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Jason Abrevaya, Chair 2225 Speedway, Stop C3100, Austin, TX 78712 • Admin: 512-471-3211 & Advising: 512-471-2973

Stephen Donald

Professor Ph.D., University of British Columbia

Stephen Donald

Contact

  • Phone: 471-8907
  • Office: BRB 3.102D
  • Office Hours: Mon 10a-noon, Tues 10a-11a
  • Campus Mail Code: C3100

ECO 329 • Economic Statistics

34785 • Spring 2014
Meets TTH 200pm-330pm WEL 1.308
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METHODS OF STATISTICAL ANALYSIS AND INTERPRETATION OF QUANTITATIVE DATA IN THE FIELD OF ECONOMICS. REQUIRED OF ECONOMICS MAJORS.

PREREQUISITE: ECONOMICS 304K AND 304L WITH A GRADE OF AT LEAST C- IN EACH, AND MATHEMATICS 408C AND 408D, OR MATHEMATICS 408K AND 408L, WITH A GRADE OF AT LEAST C- IN EACH.

Economics 329 is an introduction to Economic Statistics. The aim of the course is to familiarize students with methods of summarizing collections of measurements (data sets) of economic, political and business phenomena. Of particular concern will be an introduction to elementary probability theory and its use in the interpretation of summary statistics (inference) obtained from statistical data sets. A number of economic, political and business applications will be used to illustrate the methods. If more information is needed contact instructor.

ECO 329 • Economic Statistics

34360 • Spring 2013
Meets TTH 200pm-330pm WEL 1.308
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METHODS OF STATISTICAL ANALYSIS AND INTERPRETATION OF QUANTITATIVE DATA IN THE FIELD OF ECONOMICS. REQUIRED OF ECONOMICS MAJORS.

PREREQUISITE: ECONOMICS 304K AND 304L WITH A GRADE OF AT LEAST C- IN EACH, AND MATHEMATICS 408C AND 408D, OR MATHEMATICS 408K AND 408L, WITH A GRADE OF AT LEAST C- IN EACH.

Economics 329 is an introduction to Economic Statistics. The aim of the course is to familiarize students with methods of summarizing collections of measurements (data sets) of economic, political and business phenomena. Of particular concern will be an introduction to elementary probability theory and its use in the interpretation of summary statistics (inference) obtained from statistical data sets. A number of economic, political and business applications will be used to illustrate the methods. If more information is needed contact instructor.

ECO 341K • Introduction To Econometrics

34285 • Spring 2012
Meets TTH 200pm-330pm BUR 134
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INTRODUCES THE STUDENT TO STANDARD REGRESSION PROCEDURES OF PARAMETER ESTIMATION AND HYPOTHESIS TESTING IN ECONOMICS.

PREREQUISITE: ECONOMICS 420K AND 329 WITH A GRADE OF AT LEAST C- IN EACH.

Econometrics is an application of statistical methods to the estimation of economic relationships. Students are expected to have an understanding of both statistics and economic theory. This course reveals how relationships among economic variables are discerned from data. The primary focus of this course is on estimation methodology. If more information is needed contact instructor.

ECO 341K • Introduction To Econometrics

34190 • Fall 2011
Meets TTH 200pm-330pm CPE 2.210
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INTRODUCES THE STUDENT TO STANDARD REGRESSION PROCEDURES OF PARAMETER ESTIMATION AND HYPOTHESIS TESTING IN ECONOMICS.

PREREQUISITE: ECONOMICS 420K AND 329 WITH A GRADE OF AT LEAST C- IN EACH.

Econometrics is an application of statistical methods to the estimation of economic relationships. Students are expected to have an understanding of both statistics and economic theory. This course reveals how relationships among economic variables are discerned from data. The primary focus of this course is on estimation methodology. If more information is needed contact instructor.

