ECN3121C
Chinese University of Hong Kong
Introductory Econometrics
Liugang Sheng
Pooling Cross Sections Across Time
Example 1: Fertility
We use the data set fertil1.dta which contains data from separate cross sections of women every
two years from 1972-19
ECN 3121
Chinese University of Hong Kong
Econometrics
Liugang Sheng
Homework Assignment #1 (due Oct 4)
Written problems:
Consider the simple linear regression model without an intercept, y = 1x + u, with
the assumption E(u|x)=0. Also assume that E(x)=0
1.
Introductory Econometrics
Lecture 9 - Multiple Regression (III)
Jin Yan
The Chinese University of Hong Kong
October 3, 2013
Lecture 9
Multiple Regression
October 3, 2013
1 / 54
Notice
Time line:
October 8: Problem Set 2 due.
October 10: Finish Chapter 4.
Introductory Econometrics
Lecture 14 - Asymptotics
Jin Yan
The Chinese University of Hong Kong
October 24, 2013
Lecture 14
Asymptotics
October 24, 2013
1 / 26
Outline
Consistency
Asymptotic Distribution of the OLS Estimators
Asymptotic Distribution of the
Introductory Econometrics
Lecture 12 - Midterm Review
Jin Yan
The Chinese University of Hong Kong
October 15, 2013
Lecture 12
Midterm Review
October 15, 2013
1 / 23
Midterm Review
Midterm
Thursday 10:30-12:15, October 17, at ELB_LT2
Covers Lectures 1-12 (
Introductory Econometrics
Lecture 11 - Multiple Regression (V)
Jin Yan
The Chinese University of Hong Kong
October 10, 2013
Lecture 11
Multiple Regression
October 10, 2013
1 / 53
Notice
Midterm (Lecture time)
Date: Thursday, October 17
Location: ELB_LT2
P
Introductory Econometrics
Lecture 15 - Dummy Variables
Jin Yan
The Chinese University of Hong Kong
October 29, 2013
Lecture 15
Dummy Variables
October 29, 2013
1 / 23
Outline
Introduction to Dummy Variables
Dummy Regressors
Chow Test
Lecture 15
Dummy Vari
Econ 3121D Introductory Econometrics
Measurement Error, Instrument Variable, and
Simultaneous Equations
Chih-Sheng Hsieh
Department of Economics
The Chinese University of Hong Kong
Chih-Sheng Hsieh
(CUHK)
Econ 3121D Introductory Econometrics Measurement E
Introductory Econometrics
Lecture 13 - Asymptotics
Jin Yan
The Chinese University of Hong Kong
October 22, 2013
Lecture 13
Asymptotics
October 22, 2013
1 / 39
Announcements
Problem Set 3 is posted on our course website, due next Thursday,
October 31.
Lect
Introductory Econometrics
Lecture 16 - Dummy Variables
Jin Yan
The Chinese University of Hong Kong
October 31, 2013
Lecture 16
Dummy Variables
October 31, 2013
1 / 26
Announcement
Problem Set 3: Due today.
Lecture 16
Dummy Variables
October 31, 2013
2 / 2
Introductory Econometrics
Lecture 17 - Binary Dependent Variable
Jin Yan
The Chinese University of Hong Kong
November 5, 2013
Lecture 17
Binary Dependent Variable
November 5, 2013
1 / 22
Announcement
Problem set 4 has been posted at our course webpage.
Du
Introductory Econometrics
Lecture 18 - Heteroskedasticity
Jin Yan
The Chinese University of Hong Kong
November 7, 2013
Lecture 18
Heteroskedasticity
November 7, 2013
1 / 36
Outline
Heteroskedasticity Introduction
Testing the Presence of Heteroskedasticity
Introductory Econometrics
Lecture 19 - Endogeneity
Jin Yan
The Chinese University of Hong Kong
November 12, 2013
Lecture 19
Endogeneity
November 12, 2013
1 / 27
Outline
Endogeneity Introduction
Wrong Functional Form
Omitted Variable
Lecture 19
Endogeneity
Introductory Econometrics
Lecture 21 - Panel Data
Jin Yan
The Chinese University of Hong Kong
November 19, 2013
Lecture 21
Panel Data
November 19, 2013
1 / 30
Announcement
Problem Set 5 has been posted on our course website, due November
28.
