quangvanbui / introductory-econometrics

Comprehensive tutorial notes for ETC2410 Introductory Econometrics

ETC2410 Introductory Econometrics

An empirical analysis of relationships between economic variables

Chief Examiner: Prof. Farshid Vahid-Araghi

Introduction

One of the first subjects I taught as a teaching associate was for Monash University's Introductory Econometrics, a second year undergraduate course that covers the fundamentals of econometrics using EViews. Of the many important tips for first-time TAs, perhaps the most important was to be well-prepared before class (there is no substitute for preparation and I would even go as far as saying that first-time TAs should be over-prepared before class). A by-product of my preparation were tutorial notes that eventually became a core component of my tutorial delivery. This repository contains all my notes for ETC2410, which were refined over five semesters (2016 - 2018).

Who should use these notes?

These notes are designed for beginners. Though it is helpful to have a basic understanding of statistics, no knowledge of any statistical concept is assumed. It covers introductory concepts in econometrics including ordinary least squares, linear regression, hypothesis testing, heteroskedasticity and basic time-series modelling. Students taking ETC2410 and first-time TAs may benefit most.

Outline

• Week 1 - Introduction to EViews, Descriptive Analytics and Simple Linear Regression
• Week 2 - Data Types, Population vs. Sample, Point Estimates, Confidence Intervals, Log Transformation, Line Plots
• Week 3 - Covariance, Expected Value, Variance, Portfolio Diversification
• Week 4 - Regression with Matrix Notation, OLS Residuals, Conditional Expectation, OLS Estimator, Interpreting Coefficients, Dummy Variables, Linear Dependence of Matrix Columns, Column Space of Matrix
• Week 5 - Multiple Linear Regression, Interpreting Coefficients, R-squared
• Week 6 - T-test, Type I Error, F-test, Confidence Interval
• Week 7 - Level-Log Model, Test of Overall Significance, Test of Significance of Explanatory Variable, Test of Multiple Linear Restrictions, Reparameterisation
• Week 8 - Log and Quadratic Model, Dummy Variables, Conditional Expectation, Prediction Uncertainty, Prediction Interval
• Week 9 - Heteroskedasticity, Breusch-Pagan Test, White Test, WLS Estimator
• Week 10 - Time Series, Dummy Variables, Serial Correlation, Breusch-Godfrey Test
• Week 11 - AR Model, Correlogram, Stationarity, Breusch-Godfrey Test
• Week 12 - Adjusted R-Squared, AIC, BIC, ADL Model

Acknowledgement

The teachings and suggested tutorial solutions from subject Chief Examiner Prof. Farshid Vahid-Araghi were hugely influential when designing these notes. Books that have contributed include Introductory Econometrics by Jeffrey Wooldridge and Principles of Econometrics by Guay C. Lim, William Griffiths, Carter Hill.

Disclaimer: These are not official material that form part of the ETC2410 syllabus. They are my personal notes that I have shared as they will be more useful out in the world than hidden on my computer.