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ECON6090
Introductory Econometrics
Fall 2009
Class Resources
Syllabus (Adobe Format) [Updated: August 21]
Text Book's Website
Twitter
Previous Semesters
Fall 2008
Fall 2007
Lecture Notes [posted with a lag]
To view the type-set notes you will need Adobe Acrobat Reader and the class password
Introduction [posted: August 27]
Statistics Review [posted Sept. 8]
Simple Regression Model [posted Sept. 16]
Matrix Algebra Review [posted Sept. 16]
Classical Regression Model [posted Sept. 23]
Hypothesis Testing [posted Sept. 30]
Functional Forms and Dummy Variables [posted Oct. 13]
Possible Problems in Regression [posted Oct. 29]
Generalized Least Squares [posted Nov. 4]
Heteroscedasticity [posted Nov. 4]
Time Series Introduction [posted Nov. 12]
Autocorrelation [posted Nov. 20]
Granger Causality and ARCH [posted Nov. 20]
Maximum Likelihood
Limited Dependent Variables
Stochastic Regressors
Practitioner's Handbook
Exam Resources
Sample Midterm Exam [Answers not provided]
Sample Final Exam [Ignore Q10 and Q11. Answers not provided]
In-Class Handouts and Example Datasets
On Saving STATA Data Files: Right click, save as .
County Crime Rates (STATA file)
URL: http://depkendata.googlepages.com/countycrime1.dta
Student Spending 2002-2003 (Stata file)
URL: http://depkendata.googlepages.com/spending0203.dta
Wage data (Stata file) [Note: STATA Small will not read entire file]
URL: http://depkendata.googlepages.com/wages.dta
Wage data (Stata Small file)
URL: http://depkendata.googlepages.com/wage-small.dta
2005 Top Book Sales
URL: http://depkendata.googlepages.com/booksales2005.dta
CAPM data used in notes
URL: http://depkendata.googlepages.com/capmdata.dta
International Software Piracy
URL: http://depkendata.googlepages.com/intpiracy.dta
U.S. Software Piracy
URL: http://depkendata.googlepages.com/piracydata.dta
Baseball and Football data
URL: http://depkendata.googlepages.com/sportsdata1.dta
U.S. Gasoline Prices
URL: http://depkendata.googlepages.com/gasprices1.dta
U.S. Petroleum Prices
URL: http://depkendata.googlepages.com/petroleum2.dta
Canadian Housing Prices
URL: http://depkendata.googlepages.com/housing1.dta
Arlington Housing Prices
URL: http://depkendata.googlepages.com/arlington.dta
Production Function Data (Hildebrand and Liu, 1957)
URL: http://depkendata.googlepages.com/sci33data.dta
Home Depot Sales and Size Data
URL: http://depkendata.googlepages.com/homedepot.dta
1998 Carnegie I Library Staff Data
URL: http://depkendata.googlepages.com/libstaff98.dta
Original Data Source from NCES
Female wages [borrowed from Woolridge Ch. 15]
URL: http://depkendata.googlepages.com/mroz.dta
Smoking and birth weight [borrowed from Woolridge Ch. 15]
URL: http://depkendata.googlepages.com/bwght.dta
Baseball Demand Data (used in heteroscedasticity example)
URL: http://depkendata.googlepages.com/baseballdemand.dta
1906 Two Gallon Automobile Contest
URL: http://depkendata.googlepages.com/1906-two-gallon-test.dta
1906 Car Registrations
URL: http://depkendata.googlepages.com/1906cars.dta
Business/Macro Data for Granger Causality Tests
URL: http://depkendata.googlepages.com/bizdata.dta
Gas Prices (used in autocorrelation example)
URL: http://depkendata.googlepages.com/gasprices.dta
Presidential Approval Ratings (used in autocorrelation example)
URL: http://depkendata.googlepages.com/gelpi-gallup.dta
U.S. Quarterly Macro Data
URL: http://depkendata.googlepages.com/us-macro-quarterly.dta
Chicken and Egg Data
URL: http://depkendata.googlepages.com/eggs.dta
Dow Data (for ARCH/GARCH)
URL: http://depkendata.googlepages.com/dowdata.dta
GM data (for ARCH/GARCH)
URL: http://depkendata.googlepages.com/gm.dta
Homework and STATA Resources
Order Stata Small here [Course ID: CDMET9]
Helpful Stata links and tips
Demonstration Video (AVI format)
Demonstration Video (wmv format)
Homework #1: Statistics Review [Due September 15]
Homework Questions
Stata data file [http://depkendata.googlepages.com/sp500.dta]
ASCII data file [http://depkendata.googlepages.com/sp500.csv]
Suggested Answers
Homework #2: Simple Regression [Due September 29]
Homework Questions
Stata data file [http://depkendata.googlepages.com/ceodata.dta]
ASCII data file [http://depkendata.googlepages.com/ceodata.csv]
Suggested Answers
Homework #3: Multiple Regression [Due October 20]
Homework Questions
"Wage Disparity and Team Performance: Evidence from Major League Baseball"
Stata data file [http://depkendata.googlepages.com/nbasal.dta]
ASCII data file [http://depkendata.googlepages.com/nbasal.csv]
Variable Definitions [http://depkendata.googlepages.com/nbasal.var]
Suggested Answers [Posted October 29]
Ungraded Project: Functional Forms
Questions
Stata data file [http://depkendata.googlepages.com/meat.dta]
ASCII data file [http://depkendata.googlepages.com/meat.csv]
Variable Definitions
Suggested Answers [Posted Oct. 13]
Ungraded Project: Dummy Variables and Functional Forms
Questions
Stata data file [http://depkendata.googlepages.com/labordata1.dta]
ASCII data file [http://depkendata.googlepages.com/laborata1.csv]
Suggested Answers [Posted Oct. 13]
Homework #4: Heteroscedasticity [Due November 16]
Homework Questions
Stata data file [http://depkendata.googlepages.com/arlington.dta]
ASCII data file [http://depkendata.googlepages.com/arlington.csv]
Suggested Answers
Homework #5: Time Series I [Due November 24]
Homework Questions
Stata data file [http://depkendata.googlepages.com/phillips.dta]
ASCII data file [http://depkendata.googlepages.com/phillips.csv]
Suggested Answers
Projects
Some Guidelines for a Paper (Adobe format)
Some paper ideas
Additional Readings
Section 1
John Siegfried "A First Lesson in Econometrics"
Richard Pollard "Evidence of a reduced home advantage..."
