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.

            [Handout]    [Slides]

2.        Review of Probability

            Stock & Watson, Chapter 2.

            [Handout]    [Slides]

            Khan Academy: Probability, Statistics

3.        Review of Statistics

            Stock & Watson, Chapter 3.

            [Handout]    [Slides]

            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.

            [Handout]    [Slides]

            Gentle Introduction to R:   [Slides]

            Introduction to Regression with R:   

            [RMD]     [XLSX]     [HTML]      [PDF]

5.        Hypothesis Tests and Confidence Intervals

            Stock & Watson, Chapter 5.

            [Handout]    [Slides]

            Regression Diagnostics with R:   

            [RMD]     [XLSX]     [HTML]      [PDF]

6.        Multivariate Linear Regression

            Stock & Watson, Chapter 6.

            [Handout]    [Slides]

            Categorical variables with R (and the dummy variable trap):

            [RMD]     [XLSX]     [HTML]      [PDF]

7.        Hypothesis Tests and Confidence Intervals for Multivariate Regression

            Stock & Watson, Chapter 7.

            [Handout]    [Slides]

            Empirical application with R:

            [RMD]      [XLSX]     [HTML]      [PDF]

8.        Nonlinear Regression Functions

            Stock & Watson, Chapter 8.

            [Handout]    [Slides]

            Nonlinear Regression: Replication with R:   

            [RMD]     [DTA]     [XLSX]     [HTML]      [PDF]

PART III:   TOPICS IN REGRESSION ANALYSIS

9.      Assessing Multiple Regression

            Stock & Watson, Chapter 9.

            [Handout]    [Slides]

            Assessing Multiple Regression with R: Tables & Graphs   

            [RMD]     [XLSX]     [HTML]      [PDF]

10.   Panel Data Regression

            Stock & Watson, Chapter 10.

            [Handout]    [Slides]

            Panel Data Regression with R:  Tables & Graphs 

            [RMD]     [HTML]      [PDF]

11.*   Binary Variable Regression

            Stock & Watson, Chapter 11.

12.    Instrumental Variable Regression

           Stock & Watson, Chapter 12.

            [Handout]    [Slides]

13.*   Experiments and Quasi-Experiments

            Stock & Watson, Chapter 13.

PART IV:   ADVANCED TOPICS

14  Big Data and Machine Learning

            [Handout]    [Slides]

           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:

[Mark Watson - Princeton]