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.)

    • R: follow the installation instructions given here on the QE weblearn page.

    • Matlab: all Oxford students have access to a licence; follow the instructions here. During installation, make sure to select the "Statistics" toolbox. Matlab comes provided with very extensive tutorials and documentation.

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