General Linear Regression Analysis

Course Description

This course is the third quarter of the first-year Ph.D. sequence in econometrics. Students are assumed to have had two quarters of graduate-level probability and statistics (Econ 640 and 740, Stat 520 and 521, or equivalent). The course begins with a brief review of probability, stochastic convergence, and limit theorems. The main part of the course focuses on the classical linear regression model and several parametric, linear estimation methods. Time permitting, a brief introduction to nonlinear estimation methods will be given at the end of the course.

Announcements

• April 19, 2011: There was a formatting issue with the lwage variable in the original wage2.csv dataset posted yesterday (the decimal is missing). Please either calculate the logarithm of wage independently or use the updated dataset below.

• April 8, 2011: I have posted some pointers, for Stata and Matlab, for loading the data for PS2 Problem 4.

• March 31, 2011: Effective today, my office hours will be Tuesday and Thursday at 12:30–1:30 PM.

• March 29, 2011: There will be no class next Tuesday, April 5, 2011.

Course Materials

• Syllabus
• Problem Set 1 (due Thursday, April 7, 2011)
  • Solutions: ps1-sol.pdf
• Problem Set 2 (due Thursday, April 14, 2011)
  • Data description: 401k.des
  • Dataset: 401k.raw
  • Solutions: ps2-sol.pdf
• Problem Set 3 (due Tuesday, April 26, 2011)
  • Dataset 1: hprice1.des, hprice1.csv
  • Dataset 2: wage2.des, wage2.csv (updated)
  • Solutions: ps3-sol.pdf
• Midterm Solutions
• Problem Set 4 (due Thursday, May 12, 2011)
  • Solutions: ps4-sol.pdf
• Problem Set 5 (due Thursday, May 19, 2011)
  • Solutions: ps5-sol.pdf
• Problem Set 6 (due Tuesday, May 31, 2011)
  • Dataset: gpa1.csv
  • Solutions: ps6-sol.pdf