Lecture Slides

Note

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

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

Slides will be updated as we go along.

Weekly Schedule

Lecture Slides	Reading (Stock and Watson)
Week 1 slides	Chapters 2.1, 2.2, 2.5
Week 2 slides	Chapters 2.2, 2.4, 2.5, 2.6, 3.1, 3.2, 3.3, 3.4
Week 3 slides	Chapters 2.3, 3.7, 4.1, 4.2
Week 4 slides	Chapters 4.1, 4.2, Appendix 4.2
Week 5 slides	Chapters 4.3, 4.4, 4.5, Appendix 4.3, 5.2
Week 6 slides	Chapters 4.5, Appendix 4.3, 5.1, 5.2, 5.3, 5.5, and Appendix 5.1 (homoskedasticity part)
Week 7 slides	Chapters 5.4, 6.1, 6.2, 6.3, 6.4, and Appendix 6.1
Week 8 slides	Chapters 6.1, 6.5, 6.6, 6.7, 7.1, 7.2
Week 9 slides	Chapters 8.1, 8.2, 8.3, 8.4, and Appendix 6.3
Week 10 slides	Updated 3rd edition: 14.1, 14.2, 14.3 4th edition: 15.1, 15.3
Week 11 slides	Updated 3rd edition: 14.4, 14.6 4th edition: 15.2, 15.4, 15.7
Week 12 slides	Updated 3rd edition: 14.3, 14.4, 14.6, 14.7 4th edition: 15.3, 15.2, 15.4, 15.7, 15.8