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 8 - Asymptotics and Dummy Variables
Jin Yan
The Chinese University of Hong Kong
November 7, 2016
Lecture 8
Asymptotics and Dummies
November 7, 2016
1 / 84
Outline
Why arent Small Sample Properties Enough
Expectation and t
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 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
Introductory Econometrics
Lecture 10 - Multiple Regression (IV)
Jin Yan
The Chinese University of Hong Kong
October 8, 2013
Lecture 10
Multiple Regression
October 8, 2013
1 / 37
Notice
Problem Set 2: Due Today.
Lecture 10
Multiple Regression
October 8, 20
Introductory Econometrics
Lecture 23 - Final Exam Review
Jin Yan
The Chinese University of Hong Kong
November 28, 2013
Lecture 23
Final Exam Review
November 28, 2013
1 / 40
Announcement
Problem Set 5: due today.
Final exam
Date: Tuesday, December 3
Time:
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
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 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 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 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 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
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 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 2 - Simple Regression (I)
Jin Yan
The Chinese University of Hong Kong
January 13, 2015
Lecture 2
Introductory Econometrics
January 13, 2015
1 / 73
Notice
Problem Set 1 has been posted on Blackboard.
Due Tuesday, January 2
Introductory Econometrics
Lecture 1 - Introduction&Statistics Review
Jin Yan
The Chinese University of Hong Kong
January 6, 2015
Lecture 1
Introductory Econometrics
January 6, 2015
1 / 71
What is Econometrics?
Econometrics is based upon the development of
Introductory Econometrics
Lecture 3 - Simple Regression (II)
Jin Yan
The Chinese University of Hong Kong
September 19, 2016
Lecture 3
Simple Regression
September 19, 2016
1 / 43
Notice
Problem Set 1: due today before class.
About Stata: access the compute
Bowerkate grading scheme
Base
Class
Association
Attributes
Multiplicities
Key
200
-10 (include attributes)
-6 (include multiplicities)
-1
-1 (each number)
-2
Bowerkate Data Model
Bowerkate Corporation
Debrief
Attributes on association i.e. cr-amt-applie
Introductory Econometrics
Lecture 3 - Simple Regression (II)
Jin Yan
The Chinese University of Hong Kong
October 5, 2015
Lecture 3
Simple Regression
October 5, 2015
1 / 89
Notice
Problem Set 1: due today before class.
About Stata: access the computer lab
Introductory Econometrics
Lecture 2 - Simple Regression (I)
Jin Yan
The Chinese University of Hong Kong
September 21, 2015
Lecture 2
Introductory Econometrics
September 21, 2015
1 / 72
Notice
Problem Set 1 has been posted on our course website.
Due Monday
Introductory Econometrics
Lecture 4 - Multiple Regression (I)
Jin Yan
The Chinese University of Hong Kong
October 12, 2015
Lecture 4
Multiple Regression
October 12, 2015
1 / 76
Notice
Problem Set 2 is online (including Stata questions).
Every can access t
Introductory Econometrics
Lecture 1 - Introduction & Statistics Review
Jin Yan
The Chinese University of Hong Kong
September 14, 2015
Lecture 1
Introductory Econometrics
September 14, 2015
1 / 71
What is Econometrics?
Econometrics is based upon the develo
Introductory Econometrics
Lecture 7 - Multiple Regression (IV)
Jin Yan
The Chinese University of Hong Kong
October 31, 2016
Lecture 7
Multiple Regression
October 31, 2016
1 / 62
Outline
Review
Hypothesis Testing
Setting up Hypotheses
Test Statistic and Cr