# 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