Econometrics Notes & R Code (UCSC Econ113)

Very much in development. Hopefully helpful resources. 

   Econometrics Topics to Know    


Basic Statistics Review

Expected Value

Central Tendency
Mean - equation. outliers problem? 
videos Mean - Sample v Population Mean
Median - equation. how does this correct for the outlier problem?
Mode - what is the mode? wikipedia
Example of finding the mean, median and mode by hand


Histogram - be prepared to draw a very simple histogram. 
Estimators of variance, covariance, and correlation [Video 4:07] 

Normal Distribution


Econometrics - the goal of causal inference. Using data to test a theory. 

Data-set Types: Cross Section, Time Series, Panel Data. 

Simple Regression Model
Ordinary Least Squares (OLS) Estimator
what is the problem OLS solves?
- Know dependent and independent variables. Know 'u' the error term. 
- Derivation for \beta^hat_1 & \beta^hat_0

Gauss Markov Assumptions required for "\beta\hat\_0" and "\beta\hat_1" to be an unbiased estimator for for the population "\beta_0" & "\beta_1" terms.  
"Unbiased Estimate" means...




Goodness of Fit and R-Squared

Homoskedasticity Assumption


Hypothesis Testing & P-Values


Notes:
Intro to applied Stats: R code: http://www.stanford.edu/class/stats191/helpR.html



   Helpful R Code    


Reference Websites for R


Getting Started with R Software 
 Too often, the hardest part.


Basic Statistics & Visualization


Econometrics with R Software




Detailed overview of the lm(..) function for OLS estimation. 

Simple Regression with R - Ordinary Least Squares solved by hand and in R Software. Introduction to R-regression summary. How to run a regression where data is inputed manually. 

Multivariate Regression with R - with a walk-through R's OLS Regression Summary Output. 
lm(...) function


Hypothesis Testing, Significance Test - testing whether or not a model's variable is statistically significant. 

Hypothesis Testing, Other Hypotheses - testing whether or not a model's variable has some specific effect on the dependent variable. 

Confidence Interval - calculation and interpretation. 

P-Value - hand calculation. R-software's P-Value. Interpretation of P-Value. 

Hypothesis Testing - Testing Hypothesis about Linear Combination of Parameters -- testing whether or not two variable have identical effects on the dependent variable. 

Hypothesis Testing - F-Statistics - Testing General Linear Restrictions. 
testing whether or not multiple variables are jointly statistically significant determinants of the dependent variable. 

Hypothesis Testing - F-Statistic - Testing Overall Significance of a Regression. 

Standardizing Variables in a Regression Model. 

Dummy variables

Interaction terms

Dummy variables in interaction terms

Categorical variables. - running regression over 'factor' vector, dummy variable trap, interpretation. 


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Curtis Kephart,
May 22, 2011, 12:04 PM
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Curtis Kephart,
Apr 11, 2012, 11:10 AM
Ĉ
Curtis Kephart,
May 22, 2011, 12:04 PM
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WageData_9vars_930obs.TXT
(40k)
Curtis Kephart,
May 22, 2011, 12:04 PM
Ĉ
Curtis Kephart,
May 22, 2011, 12:04 PM
Ĉ
Curtis Kephart,
May 22, 2011, 12:04 PM
ċ
wage_data.csv
(8k)
Curtis Kephart,
Dec 12, 2012, 11:48 AM
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