Lecture Notes
ECON 503

Econometrics I

Mehmet Balcilar
 
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EMU
 Department of Economics

ECON 503: Econometrics I
Fall  2008/2009

 

Notes marked with * are covered in class, other notes are optional to gain more insight.

Week

Topic & Book Reference

Slides & Notes

4 in 1 Print
Version

1

 

 

1. Introduction

Maddala, Chapter 1, 2 (Sections: 1.1-1.3, 2.6-2.9)   
Gujarati, Chapter 1, 2, and Appendix A

1. *Lecture overhead #1
2. Supplement #1A (review of statistics)
3. *Supplement #1B (estimators)
4. If you need review statistics optionally overview these slides: Confidence intervals: Supplement #1B; Hypothesis testing: Supplement #1D
5. Greek notation: Supplement #1E

 1, 3

2

 

 

2. The Ordinary Least Squares Method
    
 Maddala, Chapter 3 (Sections: 3.1-3.3) 
Gujarati, Chapter 3

1. *Lecture overhead #2 1

3

 

 

The Ordinary Least Squares Method (continued)
    
 Maddala, Chapter 3 (Sections: 3.1-3.3) 
Gujarati, Chapter 3

1. *Lecture overhead #3
2. Example: Finding minimum sum of squares
3. Example: Minimizing residual sum of squares
4. Examples from Gujarati book		 1

4

 

 

3. The Classical Regression model : Estimation, Properties and Inference

Maddala, Chapter 3 (Sections: 3.4, Appendix)
Gujarati, Chapter 4

 1. *Lecture overhead #4 1

5

 

 

4. Hypothesis Testing

Maddala, Chapter 3 (Sections: 3.5-3.7) 
Gujarati,  Chapter 5

 1. *Lecture overhead #4
2. Prediction, prediction intervals and reporting results
3. Type I & II errors		 1,  2,  3

6

 

 

 5. Extensions of the Simple Regression Model
    
Maddala, Chapter 3 (Sections: 3.8-3.9)
Gujarati,  Chapter 6		 1. *Lecture overhead #5 1

7

 

 

6. The Linear Multiple Regression Model: Estimation

Maddala, Chapter 4 (Sections: 4.1-4.7)
Gujarati, Chapter 7

 1. *Lecture overhead #5 (updated, 13/11/07)
2. Visual illustration of multiple regression
3. Specification errors		 1,  2,  3

8

 

 

 7. The Linear Multiple Regression Model: Hypothesis Testing & Additional Topics

Maddala, Chapter 3 & 4 (Sections: 3.8-3.9, 4.8-4.11)
Gujarati, Chapter 6 & 8

1. *Lecture overhead #6 (updated, 14/11/07)
2. *Lecture overhead #7

 1, 2

9

 

MIDTERM EXAM

    

10

 

 

8. Dummy Variables

Maddala, Chapter 8 (Sections: 8.1-4.3,8.5)
Gujarati, Chapter 9

 

 1. *Lecture overhead #8 1

11

 

 

9. Multicollinearity

Maddala, Chapter 7
Gujarati,  Chapter 10

1. *Lecture overhead #9

 1

12

 

 

10. Heteroscedasticity

Maddala, Chapter 5
Gujarati,  Chapter 11

 1. *Lecture overhead #10 1

13

 

 

Heteroscedasticity (continued)

 Maddala, Chapter 5
Gujarati,  Chapter 11

    

14

 

 11. Serial-correlation (Autocorrelation)

Maddala, Chapter 5
Gujarati, Chapter 12

 1. *Lecture overhead #11 1

16

 

Final Exam

    

 

Statistical Tables

Areas under the standard normal curve
 t-statistics Table
 F-statistics Table
Chi-Square Table
 Durbin-Watson "d" statistic

 

 

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to contact me:

Department of Economics
Eastern Mediterranean University
Gazimagusa
Turkish Republic of North Cyprus
Phone: +90 392 630 1548  (Internal: 1548)
Fax: +90 392 365 1017
Email: mehmet.balcilar@emu.edu.tr
Web site: http://www.mbalcilar.net

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