ECO 341K • Introduction To Econometrics

34475 • Spring 2011
Meets TTH 200pm-330pm ART 1.110
show description

INTRODUCES THE STUDENT TO STANDARD REGRESSION PROCEDURES OF PARAMETER ESTIMATION AND HYPOTHESIS TESTING IN ECONOMICS.

PREREQUISITE: ECONOMICS 420K AND 329 WITH A GRADE OF AT LEAST C- IN EACH.

Econometrics is an application of statistical methods to the estimation of economic relationships. Students are expected to have an understanding of both statistics and economic theory. This course reveals how relationships among economic variables are discerned from data. The primary focus of this course is on estimation methodology. If more information is needed contact instructor.

ECO 341K • Introduction To Econometrics

33678 • Spring 2010
Meets TTH 200pm-330pm ART 1.110
show description

INTRODUCES THE STUDENT TO STANDARD REGRESSION PROCEDURES OF PARAMETER ESTIMATION AND HYPOTHESIS TESTING IN ECONOMICS.

PREREQUISITE: ECONOMICS 420K AND 329 WITH A GRADE OF AT LEAST C- IN EACH.

Econometrics is an application of statistical methods to the estimation of economic relationships. Students are expected to have an understanding of both statistics and economic theory. This course reveals how relationships among economic variables are discerned from data. The primary focus of this course is on estimation methodology. If more information is needed contact instructor.

ECO 392M 2 • Econometrics I

33840 • Spring 2010
Meets TTH 1100-1230pm BRB 1.118
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ECO 341K • Introduction To Econometrics

33850 • Fall 2009
Meets TTH 1100-1230pm UTC 3.122
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ECO 341K -- 33850 Prof. Stephen Donald

University of Texas Fall 2009

Syllabus: ECO 341K (Introduction to Econometrics)

Meeting time/place: Tues/Thurs 11:00am-12:30PM, UTC 3.122

Contact info: donald@eco.utexas.edu

Office hours: Mon 1-2:30pm, Thurs 12:30-2pm, or by appointment (BRB 3.126)

Teaching assistant: Ingkyung Kim (BRB 3.154) inkyung987@mail.utexas.edu

Office Hours: 10am-12 noon Monday

Summary: This course provides an introduction to econometric methods. The goal is to

provide students with the knowledge to conduct their own empirical research in economics, to

evaluate economic/business policy, to perform forecasting, and to critically read the quantitative

analysis of other researchers. In addition to using the computer as a tool for regression analysis,

the course will focus upon the underlying statistical models so that students understand when

particular methods are likely to be valid (or invalid!).

 

Textbook: The required textbook for this course is

Introductory Econometrics: A Modern Approach, 4th edition, by Jeffrey Wooldridge (Southwest - Cengage Publishers).

Although we

will jump around in the book throughout the course, we will follow the content in the book rather closely. Most of the sample datasets and homework problems will be taken from the textbook.  The 3rd edition is also fine (and probably a lot cheaper if you can find it second hand). There are a few more problems in the 4th edition but it should not be a problem.

Prerequisites: Economics 420K (Microeconomic Theory) and 329 (Economic Statistics) with a

grade of at least C in each. You should be familiar with most, if not all, of the material in Appendices A ("Basic Mathematical Tools"), B ("Fundamentals of Probability"), and C ("Fundamentals of Mathematical Statistics") of the textbook.

Software: Students are required to use the statistical package STATA in this course. It is very

easy to learn. Class examples will be illustrated using STATA, and students will be expected to use STATA for the empirical exercises on their problem sets. There are a few options for accessing STATA: (i) establish an Austin Disk Services account (if you haven't already) for a small annual fee and access STATA through the Windows Terminal Services (http://www.utexas.edu/its/windows/), (ii) use the computers in the BUR 120 or 124 labs, or (iii) purchase your own one-year li ense ($95) for STATA/IC 10 (not Small STATA) through http://www.stata.com/order/new/edu/gradplans/gp-direct.html.

