Copyright disclaimer:  Part of the material used in my slides is taken and adapted form the work of Matthew Leingang, Martin Halla, Luigi Guiso, and Andreas Stephan   who I thank very much, as well as many other sources on the web. My work is licensed under a Creative Commons Attribution-NonCommercial 3.0 Unported License.   You are free to copy, distribute, transmit, and adapt the work. You must attribute the work in the manner specified by the author or licensor (but not in any way that suggests that they endorse you or your use of the work). Also, You may not use this work for commercial purposes.

Latest News on Feb 14,  10:30 am

• We finally finished to correct the last homework. We are not allowed to put the final grade online so you can come either to me or to Johannes to get it.

• I uploaded the do file solution for the last homework ( PS10_solutions )

• I uploaded the do file and the data, which were used in the last class (ivregression_2.do and SIMULATION.dta). Moreover, I corrected equation (4) on pg. 11 of the last slide set  (thanks to Mirjam and Oliver!) as well as the notation on pg. 9 (Econometrics_11.pdf)

• I uploaded the fourth Homework (Homework_4.pdf) as well as the data you need to solve it (SCHOOLING.dta)

• I uploaded the slides for the next lecture (Econometrics_11.pdf)

• Happy new year!  I uploaded the slides for the next lecture (Econometrics_10.pdf)

• I uploaded the solution to problem set 8 (PS8_Solutions). That's all for this year. See you in 2012!
  

Dec 22, 9:30 pm

• I uploaded the corected version of the solution to problem set 6 (PS6_Solutions), the new data MURDER.dta, Problem Set 8.pdf, the corrected version of the data for the third homework (HOUSE.dta), and the do file for the IV regressions (ivregression.do)
  

Dec 21 5:30 pm

• I uploaded the thrid Homework (Homework_3.pdf) as well as the data you need to solve it (HOUSE.dta).... although I will make you work a bit during the Chrsitmas holidays:

• PLEASE NOTE: for task 1.e in the homework 2, you can drop the variable "latepay" from the model (but it is also not a probelm if you leave it in... in this case explain why)

• I uploaded the slides for the next lecture (Econometrics_9.pdf)

• I uploaded the solution to problem set 5 (PS5_Solutions) 

• I uploaded the second Homework (Homework_2.pdf) as well as the data you need to solve it (BWGHT2.dta and MORTGAGE.dta)

• Next week, Dec. 15 we will invert class and lecture:
• 10:30-12.00 Class (S5)
• 12:15-13:45 Lecture (S2)
• In two weeks, we will have an extra class on Dec. 22 (10:30 am, S5) since the planned sessions on Jan 5 must be canceled. During that class you will get Homework assignemnt 3, which is due on January 12
• Here is the link to the paper by Guiso, Sapienza and Zingales (AER, 2004) which we partially use in lecture 8

• I uploaded the slides for the next lecture (Econometrics_8.pdf)

• I uploaded Problem set number 5 (PS5.pdf)  and the solution to problem set 4 (PS4_Solutions) 

• I uploaded the slides for the next lecture (Econometrics_7.pdf) and the do file for the next class (asymptotics.do)

• I uploaded the slides for the next lecture (Econometrics_6.pdf), the slides for the next class (Class3.pdf) as well as the next problem set (PS4.pdf) and the do file with the solution for the first homework (Homework_1_Solutions.do)

• I uploaded some new documents

1) The corrected version of the slides set number 4 (Econometrics_4.pdf).  (I corrected pg. 20, pg. 40, and pg. 46). Moreover, I corrected and improved the discussion of the goodness of fit (starting from pg. 48). So please use the new version of the slides from pg 48 on. I'm really SORRY for the many typos!

2) I created a new set of slides (Econometrics_4_additional.pdf) where I derive the main matrices that we used in the 4th lecture. In particular, note the difference between the variance-covariance matrix of the error term E(uu') which is a N x N matrix and the estimator of the variance (SSR= û'û) which is a 1x1 matrix!

