Units of Measurement and Functional Form
Oklahoma State University
Spring 2016
1 / 19
Units of Measurement
It is very important to know how y and x are measured in order
to interpret regression functions. Consider an equation estimated
from CEOSAL1.DTA,
PANEL DATA METHODS
Oklahoma State University
April 10, 2016
(OSU)
PANEL DATA METHODS
April 10, 2016
1 / 115
PANEL DATA METHODS
What is a Panel Data Set?
Formats for Storing Panel Data
Analysis with Two-Periods of Panel Data
Differencing with More than Two
Regression With Binary Dependent Variable
March 20, 2016
1 / 32
Binary Response Models
I
Linear Probability Model
I
Logit and Probit
I
Reporting the Results
2 / 32
I
I
We have studied many ways that binary (dummy) explanatory
variables can appear in regre
Multiple Regression Analysis with Qualitative
Information: Dummy Variable
Oklahoma State University
Spring 2016
1 / 29
Outline
1.
2.
3.
4.
Describing Qualitative Information
A Single Dummy Variable
Dummy Variables for Multiple Categories
Interactions Invo
Further issues in Multiple Regression II
Oklahoma State University
March 20, 2016
1 / 50
Internal and External Validity
I
Is there a systematic way to assess (critique) regression
studies? We know the strengths of multiple regression but
what are the pitf
Further issues: Multiple Regression Analysis
Oklahoma State University
Spring 2016
1 / 23
I
Consequences of Heteroskedasticity for OLS
I
Heteroskedasticity-Robust Inference after OLS Estimation
I
Outliers
I
Multicollinearity
2 / 23
Consequences of Heteros
Introduction
Outline
Why Study Econometrics
What is Econometrics About
The Econometric Model
How Are Data Generated
Economic Data Types
The Research Process
Writing An Empirical Research Paper
Sources of Economic Data
Why Study Econometrics
Econometrics
OLS Estimator
January 12, 2016
OLS Estimator
January 12, 2016
1 / 12
Classical Linear Regression Model
Assuming a linear relationship (or using a linear approximation), specify
the relationship between y and as
yi = 0 + 1 xi + ui
where y is the dependent
The Linear Regression Model
Ordinary Least Squares (OLS)
Linear regression lets us estimate the slope of the population regression
line.
The slope of the population regression line is the expected effect on y of a unit change in x.
Ultimately our aim is
Multiple Regression Analysis: Statistical Inference
Oklahoma State University
Spring 2016
1 / 71
Outline
1.
2.
3.
4.
5.
Sampling Distributions of the OLS Estimators
Testing Hypotheses About a Single Population Parameter
Confidence Intervals
Testing Single
Review of Probability and
Statistics
SW Chapters 2 and 3
Class size and educational output
Policy question: What is the effect on test scores (or some
other outcome measure) of reducing class size by one student
per class? by 8 students/class?
We must u
MULTIPLE REGRESSION ANALYSIS WITH
TIME SERIES DATA
Oklahoma State University
March 27, 2016
1 / 73
Outline
I
Differences Between Cross-Sectional and Time Series Data
I
Kinds of Time Series Models
I
Comments on OLS Mechanics with TS Data
I
Finite-Sample An