I just posted your grades. You should also receive an
email from me with feedback on your course project.
Thank you once again for a wonderful summer.
Thank you for taking an interest in the subject matter.
I enjoyed working with you all.
And I wish you all the best of luck in your future endeavors.
- Eryk Wdowiak
BLS Employment Status by State
(posted: 10 August 2017)
Several of you expressed interest in working with the
state-level employment rates
that the US Bureau of Labor Statistics publishes.
I have reformatted the data into CSV files that you
can easily import into Gretl. Most of you will want the
Nonetheless, I have also prepared the
(posted: 28 July 2017)
we set the following submission schedule:
As discussed in class, I would like you to think of the
midterm and final exams as note-taking exercises.
And I would like you to think of the course project as your
opportunity to learn econometrics by doing it.
For the project proposal,
please submit a written description of:
the null hypothesis that you wish to test
the dataset that you plan to test it with
For the final project,
please submit a formal paper, in which you describe:
the null hypothesis that you tested
the dataset that you tested it with
how you manipulated the data
the regressions that you ran
your conclusion: should we accept or reject the null hypothesis?
Assembling a dataset will be your most difficult task,
so I want you to help each other.
Please share your data with your classmates and
let's discuss it in workshop sessions.
I hope this project will help you learn econometrics.
The Next Two Weeks
(corrected: 30 July 2017)
During the remaining two and a half weeks, I want you to spend most
of your time constructing datasets and testing null hypotheses.
During that time, we must also discuss two more theoretical components,
but you learn econometrics by doing it (not by reading about it).
The two theoretical topics that we must discuss are
probability models and
My current plan is to discuss probability models
and probit models),
with you on Tues 01 Aug and to discuss time-series
with you on Thurs 03 Aug and Mon 07 Aug.
The remaining sessions will be workshop sessions.
To prepare for our discussion of probability models,
please read Stock-Watson chap. 9 and Kennedy chap. 16.
And to prepare for our discussion of time-series,
please read Stock-Watson chaps. 12, 13 and 14 and
Kennedy chaps. 10 and 19.
But most importantly, I want you to construct a dataset and
test a null hypothesis. That is how you will learn econometrics.
So please spend most of your time thinking about what null hypothesis
you would like to test. And please look for data to test that
(posted: 22 July 2017)
As discussed in class, I would like you to submit your answers to the
midterm exam questions on
Thurs. 27 July.
When I review your answers, what I will want to see is that you have
learned regression analysis. If it helps, you may think of
this assignment as an opportunity to develop a set of notes for
And in developing your own notes on regression analysis,
please remember that the
will help you understand the topic. And please remember that
my notes and my wxMaxima notebooks in
lec. 1, lec. 2 and
lec. 3 will help you understand the
Week of July 24-27
(posted: 22 July 2017)
This week, I would like to continue working with you on datasets.
Specifically, I would like to introduce the
We will test the same null hypothesis, but with a richer dataset.
It contains more variables and more detailed variables (than the
On the theoretical side, we will also discuss
panel data and
To prepare for our discussion of panel data,
please read Stock-Watson chap. 8 and Kennedy chap. 18.
To prepare for our discussion of heteroskedascity,
please read Kennedy chap 8.
Week of July 17-20
(posted: 16 July 2017)
This week, we must continue our dicussion of
econometric theory, but I must also provide you with
practical examples of that theory. The difficult task
for me will be to find the right balance.
The theoretical topics that I would like to discuss are:
maximum likelihood and the
For background, please read Kennedy chaps. 1-7.
You will enjoy the Kennedy's Guide. It will help you
develop an intuitive understanding of econometrics.
To provide you with a practical example of how we use this theory,
I would like to measure the effect that the
had on Italian employment rates.
My plan is to start the week by defining the null hypothesis that we will test:
the null hypothesis that the "Biagi Law" did not affect the employment rate.
Then I would like to explain hypothesis testing and the role that the normality assumption
plays in our hypothesis tests. At the end of the week, I would like to show you how we
manipulate the "Biagi Law" data, so that we can perform a proper set of hypothesis tests.
