Introduction
Econometrics is about developing and quantifying statistical models to analyze empirical phenomena and test theories in economics or other fields of social sciences. Regression models are a fundamental tool for econometric analysis, which relate the outcome of a dependent variable to a number of explanatory variables. Within the domain of multivariate regression analysis, the linear regression model and its extensions are a class of versatile statistical models which can be applied to the analysis of both cross-sectional and time series data. This website provides self-contained material for learning the fundamentals of cross-sectional and time series regression analysis.
The files and videos on this website cover a two-semester BA level econometrics course which I have developed and taught from 2016 to 2021 at an international program at Corvinus University Budapest. Certainly there are many other online courses available about regression analysis as well as a variety of excellent textbooks and other printed and electronic material. Each of these courses and textbooks has its own distinctive style and choices as regards the teaching methodology adopted, the scope and depth of areas covered, the way of presenting mathematical and statistical concepts and formulas, special emphasis on certain topics, etc.
As for my choices in preparing the course material, I have relied on the following considerations:
- Provide a standard tool set for performing empirical analysis over a reasonably large variety of areas as well as solid foundations for studying more advanced, specialized topics in statistical analysis.
- Present the underlying statistical concepts in a formalized way which is compact and mathematically rigorous and which is also helpful for understanding the implications for applied econometric analysis.
- Put a special emphasis on discussing the criteria for statistically consistent estimation of causal effects in cross-sectional and time series application areas.
- Present a collection of real-life case studies and accompanying data sets suitable for illustrating the use of different types of regresson models for capturing diverse causal patterns in social sciences.
- For the computer exercises choose an easy-to-learn statistical software with extensive functionality for regression analysis and integrated tools for summarizing and visualizing data and model outputs.
Course material
The course consists of lectures, computer seminars, and practice exercises.
Lectures
Lectures cover the theoretical material (core concepts in econometric analysis, model types, statistical measures, estimation methods, test procedures, calculation principles and formulas, etc.), and they are organized by units. You'll find the video lectures and the corresponding PDF lecture slides on the Econometrics 1 & 2 course pages.
Computer seminars
Computer seminars (CS) are dedicated to the practical application of econometric techniques. They present empirical case studies, which consist of a number of related exercises contained in XLS spreadsheets. A single data set and an accompanying script file belong to each case study; these are also displayed in the first row of each XLS worksheet. The XLS files provide detailed instructions for solving the exercises, so you may try to carry out the econometric software analyses and do the corresponding calculations and interpretations on your own before having a look at the solutions.
Additionally, every case study is covered by one or more CS videos, which present a step-by-step solution procedure for the exercises, also providing theoretical and technical explanations as necessary. On the Econometrics 1 & 2 course pages you'll find the CS videos and the corresponding XLS files as well as the data sets and the accompanying script files.
Practice exercises
Computer seminars are complemented by practice exercises. These are also presented in the form of case studies, and they provide an opportunity to further practice the econometric techniques covered in the lectures. The XLS spreadsheets, the data sets, and the accompanying script files for the practice exercises are available on the Econometrics 1 & 2 course pages.
Prerequisites
The course builds heavily on the core concepts of mathematical statistics and probability theory such as frequency distributions and related numerical measures (mean, variance, percentiles), random sampling, probability distributions, conditional moments, independence of variables, etc. Knowledge of basic differential calculus and linear algebra is also required, including linear functions, polynomials, logarithms, exponentials, partial derivatives, real valued vectors and matrices, scalar products, etc. Besides, the course assumes some degree of familiarity with basic economic concepts because most of the empirical case studies are concerned with economic phenomena (wages, apartment prices, households' consumption, labor market participation, childbearing, unemployment, economic growth, inflation, interest rates, etc.).
Software requirement
Two different types of software are required for carrying out the empirical analyses for this course. (1) A specialized statistical software, Gretl is used for developing the econometric models and conducting related analyses. (2) General-purpose spreadsheet software is used for performing complementary calculations on the values of the model variables as well as for typing in the interpretations of the results and the conclusions which follow.
Gretl
Gretl is a specialized statistical software with extensive functionality for regression analysis, embodying a variety of econometric models and estimation methods and providing a set of integrated tools for summarizing and visualizing data and model outputs, conducting hypothesis tests, etc. It is very user-friendly and it is available for free on all major operating systems (Windows, Linux, Mac). Here is the link to download Gretl.
Spreadsheet software
Any standard spreadsheet software is suitable for carrying out the complementary calculations involved in the exercises. Excel and LibreOffice Calc are two of the most widely used spreadsheet softwares. They are perfectly compatible with each other, so you can choose whichever you prefer. A great benefit of LibreOffice is that is available for free on all major operating systems. Here is the link to download LibreOffice.