3) The do file with the derivation of the OLS estimator and its variance in matrix form (matrices.do), which you used in the class

• I upload a short introduction to OLS in Matrix Form (ols_matrix.pdf), which can be a useful summary

• Since sombeody asked it, the next lecture will take place on Wednesday Nov 16 at 9am in Room S1. We probabily will not have enough  time to start the new set of slides. But you can already download it here: Lecture 5
• If you agree, the Class will take place on Thursday Nov 17 at 10:30 am in Room S5

• The solution to the second problem set (PS2_Solutions) is online (the link was wrong, it should work now!). In the do file you will also find 1. how to specifying the path for your data and log files, 2. How to interpret models in log, 3. how does it work if you want to use categorical (dummy) variables

• The first take home assignment (Homework_1.pdf) and the data (WAGE.dta) can be downloaded.

• The slides for the fourth lecture can now be downloaded: Lecture 4
• PLEASE NOTE: Next week's lecture (Nov 17), will be moved to: WEDNESDAY NOV 16 at 9 am!
• PLEASE NOTE: Starting next week, the class (not the lecture!) will take place in room S5 and start at 12:15 pm

• PLEASE NOTE: Starting next week, the class will begin at 12:15 pm and not 12:30 pm

• The second problem set (PS2) and the data need to solve it (BWGHT.dta and CEOSAL2.dta) can be donwloaded
• Some useful do files can be downloaded here: Do-Files I and Do-Files II
• I updated the slides for Lecture 3 by adding the derivation of the OLS estimator

• The solution for the first assignment (PS_1_Solutions) as well as the first do file are online
• The slides for the third lecture can now be downloaded: Lecture 3
• The slides for the second class can now be downloaded: Class 2 
• I updated the slides for the first two lectures since they had a couple of small typos

• The slides for the second lecture can now be downloaded: Lecture 2
• The slides for the first class and the first problem set can now be downloaded: Class 1 & PS1

• The slides for the first lecture can now be downloaded: Lecture 1
• PLEASE NOTICE: The class has been moved to Thursday (12:30-2:00 pm)

• We prepared a very short questionnaire to understand know more about your background in econometrics and statistics. The aim is to design the course at the right level so that we can be sure that you learn as much as possible. Please, download it here, fill it, and take it whit you to the first class! Thank you!

• The course will start on October 20. 
• The Lecture will take place on Thursday (10:30-12:00 am) and the class will take place on Wednesday 8:30-10:00 am. 
• The class will be held by Joahnnes Muck.

Basic Information

Data used in the course

Books

• Wooldridge, Jeffrey M. (2009), Introductory Econometrics: A Modern Approach, 4th Edition, South Western College Publishing, Mason (Ohio).

• Wooldridge, Jeffrey M. (2010), Econometric Analysis of Cross Section and Panel Data, 2nd Edition, The MIT Press, Cambridge (MA).

• Greene, William H. (2007), Econometric Analysis, 6th Edition, Prentice Hall.

• Davidson, Russell and James G. MAcKinnon (2004), Econometric Theory and Methods, Oxford University Press(New York).

Preparation

• Lecture: Please read and think through each chapter from the textbook before the course and note unclear issues and questions that we will answer during the lecture when we present/discuss the chapter.

• Class: During the first weeks you will get an introduction in Stata. In the following weeks groups of students will present their solution to the assignments. After their presentation we will have a common discussion of the results and solution.

Evaluation

• Final Exam: oral examination or written exam (90 minutes) depending on the number of students (60% of the final grade)

• Homework assignments: In the tutorials students will be asked to solve four assignments (40% of the final grade).
  

Interesting links

• Econometric Textbooks links by Econometrics Journal
• (US-focused) Econometric Resources by John Kane
  

• Vox: The economists' voice
  Research-based policy analysis and commentary from leading economists

• Ökonomenstimme
  Die Internetplattform für Ökonomen im deutschsprachigen Raum