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Wednesday, November 5, 2008

Econometrics

Dr. Bill Hung
(Associate Director, MBA Program)
School of Business
Hong Kong Baptist University







Lecture Power Points

Lecture #01 Introduction: An overview of regression analysis

Supplement #01A

Review of Basic Statistics and Mathematical Tools

Supplement #01B

Greek notations
Lecture #02 OLS: Regression Analysis

Supplement #02a

Derive the estimators of 3-variable regression
Lecture #03 Properties of OLS Estimators

Supplement #03A

Proof Steps to the properties of estimators
Lecture #04 Hypothesis Test 1: t-test, F-test

Supplement #04A

Steps to calculate the determinant and Cramer's Rule
Lecture #05 Hypothesis Test 2: Specification-test (Relevant and irrelevant variables), restriction-test, and Chow test

Critical Values

t-statistics Table
F-statistics Table: 1%, 5%, 10%
Lecture #06 Different functional forms and scale Measures

Supplement #06A

Example of Formal Report of Regression
Lecture #07 Dummy Independent Variables and Its Applications
Lecture #08 Multicollinearity
Lecture #09 Autocorrelation

Critical values

Durbin-Watson "d" statistics

Lecture #10

Heteroscedasticity

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