T ime Series
Course Summary
Quantitative Economics and Econometrics
Sorawoot Srisuma
Lecture 10
T ime Series
Course Summary
Relaxing (Losing) i.i.d. assumptions
Under independence and identical distribution we can readily apply LLN and CLT With a time ser
Intro
Autoregressions
Quantitative Economics and Econometrics
Sorawoot Srisuma
Lecture 9
Intro
Autoregressions
Causal Eects and Forecasts
Back to the test score and student:teacher (STR) example TestScorei = 0 + 1 STRi + ui
Intro
Autoregressions
Causal Ee
Assessing Studies Based on Multiple Regression
Lets step back and take a broader look at regression: Is there a systematic way to assess (critique) regression studies?
1
Is there a systematic way to assess regression studies?
Multiple regression has some
Nonlinear Regression Functions
Everything so far has been linear in the Xs But CEF can be nonlinear The multiple regression framework can be extended to handle regression functions that are nonlinear in one or more X. Outline 1. Nonlinear regression funct
Lecture 5
Stock and Watson, Chapter 7 Multiple regression: Inference and Model specification
1
Hypothesis Tests and Confidence Intervals for a Single Coefficient in Multiple Regression
1
E ( 1 ) is approximately distributed N(0,1) (CLT). var( )
1
Thus hyp
Lecture 5
Stock and Watson, Chapter 6 Multiple regression: using omitted variable bias as our motivation, we will now consider data when we record the values of more than 1 regressor for each unit in the sample
1
Omitted variable bias
The bias in the OLS
Lecture Week 4
Today we will do develop inference for a single linear regression slope estimate Last week reference: SW Chapter 4
This week: SW Chapter 5
1
Regression with a Single Regressor: Hypothesis Tests and Confidence Intervals
Overview Now that we
Linear Regression with One Regressor
Linear regression allows us to estimate, and make inferences about, population slope coefficients. Ultimately our aim is to estimate the causal effect on Y of a unit change in X
1
The problems of statistical inference
Intro
Review of Distribution Theory
Inference
Intro to Least Square
Relevant Reading
Quantitative Economics and Econometrics
Sorawoot Srisuma
Lecture 2
Intro
Review of Distribution Theory
Inference
Intro to Least Square
Relevant Reading
Plan of Today Lect
M otivation
Probability and Statistics
Readings and Homework
Quantitative Economics and Econometrics
Sorawoot Srisuma
Lecture 1
M otivation
Probability and Statistics
Readings and Homework
Goal of the Revision
1. Intro to econometrics 2. Why we need stati