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University of California

Department of Economics

Doug Steigerwald
Introduction to Econometrics
Economics 140A

Course Goals:
To provide training in linear regression models, with special focus on the issues of endogeneity
and consistent standard error estimation, for students familiar with the fundamentals of probability
theory and statistical inference as covered in Statistics 5E. In particular, students should master
these topics.
Course Structure:
Meetings: MTW 2:00-3:20 in South Hall 1431
Course Begins: Monday, August 1
Course Concludes: Wednesday, September 9
Final Examination: Wednesday, September 9 2:00-3:20 p.m. (Please bring a photo id.)
Analytic Exercises (20%): Certain classes have analytic exercises to sharpen your skills.
Your solutions to the exercises are due in class the Monday after the assignment of each
Projects (20%): There are two computational projects that allow you to develop best
practices for the topics covered (you will program in Eviews). For each of the two
projects, your group will turn in a hard copy of your report and an electronic copy of your
program. The projects are distributed in section on a Thursday, the report and program
are due on Friday of the next week (8 days later) at 5pm.
Midterm Examination (30%)
Final Examination (30%)
Principal readings come from
J. Stock and M. Watson, Introduction to Econometrics, Addison Wesley, 2007.
Other texts that may provide useful readings
A. Studenmund, Using Econometrics, Pearson, 2010.
J. Wooldridge, Introductory Econometrics, South-Western, 2009.
Access to articles: Most articles are available through library.

Economics 140A

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Course Schedule
Statistical Review: Random Variables , Random Variables Slides
Stock and Watson: 2.1-2.2
Studenmund: 16.1-16.2
Extra Questions to Prepare for the Final Examination
Exercise 6 Extra (Analytic)
Exercise 7 Extra (Analytic)
Monday, August 1:
Statistical Review: Properties of Estimators
Stock and Watson: 3.1
Studenmund: 16.3-16.4
Statistical Review: Confidence Intervals and Hypothesis Testing & Stochastic Models
Stock and Watson: 3.2-3.3
Studenmund: 16.5-16.6
Linear Regression: Population Regression Models & Identification
Stock and Watson: 1, 4.1, 4.4
Studenmund: 1, 4.1-4.2
Exercise 1 (Analytic)
Project 1 handed out in section on August 4, due on Friday, August 12.
Monday, August 8:
Linear Regression: Regression Model Estimators
Stock and Watson: 4.2-4.3
Studenmund: 2, 3
Linear Regression: Properties of OLS Estimators
Stock and Watson: 4.5
Studenmund: 4.3
Linear Regression: Optimality of OLS Estimators
Stock and Watson: 5.5
Studenmund: 4.4-4.6
Linear Regression: Hypothesis Testing in Regression Models
Stock and Watson: 5.1-5.2, 5.6
Studenmund: 5
Exercise 2
Monday, August 15:
Regression Problems: Regressor Specification

Stock and Watson: 6.1, 7.5

Studenmund: 6
Regression Problems: Functional Form Specification
Stock and Watson: 6.2-6.5
Studenmund: 7
Exercise 3
Project 2 handed out in section on August 18, due on Friday, August 26

Economics 140A
Monday, August 22:
Regression Problems: Measurement Error and Multicollinearity
Stock and Watson: 6.7-6.8
Studenmund: 8, 14.6
Regression Problems: Estimation with Instruments
Stock and Watson: 12.1, 12.3
Studenmund: 11
Regression Problems: Error: Location and Scale Variation
Stock and Watson: 5.4
Studenmund: 10
Exercise 4 (Analytic)
Monday, August 29:
Regression Problems: Error: Serial Correlation
Stock and Watson: 14.2
Studenmund: 9
Regression Problems: Error: Non-Gaussian Distribution
Stock and Watson: Appendix 11.2
Regression Extensions: Qualitative Dependent Variables
Stock and Watson: 5.3, 11
Studenmund: 13
Regression Extensions: Difference in Differences
Stock and Watson: 13.1-13.3
Exercise 5 (Analytic)
Monday, August 5:
Labor Day Holiday
Regression Extensions: Regression Discontinuity
Wednesday, August 7:
Final Examination

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