Econometrics Notes

I use these coarse notes as rough guides for teaching my econometrics classes. The classes develop—step-by-step—the theory in these notes. The classes then delve into empirical examples and applications. I will post the empirical examples and applications during the next academic year.

Graduate-level Linear-regression Analysis

  1. Linear-regression Setup.

  2. Classic Linear Regression.

  3. Properties of OLS.

  4. Goodness of Fit.

  5. Inference.

  6. Structural Change.

  7. Dummy Variables.

  8. Maximum Likelihood.

  9. Revisiting Inference.

  10. Consistency.

  11. Omission and Overfitting.

  12. Endogeneity.

  13. Variance.

The public GitHub repository for these notes is here. Anyone can fork the repository to create another version of the notes.

Introductory Empirical Design for Causal Inference

  1. Binary Choice.

  2. Panel Settings.

  3. Selection on Observables.

  4. Inverse-Probability Weighting.

  5. Selection on Unobservables.

  6. Difference in Differences.

  7. Event Studies.

  8. Instrumental Variables.

  9. Regression Discontinuity.

  10. General Method of Moments.

The public GitHub repository for these notes is here. Anyone can fork the repository to create another version of the notes.