econometrics presentation

Aaron Smith

Chapter 1 - introduction to econometrics.

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Learning Objectives

• Define and describe the basics of econometrics
• Describe how to do an econometric study
• Do Good Teachers Produce Better Student Outcomes?
• Does the Law of Demand Hold for Electricity?
• Is it Possible to Forecast Stock Returns?

What We Learned

• Econometrics is about making sense of economic data.
• Three steps to conducting econometric analysis. (1) State the purpose of the analysis, (2) Formulate the research design and specify the econometric model, (3) Apply statistical theory.

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ECONOMETRICS Chapter # 1: Introduction Domodar N. Gujarati

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Presentation on theme: "ECONOMETRICS Chapter # 1: Introduction Domodar N. Gujarati"— Presentation transcript:

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Econometrics I

Class Notes

Professor W. Greene Department of Economics Office: MEC 7-90, Ph. 998-0876 e-mail: [email protected] Home page: http://people.stern.nyu.edu/wgreene

Abstract: This is an intermediate level, Ph.D. course in Applied Econometrics . Topics to be studied include specification, estimation, and inference in the context of models that include then extend beyond the standard linear multiple regression framework. After a review of the linear model, we will develop the asymptotic distribution theory necessary for analysis of generalized linear and nonlinear models. We will then turn to instrumental variables, maximum likelihood, generalized method of moments (GMM), and two step estimation methods. Inference techniques used in the linear regression framework such as t and F tests will be extended to include Wald, Lagrange multiplier and likelihood ratio and tests for nonnested hypotheses such as the Hausman specification test. Specific modelling frameworks will include the linear regression model and extensions to models for panel data, multiple equation models, and models for discrete choice.

Notes: The following list points to the class discussion notes for Econometrics I. These are Power Point (.pptx) files and pdf documents (.pdf).

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Lecture notes by Victor Chernozhukov (MIT) and Ivan Fernandez-Val (BU).

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Introduction to Econometrics

Aug 10, 2012

850 likes | 2.55k Views

Introduction to Econometrics. Lecture 1 Introduction and overview of the course Definition, scope and methodology of econometrics A review of the simple (bivariate) linear regression model. Objectives. To provide you with information about

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Presentation Transcript

Introduction to Econometrics Lecture 1 Introduction and overview of the course Definition, scope and methodology of econometrics A review of the simple (bivariate) linear regression model

Objectives To provide you with information about the subject of econometrics and the topics that we shall cover in the unit the learning teaching and assessment arrangements for the unit To review the simple bivariate linear regression model

Learning and Teaching Lectures and accompanying notes Problems classes (seminars) Computer lab sessions Office hours and “econometrics café” sessions Text books Web pages and links the econmet wiki One minute e-mail and FAQs

Recommended texts Dougherty, C (2007) Introduction to Econometrics, Third Edition, OUP Gujarati, D N and Porter, DC (2009) Basic Econometrics, Fifth Edition, McGraw-Hill Kennedy, P (2003) A Guide to Econometrics, Fifth Edition, Blackwell Koop, G (2008) Introduction to Econometrics, John Wiley & Sons and others available in the Library in section 330.0182

Computer software for the lab classes The regression tool in Excel PcGive EViews

assessment end of unit exam (50% weighting) portfolio of practical solutions (20% weighting) assignment/report (30% weighting)

econometrics The measurement of economic relationships

econometrics “the application of mathematical statistics to economic data to lend empirical support to models constructed by mathematical economics and to obtain numerical estimates” (Samuelson et al., Econometrica, 1954)

aims of econometric modelling explanation policy evaluation forecasting

types of data cross-section time-series panel

types of model simple bivariate linear non-linear bivariate multiple regression dynamic simultaneous equation other (e.g. logit and probit) panel

Example: sales-advertising relationship suppose we wish to test the hypothesis that a firm’s sales are dependent upon it’s advertising the simplest model is sales = a + b*advertising + u where a and b are parameters to be estimated, u is an unobservable error term - a random disturbance this is an example of a simple bivariate regression model

sales and advertising time series plot

sales and advertising scatter diagram

general notation for the simple bivariate linear model for i = 1,2,…….n With time series data we tend use t rather than i as the subscript and T as the sample size

model specification the equation(s) – variables and functional form a priori restrictions on parameters stochastic assumptions (assumptions about the disturbance term)

assumptions about u mean zero constant variance independent between observations independent of the X variable

