Course page for Part Two of Quantitative Methods II (EC2203) - Econometrics

This page will be updated as the course progresses

Course Guides

QMII Course Outline
How to use Stata
A Guide to Getting Started on Empirical Work

Lecture Handouts


Lectures 1: Introduction to OLS

  • Introduction
  • Deriving OLS Estimates: Handout
  • Deriving OLS Estimate: Lecture Slides (powerpoint)
  • Consumption Function Data
  • QM2 Marks Data

    For the stata files you will have to download the file and unzip before use. Right click, choose the "save link as" option and extract the file to the disk space of your choice)


    Data sets are in Stata format, (the name of the file is in brackets), but also zipped. You will have to download them and unzip them before use. Right click, choose the "open" option and extract the stata file to the disk space of your choice)


    Lecture 2: Principles of OLS

  • Properties of Ordinary Least Sqaures: Lecture Slides (powerpoint)
  • Stata commands file (stata_commands_l3.do)

    Lecture 3: Goodness of Fit & Properties of OLS Regression Coeffciients

  • Properties of Least Sqaures Regression Coefficients: Lecture Slides (powerpoint)

    Lectures 4 & 5 & 6: Hypothesis Testing

  • Hypothesis Testing (lecture handout)
  • Hypothesis Testing (overhead slides)

    Lectures 7, 8 & 9: Functional Form

  • Functional Form (lecture overheads)
  • Functional Form (lecture handout)
  • Stata commands file (stata_commands_L7.zip)
  • Food Expenditure Data
  • UK GDP Time Series Data
  • Boxcox example Data (boxcox.dta)
  • Functional Form example 1
  • Functional Form example 2

    Lectures 9, 10 & 11: Multiple Regression Analysis

  • Multiple Regression Analysis (overhead slides)
  • Multiple Regression Analysis (Lecture handout)
  • Production Function Data (prodfn.dta)
  • Cost Function Data (costs.dta)
  • Lecture 10 Stata commands file (stata_commands_L9.zip)

    Lectures 12 & 13: Specification and Dummy Variable Analysis

  • Getting the Model Specification Right (lecture overheads)
  • Food Expenditure Data (food.zip) - Functional form
  • Smoking Data (smoke.zip) - Irrelevant Variables
  • House Price Data (olympics.dta) - Difference-in-Difference
  • Road Accident Data (accidents.dta) - Seasonality
  • Lecture 12 Stata commands file (stata_commands_L12.zip)

    Lecture 14 Measurement Error

  • Lecture 13_measurement error.pdf (lecture overheads)
  • Measurement Error Test Data

    Lecture 15 IV Estimation & Simultaneity

  • Endogeneity & Simultaneous Equations (lecture overheads)
  • UK Inflation, Productivity & Earnings Data
  • Lecture 14 Stata commands file (stata_commands_L14.zip)
  • Poor Instrument Data, (video.dta)
  • Lecture 15 Stata commands file (stata_commands_L15.zip)

    Lecture 16: Autocorrelation

  • Autocorrelation (lecture overheads)
  • UK GDP Data
  • US GDP Data
  • UK Balance of Trade Data
  • Lecture Stata commands file (stata_commands_L16.zip)

    Lectures 17 & 18: Dynamic Models

  • Dynamic Models (lecture overheads)
  • Dynamic Models (lecture handout)
  • UK House Price Data
  • Lecture Stata commands file (stata_commands_L18.zip)

    Lecture 19: Heteroskedasticty

  • Heteroskedasticity (overheads)
  • Heteroskedasticity (handout)
  • Lecture 15 Stata commands file (stata_commands_L19.zip)

    Lecture 20: Panel Data

  • Panel Data (overhead)
  • Panel Data (handout)
  • Firm-Level Panel Data (panel2.dta)
  • Lecture 20 Stata commands file (stata_commands_L20.zip)

    Problem Sets

  • Problem Set 0
  • Problem Set 1
  • Problem Set 2
  • Problem Set 3
  • Problem Set 4
  • Problem Set 5
  • Problem Set 6
  • Problem Set 7

    Problem Set Data

  • Problem Set 4 Prisoners Data (prisons.dta)
  • Problem Set 4 Wage Data (ps4data.dta)
  • Problem Set 4 GDP Data (gdpuk_ps4.dta)
  • Problem Set 5 Data (miles.dta)
  • Problem Set 5 Data (costs.dta)
  • Problem set 6 data:incinerator
  • Problem set 6 data:Lone Parents
  • School Data for Problem Set 7 (school.dta)
  • Farm Data for Problem Set 7 (farms.dta)
  • Demand & Supply Data for Problem Set 7 (demsupp.dta)
  • Investment Data for Problem Set 8 (invest.dta)
  • Unemployment Data for Problem Set 8 (uv.dta)
  • Problem Set 8 Data (demand.dta)
  • Problem Set 8 Data (stationary.dta)
  • Problem Set 9 Data (hetdat2.dta)
  • Problem Set 9 Data (hetwage.dta)
  • Problem Set 10 Data (e11panel.dta)

    Answers to Problem Sets

  • Problem Set 0 Answers
  • Problem Set 1 Answers
  • Problem Set 2 Answers
  • Problem Set 3 Answers
  • Problem Set 4 Answers
  • Problem Set 5 Answers
  • Problem Set 6 Answers
  • Problem Set 7 Answers
  • Problem Set 8 Answers
  • Problem Set 9 Answers
  • Problem Set 10 Answers

    Project

  • What is Expected/What to do
  • GHS cross-section household survey data
  • FES Household expenditure survey data
  • Project Answer Key 2008/9

    Mid-Term Tests

  • Mid-Term Formulae Sheet
  • Mid-Term 3 2004 Answers
  • Mid-Term 4 2003 Test
  • Mid-Term 4 2003 Answers
  • Mid-Term 4 2004 Test
  • Mid-Term 4 2004 Test & Answers

  • Mid-Term 3 2004/5 Test
  • Mid-Term 3 2004/5 Answers
  • Mid-Term 4 2004/5 Test
  • Mid-Term 4 2004/5 Answers

  • Mid-Term 3 2006/7 Answers
  • Mid-Term 2007/8 Answers
  • Mid-Term 2008/9 Answers
  • Mid-Term 2009/10 Answers