DeGroot, Morris H., and Mark J. Schervish. Probability and Statistics. 3rd ed. Boston, MA: Addison-Wesley, 2001. ISBN: 9780201524888.
Wooldridge is the main text. The material in Goldberger is more advanced and optional. DeGroot and Schervish is a recommended text for statistics review. The lecture notes are unavailable.
The course consists of parts 1 (A, B, and C) and 2 (D, E, F, and G).
|A. Review of probability and statistics|
|1||Probability and distribution||
Lecture note 1: Probability and distribution
Lecture note 2: Expectation and moments
Wooldridge. Appendix B.
Goldberger. Chapters 1-7.
DeGroot. Chapters 1-5.
Burtless, Gary. "Are Targeted Wage Subsidies Harmful? Evidence from a Wage Voucher Experiment." Industrial and Labor Relations Review 39 (October 1985): 105-111.
|2||Expectation and moments|
|B. Review of statistical inference|
|3||Sampling distributions and inference||
Lecture note 3: Sampling distributions and inference
Lecture note 4: Approximate [asymptotic] distribution of the sample mean
Lecture note 5: Confidence intervals
Wooldridge. Appendix C.
Goldberger. Chapters 8-10.
DeGroot. Chapters 6-8.
Woodbury, S. A., and R. Spiegelman. "Bonuses to Workers and Employers to Reduce Unemployment: Randomized Trials in Illinois." American Economic Review 77, no. 4 (September 1987): 513-530.
|4||The Central Limit theorem (Asymptotic distribution of the sample mean)|
|C. Regression basics|
|6||Conditional expectation functions, bivariate regression||
Lecture note 6: Bivariate regression
Lecture notes 7 and 8: Sampling distribution of regression estimates
Lecture note 9: Residuals, fitted values, and goodness of fit
Wooldridge. Chapters 1-5.
Goldberger. Chapters 13-16.
|7||Sampling distribution of regression estimates; Gauss-Markov theorem|
|8||How Classical assumptions are used; asymptotic distribution of the sample slope|
|9||Residuals, fitted values, and goodness of fit|
|D. Multivariate regression|
|10||Regression, causality, and control; anatomy of multivariate regression coefficients||
Lecture note 10: Introduction to multivariate regression
Lecture note 11: Multivariate regression (cont.)
Lecture note 12a: Using multivariate regression
Lecture note 12b: Regression analysis of "Natural Experiments" - the minimum wage controversy
Wooldridge. Chapters 6-7 and 19.
Goldberger. Chapters 17-24.
Krueger, A. "How Computers Have Changed the Wage Structure: Evidence from Micro Data." Quarterly Journal of Economics 108, no. 1 (February 1993): 33-60.
DiNardo, J., and J. S. Pischke. "The Returns to Computer Use Revisited: Have Pencils Changed the Wage Structure Too?" The Quarterly Journal of Economics 112, no. 1 (February 1997): 291-303.
Krueger, A., and S. B. Dale. "Estimating the Payoff to Attending a More Selective College: An Application of Selection on Observables and Unobservables." The Quarterly Journal of Economics 117 (November 2002): 1491-1529.
|11||Omitted variables formula, short vs. long regressions|
|12a||Dummy variables and interactions; testing linear restrictions using F-tests|
|12b||Regression analysis of natural experiments, differences-in-differences|
|E. Inference problems - heteroscedasticity and autocorrelation|
|13a||Heteroscedasticity, consequences of; weighted least squares; the linear probability model||
Lecture note 13a: Heteroscedasticity, linear probability models
Lecture note 13b: Serial correlation
Wooldridge. Chapters 8 and 12.
Goldberger. Chapters 27-28.
Freeman, R., and A. Castillo-Freeman. "When the Minimum Wage Really Bites: The Effect of the US-Level Minimum on Puerto Rico." In Immigration and the Work Force: Economic Consequences for the United States and Source Areas. Edited by G. Borjas and R. Freeman. Chicago, IL: University of Chicago Press, 1992. ISBN: 9780226066332.
Graddy, K. "Testing for Imperfect Competition at the Fulton Fish Market." RAND Journal of Economics 26, no. 1 (Spring 1995): 75-92.
|13b||Serial correlation in time series, consequences of; quasi-differencing; common-factor restriction; Durbin-Watson test for serial correlation|
|F. Instrumental variables, simultaneous equations models, measurement error|
|14a||Using IV to solve omitted-variables problems||
Lecture note 14: Instrumental variables for omitted-variables problems
Wooldridge. Chapter 15.
Goldberger. Chapter 31.
Angrist, J. "Lifetime Earnings and the Vietnam Era Draft Lottery: Evidence from Social Security Administrative Records." American Economic Review 80, no. 3 (June 1990): 313-336.
Angrist, J., and A. Krueger. "Does Compulsory School Attendance Affect Schooling and Earnings?" Quarterly Journal of Economics 106, no. 4 (November 1991): 979-1014.
Angrist, J., and W. E. Evans. "Children and Their Parents' Labor Supply: Evidence from Exogenous Variation in Family Size." American Economic Review 88 (June 1998): 450-477.
Lecture note 14b: IV and measurement error
Ashenfelter, O., and A. Krueger. "Estimates of the Economic Returns to Schooling from a New Sample of Twins." American Economic Review 84, no. 5 (December 1994): 1157-1174.
Lecture note 14c: Regression-discontinuity
Angrist, J., and V. Lavy. "Using Maimonides Rule to estimate the Effects of Class Size on Scholastic Achievement." Quarterly Journal of Economics 114, no. 2 (May 1999): 533-575.
|14b||Measurement error (Time-permitting)|
|14c||Regression-discontinuity designs (Time-permitting)|
|G. Simultaneous equation models|
Simultaneous equations models I
Lecture note 15: Simultaneous equations models - motivation and identification
Lecture note 16: Simultaneous equations models - estimation
Wooldridge. Chapter 16.
Goldberger. Chapters 32-34.
Angrist, J., G. Imbens, and K. Graddy. "The Interpretation of Instrumental Variables Estimators in Simultaneous Equations Models with an Application to the Demand for Fish." Review of Economic Studies 67, no. 3 (July 2000): 499-527.
Simultaneous equations models II