University of California
Department of Economics
Doug Steigerwald
Introduction to Probability and Statistics for Econometrics
Economics 240A
Course Goals:
To provide training in probability and statistics, with special focus on the definition of
endogeneity and other topics that arise in econometrics.
Course Structure:
Meetings: TR 2:00-3:15 in South Hall 1430
Course Begins: Thursday, September 24
Course Concludes: Friday, December 4
Final Examination: Tuesday, December 8, 4:00-7:00
My Office Hours: Monday 3:30 – 5:00
Teaching Assistant: Lucas Reddinger
Requirements:
Analytic and Computational Exercises (20%): Certain classes have analytic exercises to
sharpen your skills, and computational exercises that allow you to develop best practices
for the topics covered (you will program in Matlab). You will turn in a hard copy of your
analytic answers and an electronic copy of your program (you will also select a member
of your class to present the computational results in a class slot of 15 minutes), due one
week after the assignment of each exercise (the assignment dates appear below). All
assignments can be accessed from the syllabus.
Midterm Examination (30%)
Final Examination (50%) 2012 Final Examination
Readings:
Principal readings come from
G. Casella and R. Berger, Statistical Inference, Duxbury, 2002.
Other texts that may provide useful readings
B. Hansen, Econometrics, available online, 2015.
Access to articles: Most articles are available through library. To access readings through
this link when away from campus, refer to configure to configure your computer.
Economics 240A
Syllabus
Page 2
Course Schedule
Exercises
Thursday:
Probability: Probability Assignment
Casella and Berger: 1.1-1.2
2009 “The Coin Flip: A Fundamentally Unfair Proposition?” Coding the Wheel.com.
Tuesday:
Probability: Conditional Probability and Bayes Rule
Casella and Berger: 1.3
Exercise 1 Assigned
Thursday:
Probability: Random Variables and Distributions
Casella and Berger: 1.4-1.6
Tuesday:
Probability: Variance and Covariance
Casella and Berger: 2.2-2.3, 4.5
Exercise 2 Assigned
Thursday:
Probability: Stochastic Models
Casella and Berger: 11.1
Tuesday:
Probability to Statistics: When is a Regression Valid? Identification
Casella and Berger: 11.2
Exercise 3 Assigned
2010 “How Allies Used Math Against German Tanks” Wired.com.
Richard Ruggles - Military Espionage
Thursday:
Statistics: Estimation : Method of Moments
Casella and Berger: 7.2.1
Gu, B. and K. Roy 1995 “Sex Ratio at Birth in China, with Reference to Other Areas in East Asia: What We
Know" Asia-Pacific Population Journal 10, 17-42. Gu and Roy
Tuesday:
Statistics: Estimation : Least Squares
Casella and Berger: 11.3
Exercise 4 Assigned
Betts, J. and D. Morrell 1999 “The Determinants of Undergraduate Grade Point Average" Journal of Human
Resources 34, 268-293.
Thursday:
Statistics: Exogeneity
Casella and Berger: 12.1
Tuesday:
Statistics: Stronger Exogeneity Assumptions
Casella and Berger: 12.2
Exercise 5 Assigned
Thursday, October 29:
Midterm
Economics 240A
Syllabus
Page 3
Tuesday:
Statistics: Estimator Bias
Casella and Berger: 7.3.1
Exercise 6 Assigned
Thursday:
Statistics: Estimator Variance
Casella and Berger: 7.3.2
Tuesday:
Statistics: Estimator Mean-Squared Error
Casella and Berger: 7.3.3
Exercise 7 Assigned
Thursday:
Statistics: Estimator Distribution
Casella and Berger: 7.3.4
Tuesday, November 17:
Statistics: Estimator Consistency
Casella and Berger: 10.1
Exercise 8 Assigned Exercise 8 Data Set
Tuesday (during section):
Statistics: Variance Estimation
Casella and Berger: 9.1
Charness, G. and P. Kuhn 2007 “Does Pay Inequality Affect Worker Effort? Experimental Evidence" Journal
of Labor Economics 25, 693-723.
Thursday, November 19:
Statistics: Confidence Intervals
Casella and Berger: 9.2
Tuesday, December 1:
Statistics: Hypothesis Testing
Casella and Berger: 8.1-8.2
Exercise 9 Assigned
2012 “Benford's Law” DataGenetics .com.
Thursday:
Statistics: Size and Power
Casella and Berger: 8.3