ECON440 - Introduction to Econometrics - California State University, Fullerton - Dr Toche
GENERAL
This course is intended for students of the California State University at Fullerton. The aim of this course is to introduce students to the principles of econometrics. Material for the course will be uploaded here as it becomes available. Sensitive material will be available on the course canvas page (https://csufullerton.instructure.com/courses).
PREREQUISTE
Econ340 - Economic Research Methods, which I taught in earlier years, is a prerequisite.
SCHEDULE
Available on Canvas
SYLLABUS
Available on Canvas
LECTURES
The lecture notes are made available in PDF format only. The "slides" are for viewing on horizontal screens. The "handouts" have been stripped of many illustrations and images and are therefore significantly smaller in size. The slides will be used during class. The handouts may be used during revision. Some of the data may be updated as the course progresses.
PART I: FOUNDATIONS
1. Introduction
Stock & Watson, Chapter 1.
2. Review of Probability
Stock & Watson, Chapter 2.
Khan Academy: Probability, Statistics
3. Review of Statistics
Stock & Watson, Chapter 3.
Gentle Primer in Statistics: [Handout] [Slides]
Another Primer in Statistics: [Handout] [Slides]
Summary Panels: [PDF] [CI] [CLT]
Cheatsheets: [Formulas] [Concepts]
Khan Academy: Means, Proportions, Sampling Distributions, Probablity Distributions.
PART II: FUNDAMENTALS OF REGRESSION
Gentle Introduction to Regression: [Handout] [Slides]
4. Single Linear Regression
Stock & Watson, Chapter 4.
Gentle Introduction to R: [Slides]
Introduction to Regression with R:
5. Hypothesis Tests and Confidence Intervals
Stock & Watson, Chapter 5.
Regression Diagnostics with R:
6. Multivariate Linear Regression
Stock & Watson, Chapter 6.
Categorical variables with R (and the dummy variable trap):
7. Hypothesis Tests and Confidence Intervals for Multivariate Regression
Stock & Watson, Chapter 7.
Empirical application with R:
8. Nonlinear Regression Functions
Stock & Watson, Chapter 8.
Nonlinear Regression: Replication with R:
[RMD] [DTA] [XLSX] [HTML] [PDF]
PART III: TOPICS IN REGRESSION ANALYSIS
9. Assessing Multiple Regression
Stock & Watson, Chapter 9.
Assessing Multiple Regression with R: Tables & Graphs
10. Panel Data Regression
Stock & Watson, Chapter 10.
Panel Data Regression with R: Tables & Graphs
11.* Binary Variable Regression
Stock & Watson, Chapter 11.
12. Instrumental Variable Regression
Stock & Watson, Chapter 12.
13.* Experiments and Quasi-Experiments
Stock & Watson, Chapter 13.
PART IV: ADVANCED TOPICS
14. Big Data and Machine Learning
Stock & Watson, Chapter 14.
15.* Time Series Regression and Forecasting
Stock & Watson, Chapter 15.
Lessons marked by a star may be left to self-study or discussed during lab sessions.
Check Canvas for additional Notebooks.
ASSIGNMENTS
Notes and model answers will be made available on Canvas. Please do not share or distribute these files as they are copyrighted.
Please refer to these Assignment Instructions and Writing Instructions.
TEXTBOOK
James H. Stock and Mark W. Watson, Introduction to Econometrics, 4th Edition, Pearson.
I will be following the textbook closely. Older editions of the book are suitable.
DATASETS
In addition to the Publisher's Website, the datasets are available from the Author's Website: