, Probability Mass Functions,
Cummulative Distribution Functions
Summarizin
Math/Stats Camp (MSc AEF)
Day 4: Point Estimation, Introduction of STATA
Yun Liu
Department of Economics
September 8, 2014
1 / 26
Todays Plan
Recap Day 3
Some (Popular) Point Estimation Methods:
Least Squares Estimation
Maximum Likelihood Estimation
Intro
Math/Stats Camp (MSc AEF)
Day 2: Matrix Algebra II, Optimization
Yun Liu
Department of Economics
September 3, 2014
1 / 34
Todays journey
Recap Day 1
Matrix algebra II
Inverse
Linear dependence and independence
Quadratic form and denite matrices
Derivative
KAN-COECO1054U Econometrics
September 5, 2014
Copenhagen Business School
Department of Economics
Ralf A. Wilke
2014/2015, Autumn term
Problem Set 0: Revision of Bivariate Regression and Matrix Algebra
1. Let sav be savings and inc income. Consider the sav
Math/Stats Camp (MSc AEF)
Day 1: Intro, Calculus, Matrix Algebra I
Yun Liu
Department of Economics
September 1, 2014
1 / 49
Prologue
Course Logistics
Coee break: 1 hr teaching + 15 mins breaks, OK?
No exercise and exam after the math/stats camp, but mater
F
Matrix
Calculus
F1
Appendix F: MATRIX CALCULUS
TABLE OF CONTENTS
Page
F.1.
F.2.
F.3.
F.4.
F.5.
Introduction
The Derivatives of Vector Functions
F.2.1.
Derivative of Vector with Respect to Vector
F.2.2.
Derivative of a Scalar with Respect to Vector
F.2.3