Introduction to Econometrics [U13783] Welcome to the Home Page for the unit Introduction to Econometrics (also known as ECONMET or U13783). Here you can find electronic versions of all the course material - lecture notes, practical exercises, information about the assessment and the exam etc. WARNING! These resources are not a substitute for attendance at lectures and practical classes. Students taking this unit are strongly advised to attend all lectures and practical classes. Please check the Notice Board section below regularly for special announcements. I also have a blog and a wiki where I put other information relevamt to econometrics. Don't forget each week to send me a "One-Minute" e-mail telling me the main thing that you have learned from the lecture(s) the main thing that you still don't understand I will reply to your e-mail with an attempt to explain the point that you don't understand. Questions and answers will then be added to my list of Frequently Answered Questions (FAQs). Notice Board Lecture times, seminar class times and computer lab session times Lectures Monday 12 noon to 2pm, Burnaby Building 3.30 (Guy Judge) Thursday 12 noon to 1pm. Burnaby Building 3.30 (Guy Judge) Seminar class times Group 1 Monday 11 am Dennis Sciama Building 1.11 (Guy Judge) Group 2 Tuesday 5pm Burnaby Building 4.04 (Guy Judge) Group 3 Thursday 1 pm Dennis Sciama Building 2.12 (Pamela Dent) Group 4 Wednesday 10 am Dennis Sciama Building 1.11 (Pamela Dent) Group 5 Wednesday 12 noon Dennis Sciama Building 1.11 (Georgia Giordani) Group 6 Tuesday 9am Portland Building 1.20 (Georgia Giordani) Computer Lab sessions Group 1 Thursday 2pm Richmond Building 1.05 (Guy Judge) Group 2 Thursday 1 pm Richmond Building 1.08 (Guy Judge) Group 3 Thursday 9 am Richmond Building 1.03 (Pamela Dent) Group 4 Wednesday 9 am Richmond Building 1.04 (Pamela Dent) Group 5 Tuesday 12 noon Richmond Building 1.04 (Georgia Giordani) Group 6 Wednesday 9 am Richmond Building 1.05 (Georgia Giordani) Office Hours (Guy Judge) Tuesday 3pm - 5 pm Richmond Building 6.12 Econometrics cafe: You will also be able to find me for a chat in the coffee bar in the Portland Building after my lecture on Monday at 2pm. NEWS "There are more questions than answers!". I am gradually putting together a collection of past exam papers and accompanying solutions. Go here to see what is available. Topics and course materials Week 1 Introduction to the unit and a review of the simple bivariate regression model Initial course handout PowerPoint slides for the first part of lecture 1 PowerPoint slides for the second part of lecture 1 How to use the regression tool in Microsoft Excel Excel worksheet to illustrate the calculation of simple least squares regression results Least squares regression graph Practical 1 Data for Practical 1 Week 2 More on the bivariate regression model PowerPoint slides for the first part of lecture 2 Practical 2 Data for Practical 2 Week 3 Estimators and their properties PowerPoint slides for the first part of lecture 3 Notes on a simple Monte Carlo exercise Practical 3 Data for Practical 3 Regression output from different packages Introduction to EViews Week 4 The Multiple Regression Model PowerPoint slides for the first part of lecture 4 The multiple regression model in matrix form Adjusted R squared (R bar squared) Practical 4 Data for Practical 4 Table showing different notation conventions in 10 well-known textbooks P-values versus t-values: the "sting in the tail" Week 5 Extensions to the multiple regression model PowerPoint slides for lecture 5 Additional notes on the semi-logarithmic functional form Additional notes on dummy variables Practical 5 Data for Practical 5 Instructions on the use of PcGive for Practical 5 Week 6 Testing restrictions PowerPoint slides for lecture 6 Testing restrictions: example cases Additional notes on testing restrictions Practical 6 Data for Practical 6 Week 7 Heteroskedasticty and further diagnostic testing Specification and mis-specification tests PowerPoint slides for lecture 7 Heteroskedasticity testing with EViews Heteroskedasticity testing with PcGive Practical 7 Heteroskedasticity Blues Week 8 Autocorrelation PowerPoint slides for lecture 8 Autocorrelation testing with PcGive Autocorrelation testing with EViews Practical 8 Week 9 Dynamic models PowerPoint slides for lecture 9 Distributed lag model : example Koyck transformation : example Simple error correction model : example Practical 9 Data for Practical 9 Week 10 Simultaneous equation models PowerPoint slides for lecture 10 Additional notes on bias Practical 10 Assessed work Instructions on what to do for the assessed report Links to other helpful sites Some materials for Christopher Dougherty's Introduction to Econometrics course. Web page for Gujarati's book my introductory guide to PcGive version 10 my introductory guide to PcGive version 11 my introductory guide to EViews version 5 Ramu Ramanathan's on-line teaching materials for his course on Introductory Econometrics (ECON120A)at the University of California at San Diego Trudy Ann Cameron's on-line teaching materials for her Applied Regression Analysis course at UCLA. Includes some quizzes and some interactive simulations. The web site for A Guide to Modern Econometrics by Marno Verbeek - try the true/false questions Web page for Tim Vogelsang's Introduction to Econometrics course at Cornell University. Statistical tables online Statistical tables online - with additional information about the statistical distributions Full list of econometrics textbooks from The Econometrics Journal online Guy Judge [Guy Judge's Home Page] [Guy's Statistics and Mathematics for Economics blog] [Guy's Econometrics blog] This Page maintained by Guy Judge <Guy.Judge@port.ac.uk> Page Last Updated: February 2010