The role of the disturbance term Reasons for the disturbance omitted influences on Y errors of measurement errors in variables non-linearity random nature of human behaviour

Econometric “problems” Reasons for the disturbance autocorrelation heteroskedasticity bias multicollinearity

Plant X Y FITTED Y 1 100 40 42.32 2 200 50 48.21 3 300 50 54.11 4 400 70 60.00 5 500 65 65.89 6 600 65 71.79 7 700 80 77.68 The unlikely case of control over sample design

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Introduction to Econometrics. To allow for random disturbances, we must write the model as Y = b 0 + b 1 X + u , where u is a disturbance term with E(u) = 0.

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• Economics Seminar Series presents Joanna Lahey, Texas A&M University

Economics Seminar Series

 Joanna Lahey, Texas A&M University

Joanna Lahey, Texas A&M University

(with marianne wanamaker), presentation title: "effects of restrictive abortion legislation on cohort mortality: evidence from 19th century law variation".

Permissive abortion policy is thought to improve the average well-being of children ever born, as evidenced by recent studies based on 20th century US data. Using 19th century restrictive abortion policy, we demonstrate a more nuanced relationship between policy and child well-being. Despite increased birth rates among abortion-restricted cohorts, we find little evidence of changes in well-being at birth through the standard channel of child selection, consistent with predictions from a generalized model. However, children in these larger cohorts were far more susceptible to mortality from infectious disease throughout childhood, implying different mechanisms linking abortion policy to child well-being.

DATE: Friday, September 8, 2023

TIME: 3:30-5:00 p.m.

LOCATION: Fronczak 444

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WSU leaders give presentation on endowments and investing strategies

Leaders from the WSU Foundation and the university’s Finance and Administration team provided an overview of investments and endowments during a livestreamed presentation Wednesday afternoon.

Explanations of how endowments function, the different investing strategies the foundation and the university follow, and the tools used to maximize returns for the benefit of students and the wider university community were discussed by WSU Foundation President Mike Connell and Vice President for Finance and Administration Leslie Brunelli.

The complete presentation is available to watch online .

Central to the discussion was the distinction between the WSU Foundation and the university itself. While the former does support the latter, it was established long after the university and is responsible for investing private donations and funds that don’t include student tuition or state tax dollars.

The WSU Foundation manages approximately $722 million spread across more than 2,900 endowment accounts. The vast majority of that funding comes from private donors seeking to support a specific cause, such as scholarships for students, endowed faculty or deanships, as well as specific programs and activities.

When a donation is made, the foundation enters into agreement with the donor to invest the funds and use revenue generated in support of the agreed upon cause, Connell explained. On average, 4% of the endowment total is distributed each year. That amounted to $27 million in endowment distributions from the Foundation in fiscal year 2024.

The WSU Foundation uses an outside firm, Mercer, to assess the best way to allocate its funds. The largest portion of its funds, about 23%, are in U.S. equities, while significant portions are invested in private and international equities as well as hedge funds and real assets.

The Foundation does not purchase shares in individual companies. Rather, fund managers working on behalf of the university use tools like index funds to diversify investments in pursuit of maximized returns while minimizing risk. As an example, Connell noted that Mercer couldn’t provide WSU a figure on how much of the Foundation’s funds are invested in fossil fuels, but it can give an assessment in terms of the energy sector, amounting to 6-7 percent of the total endowment. And that figure include fossil fuel companies as well as companies working on green energy.  

Brunelli noted that the university itself, meanwhile, invests some tuition dollars as well as funding from the state as its able. State law restricts the investment of these funds by separate 501c3 organizations like the WSU Foundation. Tuition and state funding are invested on behalf of WSU by the state’s treasurer’s office, with priority given to managing liquidity to ensure the university can pay its bills. Because of this, the university takes a more short-term and risk-adverse position compared to the foundation, Brunelli said.

As WSU and institutions of higher education continue to grapple with rising costs, Brunelli noted that private support and its facilitation by the foundation will be even more critical moving forward to ensure the long-term health of the institution.

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The vice president’s remarks lasted roughly 35 minutes on the final night of the convention in Chicago.

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This is a transcript of Vice President Kamala Harris’s speech on Thursday night in which she formally accepted the Democratic Party’s nomination for the presidency.

OK, let’s get to business. Let’s get to business. All right.

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