Quantitative Economics
Trinity 2018
Scheduling: The three groups will meet on Tuesdays at the following times, commencing in Week 2
Tues, 14:00--15:30: Sam A, Jarel, Alex, Leonard
Tues, 15:30--17:00: Sam W, Elliot, James
Tues, 17:00--18:30: Rogan, Oliver, Tomoki
All tutorials will be held in Corpus, in the "PPE Suite" teaching room, which is Room 10 in Staircase FB1 (Fellow's Building Staircase 1). [Look for "FB1" on this map: after entering the staircase, ascend two flights of stairs; the door to the room is immediately on your right.]
Problem sets: Each week I shall assign you problems from the tutorial worksheets posted on the course weblearn page. These must be submitted to me, via the Corpus Lodge, by 3pm on Sunday.
I shall also usually assign some reading to complement the lecture slides, drawn from either Stock & Watson, Introduction to Econometrics [S&W]; Angrist & Pischke, Mastering 'Metrics [MM]; or Angrist & Pischke, Mostly Harmless Econometrics [MHE]. Last year I instructed both the Corpus and Queen's libraries to increase their holdings of these titles, but do please let me know if there is a shortage of available texts.
Tutorial 1 (Week 2)
Readings: S&W, Ch 1, Ch 2.1--2.4
Problems: 1, 2, 4, 6, 7, 9 in worksheet 1
Tutorial 2 (Week 3)
Readings: S&W, Ch 2.5--2.6, Ch 3
It is essential that, before the next tutorial, you complete reading Chapters 1--3 of S&W. My impression of the lecture slides from the first two weeks is that they are far too light on detail to provide you with the grounding in probability and statistics that is necessary for this course -- and so you cannot afford rely on these alone, even if they do turn out to be (just barely) sufficient to answer this week's problem set.
Problems: 1, 3, 5, 6, 8, 11 in worksheet 2. [Some other questions from this worksheet may be assigned next week]
Tutorial 3 (Week 5)
Please note that, since this course only has six tutorials, there will be no tutorial held in week 4.
Readings: S&W, Ch 4, 5.1--5.3, 6, 7.1--7.2 is essential. Also recommended are: MM, Ch 2, and the remaining sections of Ch 5 and 7 in S&W.
Problems: 11 and 14 in worksheet 2; 1 in worksheet 3a; 4, 7 and 8 in worksheet 3b. (In 7(b), to compute the F-statistic correctly -- ignore the 'rule of thumb' comment -- you will need to look at Section 7.2 of S&W.)
Tutorial 4 (Week 6)
To answer q3 and q4, you will need to run several regressions, and construct new variables on the basis of the estimates obtained. I strongly recommend performing these calculations in either R or Matlab, or some other statistical package. (Doing the calculations in Excel, while possible in principle, would be extremely tedious.)
Readings: S&W, Ch 7.5--7.6, 8, 9.1, 9.2, 9.3
Problems: 2, 3 and 4 in worksheet 4; 1 in worksheet 5a
If you want to start on IV and RCT-related readings, which I will formally assign for the following tutorial, you could look at: S&W, Ch 12 and 13; MM, Ch 1 and 3.
Tutorial 5 (Week 7)
Readings: S&W, Ch 12 and 13; MM, Ch 1 and 3
Problems: 2 in worksheet 5a; 1, 3 and 4 in worksheet 5b
Tutorial 6 (Week 8)
Readings: S&W, Ch 14, 15 (excluding 15.4) and 16.4 are essential; also recommended are Ch 16.1 and 16.2
Problems: 1, 2 and 4 in worksheet 6
Revision Classes
Scheduling: Weeks 1--3 of Trinity term, Wednesdays 16:30--18:30, in the Large Discussion Room of the Social Science Library (Manor Rd).
We shall proceed by reviewing solutions to past exam questions indicated below, but I am also happy to answer any other questions you have related to this material.
Class 1 (Week 1): Probability, hypothesis testing and regression
Lecture material: Weeks 1--3
Past exam questions:
2016q4: properties of expectation and variance
2017q4: conditional expectation and linear regression
2018q5 and 2015q3: interpretation of regression estimates; hypothesis testing
Class 2 (Week 2): Applied regression, instrumental variables and RCTs
Lecture material: Weeks 4--5
Past exam questions:
2016q5 and 2015q4: causal interpretation of regression; LATE; instrument validity
2017q7: RCTs, treatments and compliance
2017q5: omitted variable bias and bad controls
Class 3 (Week 3): Time series
Lecture material: Weeks 7--8
Tutorial 6, q2: forecasting
2018q8: autoregressive models
2016q2: inference with unit roots
2015q6: Granger causality, nonstationarity
2016q9, corrected: cointegration