Lecture Slides

Slides may be updated as we go along.

Note

All readings refer to the Stock and Watson textbook Introduction to Econometrics. You can use the updated 3rd edition or the 4th edition.

Notice that for weeks 1 through 9 the two editions of the textbook do not differ with regard to the textbook references. Beginning in week 10 (time series analysis) the updated 3rd edition and the 4th edition of the textbook have diverging chapter numbers (but I believe there is no substantive difference between the two edition other than the chapter numbering).

Acknowledgement

I am grateful to Alex Looi for his talented and diligent contribution to the lecture notes. Alex has written all the Python code throughout.

Week 1

• Course announcements

  Lecture slides
• Reading: Stock and Watson textbook chapters

  (updated 3rd, or 4th global editions):

  2.1, 2.2, 2.5

Week 2

• Course announcements
• Lecture slides
• Reading: Stock and Watson textbook chapters

  (updated 3rd, or 4th global editions):

  2.2, 2.4, 2.5, 2.6, 3.1, 3.2, 3.3, 3.4

Week 3

• Course announcements
• Lecture slides
• Reading: Stock and Watson textbook chapters

  (updated 3rd, or 4th global editions):

  2.3, 3.7, 4.1, 4.2

Week 4

• Course announcements
• Lecture slides
• Reading: Stock and Watson textbook chapters

  (updated 3rd, or 4th global editions):

  4.1, 4.2, Appendix 4.2

Week 5

• Lecture slides
• Reading: Stock and Watson textbook chapters

  (updated 3rd, or 4th global editions):

  4.3, 4.4, 4.5, Appendix 4.3, 5.2

Week 6

• Lecture slides
• Reading: Stock and Watson textbook chapters

  (updated 3rd, or 4th global editions):

  4.5, Appendix 4.3, 5.1, 5.2, 5.3, 5.5, and Appendix 5.1 (homoskedasticity part)

Week 7

• Lecture slides
• Reading: Stock and Watson textbook chapters

  (updated 3rd, or 4th global editions):

  5.4, 6.1, 6.2, 6.3, 6.4, and Appendix 6.1

Week 8

• Lecture slides
• Reading: Stock and Watson textbook chapters

  (updated 3rd, or 4th global editions):

  6.1, 6.5, 6.6, 6.7, 7.1, 7.2

Week 9

• Lecture slides
• Reading: Stock and Watson textbook chapters

  (updated 3rd, or 4th global editions):

  8.1, 8.2, 8.3, 8.4, and Appendix 6.3

Week 10

Warning

Textbooks editions start to differ from week 10 onwards!

• Lecture slides
• Reading: Stock and Watson textbook chapters:

  updated 3rd global edition: 14.1, 14.2, 14.3

  4th global edition: 15.1, 15.3

Week 11

• Lecture slides
• Reading: Stock and Watson textbook chapters:

  updated 3rd global edition: 14.4, 14.6

  4th global edition: 15.2, 15.4, 15.7

Week 12

• Lecture slides
• Reading: Stock and Watson textbook chapters:

  updated 3rd global edition: 14.3, 14.4, 14.6, 14.7

  4th global edition: 15.3, 15.2, 15.4, 15.7, 15.8