Section 2
Joan Box "Guinness, Gosset, Fisher, and Small Samples"
Discussions on Distributions
Section 3
Gelman and Stern on Statistical Significance
McCloskey and Ziliak on Economic Significance
Book Review of McCloskey and Ziliak's Cult of Significance
Book Review of Rebonato's The Failure of the Fortune Tellers
Special Issue of Journal of Socio-Economics on Statistical Significance
Jennifer Ashcraft and Craig Depken "The Introduction of the Reserve Clause in Major
League Baseball: Evidence of its Impact on Select
Player Salaries During the 1880s"
Craig Depken "A Measure of Bias in Campaign Fund-Raising for the 1996
Congressional Elections"
Section 5
Preston McAfee "What is Pr{Z>20}?"
Book Review of McCloskey and Ziliak's Cult of Significance
Book Review of Rebonato's The Failure of the Fortune Tellers
Section 6
Gregory Chow "Tests of Equality Between Sets of Coefficients in Two Linear Regressions"
Section 7
Section 8
Section 9
Section 10
Stephen M. Goldfeld and Richard E. Quandt "Some Tests for Homoscedasticity"
Section 11
Grayham E. Mizon "A simple message for autocorrelation correctors: Don't"
Section 12
Section 13
Walter N. Thurman and Mark E. Fisher "Chickens, Eggs, and Causality, or Which Came First?
Erdal Atukeren "Christmas cards, Easter bunnies, and Granger-causality"
Craig Depken "Good News, Bad News and GARCH Effects in Stock Return Data"
Additional Papers of Interest
E.J. Working "What Do Statistical "Demand Curves" Show?"
E.J. Working "Demand Studies During Times of Rapid Economic Change"
Econometrics Links
Some easy-to-read econometrics papers:
"Symposium on Econometrics Tools," Alan Kreuger
"Customer Racial Discimination in the Market for Baseball Memorabilia," Clark Nardinelli and Curtis Simon
"Reverse Regression, Collinearity, and Employment Discrimination," Mary Whiteside and A. Narayanan
"The Assumptions of Linear Regression," R.G.D. Allen
"The Wheat Supply Function," B.J. Bowden
"Do Students Go to Class? Should They," David Romer
"Customer-based discrimination against major
league baseball players: Additional evidence
from All-star ballots," Craig Depken and Jon Ford
Franklin G. Mixon, Jr, and Len J. Trevino "From kickoff to commencement: the positive role of intercollegiate athletics in higher education"
Papers published with graduate/undergraduate students:
"Luck of the Texan" published in Journal of Gambling Business and Economics
"The impact of the Sarbanes-Oxley Act: early evidence from earnings management" published in Applied Economics Letters
"Social construct and the propensity for software piracy" published in Applied Economics Letters
"Spillovers from the Gridiron" with Courtney Williams, UNCC MS Math Finance student (revision requested from International Journal of Sport Finance)
"Auction Characteristics, Seller Reputation, and Closing Prices: Evidence from eBay Sales of the iPhone"
with Math Finance student Brandon Gregorius (revised submission at International Journal of Electronic Business)
"Adverse Selection and Reputation in a World of Cheap Talk" with UTA PhD student
with Zhang Ying (revised submission at Quarterly Review of Economics and Finance)
Peer Effects in Team Sports: Empirical Evidence from NCAA Relay Teams
with UTA MA Economics Student Lisa Haglund (under revised submission Journal of Sports Economics)
The Introduction of the Reserve Clause in Major League Baseball: Evidence of its Impact on Select Player Salaries During the 1880s
with UTA Economics student Jennifer K. Ashcraft (under submission at Southern Economic Journal)
"Agency Costs, Executive Compensation and External Monitoring: A Stochastic Frontier Approach"
with UTA PhD student Giao Nguyen and Salil Sarkar (being revised/updated)
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Dr. Craig A. Depken, II