On Mon. 17 July, I would like to start with a brief discussion of the "Biagi Law"
and develop the null hypothesis that we will test.
Then I would like to provide some examples of hypothesis testing
and discuss the way we use hypothesis testing in econometrics.
Specifically, I would like to
compare two proportions.
Then I would like to use the
of beta hat in an explanation of t-tests of regression coefficients.
Finally, I would like to discuss the relationship between
On Tues. 18 July,
I want to show you that our estimate of the standard error
reflects our assumption that the residuals are normally distributed
(with mean zero and constant variance).
I will show this to you within the context of problems #2 and #3 of the
On Wed. 19 July,
I would like to review the Gauss-Markov assumptions and
show you how the "Biagi Law" dataset violates those assumptions.
Then I would like to show you how we can manipulate the data,
so that it satisfies the Gauss-Markov assumptions.
On Thurs. 20 July,
I would like to explore the "Biagi Law" dataset with you in class.
The session will be a "lab session," so if possible,
please bring a laptop computer to Thursday's session.
(posted: 07 July 2017)
To prepare for class next week, please read chaps. 1-5 in the Stock-Watson textbook
and the minimum wage and monopsonist problem.
During the week, I plan to cover problem #4 of the
problem set as an in-class exercise.
And time-permitting, we may also cover problem #1.
Have a great weekend!
Welcome to Econometrics
(posted: 06 July 2017)
Welcome to the course website. This site helps me organize the course.
I hope you find it helpful.
I have posted a copy of the
Please review it and please look at the notes and course materials
that I have posted below. I have also prepared a
problem set for you.
We will discuss the solutions to these problems in class.
Please acquire a copy of the
Stock and Watson textbook and the
Kennedy textbook as soon as possible.
To begin the course, I would like to start with a review of
statistics and probability, so please read
chaps. 1, 2 and 3 in the Stock and Watson textbook
before our next class session. To refresh your memory of statistics,
you may want to look at my
You must do econometrics to learn econometrics. A textbook is
helpful, but not sufficient. To learn econometrics, you must
actively explore a dataset.
The best dataset to give you is the dataset that I am most
passionate about. I want to know how employment protections affect
the employment opportunities available to workers.
This is a personal issue for me, but it's also an issue that affects
you, your family and your friends, so together let's explore the data
and find out how labor law shapes the career opportunities available
So as a starting point for discussion and as an introduction to
econometrics, please read my
"Analysis of the 'Biagi Law.'"
It tests an important null hypothesis and the dataset that the paper
explores is one of the datasets that we will explore together this
Then to place the discussion in an American context, please read
John Schmitt's (2013) paper on why the
minimum wage has no discernible effect on employment.
Having identified an avenue of inquiry, we must place it in a
theoretical context to, so please read the
wikipedia article on the minimum wage
and please study my "minimum wage
and the monopsonist" problem.
With theory and data in hand, we will then test the null hypothesis
that the minimum wage does not have a significant effect on
To conduct a statistical analysis (like the one just described),
you will need to install a few (open source)
statistical and mathematical software programs on your computer.
is a great statistical software package for learning econometrics.
It has an simple interface and ships with sample datasets.
It's a great learning tool and I highly recommend it.
As you get better at data analysis, you will want a
more flexible tool. I use the
which (as the name suggests) is a programming language.
For mathematics, I use
which provides a graphical interface to
a computer algebra system that specializes in symbolic operations
(as opposed to numerical computing).
Over the course of the semester, I will provide datasets for you
to work with in Gretl. I will avoid asking you to write your own
computer code, but to push you in the right direction,
I will provide R scripts and wxMaxima notebooks for you to review
(and tinker with).
take your time
Finally, please remember that we will cover these topics
over the course of the semester. So please begin reading,
but please do not rush through the reading. Take the time
to understand what you are reading. And enjoy it because
econometrics is a lot of fun.
I'm looking forward to working with you this semester.