Class Suspens
Introductory Econometrics
Lecture 22 - Time Series
Jin Yan
The Chinese University of Hong Kong
November 26, 2013
Lecture 22
Time Series
November 26, 2013
1 / 26
Announcement
Final exam
Date: Tuesday, December 3
Time: 1:30pm - 3:30pm.
Venue: ELB_202 and EL
Introductory Econometrics
Lecture 8 - Multiple Regression (II)
Jin Yan
The Chinese University of Hong Kong
September 26, 2013
Lecture 8
Multiple Regression
September 26, 2013
1 / 53
Notice
Stata tutorial: Friday afternoon, September 27.
Location: Room 916
Introductory Econometrics
Lecture 2 - Statistics Review
Jin Yan
The Chinese University of Hong Kong
September 5, 2013
Lecture 2
Statistics Review
September 5, 2013
1 / 48
Outline
Random Variables
Distribution Functions
The Expectation of a Random Variable
Problem Set 1
Introductory Econometrics
Econ 3121B, Fall 2016
Due: In class on Monday, September 19, 2016
(no late problem set accepted)
*Please answer as succinctly as possible while still fully answering the questions. You should submit your
problem set
Problem Set 3
Introductory Econometrics
Econ 3121B, Fall 2016
Due: In class on Monday, November 14, 2016
(no late problem set accepted)
*Please answer as succinctly as possible while still fully answering the questions. To receive full credit,
you must in
Problem Set 4
Introductory Econometrics
Econ 3121B, Fall 2016
Due: In class on Monday, November 28, 2016
(no late problem set accepted)
*Please answer as succinctly as possible while still fully answering the questions. To receive full credit,
you must in
Problem Set 2
Introductory Econometrics
Econ 3121B, Fall 2016
Due: In class on Monday, October 17, 2016
(no late problem set accepted)
*Please answer as succinctly as possible while still fully answering the questions. To receive full credit,
you must inc
Introductory Econometrics Midterm
Monday 9:15am - 10:45am (90minutes), October 24, 2016
Instruction
1. Please do not turn this page over until you are instructed otherwise.
2. This is a closed-book exam. No any electronic device such as iPhone, iPad, etc.
Introductory Econometrics
Lecture 7 - Multiple Regression (I)
Jin Yan
The Chinese University of Hong Kong
September 24, 2013
Lecture 7
Multiple Regression
September 24, 2013
1 / 27
Notice
Problem Set 2 is online. Due Tuesday, October 8.
Stata tutorial: Se
Introductory Econometrics
Lecture 1 - Introduction
Jin Yan
The Chinese University of Hong Kong
September 3, 2013
Lecture 1
Introduction
September 3, 2013
1 / 24
What is Econometrics?
Econometrics is based upon the development of statistical methods
for es
Introductory Econometrics
Lecture 5 - Simple Regression (III)
Jin Yan
The Chinese University of Hong Kong
September 17, 2013
Lecture 5
Simple Regression
September 17, 2013
1 / 22
Notice
Please submit Problem Set 1 to Shiyu before class.
Lecture 5
Simple R
Introductory Econometrics
Lecture 6 - Simple Regression (IV)
Jin Yan
The Chinese University of Hong Kong
September 19, 2013
Lecture 6
Simple Regression
September 19, 2013
1 / 38
Outline
Statistics Review: Evaluating Estimators
Unbiasedness of OLS
Variance
Introductory Econometrics
Lecture 3 - Simple Regression (I)
Jin Yan
The Chinese University of Hong Kong
September 10, 2013
Lecture 3
Simple Regression
September 10, 2013
1 / 38
Notice
Problem Set 1 is on our course website.
Due Tuesday, September 17 in cl
Introductory Econometrics
Lecture 4 - Simple Regression (II)
Jin Yan
The Chinese University of Hong Kong
September 12, 2013
Lecture 4
Simple Regression
September 12, 2013
1 / 56
Notice
Stata tutorial: Friday afternoon, September 27.
Location: Room 916 of
Introductory Econometrics
Lecture 20 - Instrumental Variables
Jin Yan
The Chinese University of Hong Kong
November 14, 2013
Lecture 20
Instrumental Variables
November 14, 2013
1 / 48
Announcement
Problem Set 4: Due today.
November 19 (Tuesday): Panel Data