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Instructor Information
Instructor Email Office Location & Hours
Prof: Matthew Harding harding1@uci.edu https://calendly.com/harding
General Information
Description
This course develops the theory and applications of regression analysis, which is the primary tool for
empirical work in economics, finance, and public policy. Emphasis is placed on techniques for testing
hypotheses and estimating causal relationships, especially from non-experimental data. The course briefly
reviews probability, statistics and the foundations of statistical inference, including randomized control
trials. We move on to focus on methods of drawing inference from non-experimental, cross-sectional data.
The foremost among these is the basic linear regression model (OLS). We will learn how to estimate, test
and predict single variable and multivariate relationships. We also examine common issues in implementing
OLS regression, including measurement error, collinearity, functional form assumptions,
heteroskedasticity, and omitted variable bias. We will then discuss estimation methods for when some of
the assumptions of OLS do not hold, including instrumental variables regression.
The course will cover both theoretical and practical issues and problems sets will contain extensive
applications to real data and require the use of statistical software (Stata). The goal of the course is to
provide students with a toolkit of methods for drawing inferences from cross-sectional data and an
understanding of the common issues that can occur when applying these tools.
Pre-requisites
(MATH 2A or AP CALCULUS AB (min score = 4)) and (MATH 2B or AP CALCULUS BC (min score = 4)) and (MATH
4 or MATH 2D) and (MATH 4 or MATH 2J) and (STATS 120C or MATH 131C) and (ECON 100C or ECON 105C).
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Course Materials
Required Textbooks
Principles of Econometrics by R. Carter Hill, William E. Griffiths and Guay C. Lim (Wiley, 4th Edition, 2011).
Using STATA for Principles of Econometrics by Lee C. Adkins and R. Carter Hill (Wiley, 3rd Edition, 2008 or 4th
Edition, 2011).
Software
In addition to understanding the theoretical principles of Econometrics, this class will rely heavily on
understanding how to use statistical software to analyze a number of real world datasets. We will focus
exclusively on using STATA, a modern statistical software package. The software is covered extensively in the
textbooks with step-by-step instructions tailored to the statistical models encountered in class. Many of the
questions on the problem sets will also require knowledge of STATA.
Virtual Computer Lab (VCL) allows all UCI undergraduate students to access university-licensed computer
applications via the Internet. VCL allows you to work from home or any location with a high-speed Internet
connection. Using their campus login and password, students are now able to log in to http://vcl.oit.uci.edu to
gain access to a range of software that is normally only available for use in our public access computer labs
located on campus. VCL is available 24 hours a day, 7 days a week and is available free of charge.
http://www.oit.uci.edu/labs/vcl/
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Course policies
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Course Schedule
Date Topic Reading
9/28 Introduction to Econometrics Ch.1
10/03 Review: Mathematical Tools App A and Prob Primer
10/05 Univariate OLS Ch. 2
10/10 Univariate OLS Ch. 2
10/12 Univariate OLS Ch. 2
10/17 Interval Estimation Ch. 3
10/19 Interval Estimation Ch. 3
10/24 Interval Estimation Ch. 3
10/26 Prediction, R2, Modeling Ch. 4
10/31 Multiple Regression Ch. 5
11/02 Midterm Ch. 1-4
11/07 Multiple Regression Ch. 5
11/09 Multiple Regression Ch. 5
11/14 Interpreting regressions Practical Examples
11/16 Further Inference Ch. 6
11/21 Further Inference Ch. 6
11/23 Thanksgiving No Class
11/28 Indicator Variables Ch. 7.1-7.4
11/30 Heteroskedasticity Ch. 8.1-8.3
12/05 Instrumental Variables Ch. 10
12/07 Instrumental Variables Ch. 10
12/15 Final exam (10:30am-12:30pm) Ch. 1-6, 7.1-7.4, 8.1-8.3, 10
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