Website : All lecture notes, example sheets, homework assignments/solutions and STATA

datasets will be posted on the course Blackboard site.

Lecture Notes: The lecture notes will be made available in Blackboard prior to the lectures.

Also empirical examples will be used extensively. These will be available in both pdf and word formats.

Grades : Course grades will be determined by the following weights

Homework: 20%

Extra Credit: 2.5%

Two in-class exams: 20% each (dates Oct 1 and Oct 29)

Final exam: 40% (date TBA)

I will be using the new plus/minus grading system. I do not take attendance.

Homework: Homework assignments will be graded on completeness not correctness. There

will be weekly assignments due at the beginning of Tuesday's class (except for the weeks of the in-class exams). Each will be worth 2 points. Late assignments will not be accepted. (If you can not make it to class, have a classmate bring your assignment or e-mail it to me before class begins.) You may work with one other person on the homework, but you must turn in your own answers (and indicate with whom you worked). Include all necessary computer output with your assignment. You will be allowed to drop your two lowest scores on the assignments.

Exams : All exams will be closed book. I will provide a common "formula sheet" for these

exams to minimize the amount of memorization required. There will be no make-up exams for the in-class exams; if you have a valid medical excuse (and a doctor's note), I will put more weight on the final.

Disabilities: Students with disabilities may request appropriate academic accommodations from

the Division of Diversity and Community Engagement, Services for Students with Disabilities, 471-6259.

Course outline (topics near end to be covered as time permits; "W"=Wooldridge):

1. Introduction (W 1)

a. What is econometrics?

b. Types of economic data

c. Causality vs. correlation

2. The simple regression model (W 2.1-2.5)

a. Model and assumptions

b. Ordinary least squares (OLS) estimator

c. Goodness-of-fit and R-squared

d. Non-linear (logarithmic) transformations

e. Properties of OLS

3. The multiple regression model (W 3)

a. How do the simple regression results extend?

b. Omitted variables bias

c. Multicollinearity

d. Gauss-Markov theorem: efficiency of OLS

4. Statistical inference ("finite sample") for OLS (W 4, 5)

a. Confidence intervals

b. Single parameter tests: "t test"

c. Two-sided versus one-sided test

d. p-values

e. Multiple restriction tests: "F test"

f. Asymptotic ("large sample") theory for OLS (W 5.1-5.2, skip the LM statistic in 5.2)

5. Additional issues in regression analysis

a. Prediction (6.4)

b. Binary variables (7)

c. Heteroskedasticity (W 8.1-8.3, skip LM test in 8.2, skip White test in 8.3)

d. Measurement error (W 9.3)

e. Outliers (W 9.5, starting on p. 325)

6. Time series analysis (W 10, 11.1-11.3)

a. Types of models

b. Trends and seasonality

c. Serial correlation --- AR(1) model, "random walk"

7. Panel data (W 13, 14.1, 14.3)

a. Pooled cross sections

b. Fixed effects model

8. Binary-choice models (W 17.1)

9. Instrumental variables (W 15.1-15.3)

a. Endogeneity

b. Two-stage least squares estimation

Class Schedule

Date Lect. Ch. Class

Data Files (all .dta

STATA)

Notes

File

Examples

File

27-Aug-09 1 1 Introduction -- Syllabus ch1

1-Sep-09 2 1 Data/Correlation-Causality/SLRM wage1, caschool ch1 ch1examp

3-Sep-09 3 2 SLRM - Assumptions, OLS ceosal1,wage1 ch2 ch2examp 8-Sep-09 4 2

SLRM -- Interpretation, Transformation, Fit stocks, wage1 ch2 ch2examp

10-Sep-09 5 2 SLRM -- Properties of OLS caschool, cars93 ch2 ch2examp

15-Sep-09 6 3 MLRM -- Model, Assumptions OLS wage1, cars93 ch3 ch3examp

17-Sep-09 7 3 MLRM -- Interpretation, Fit hprice1, cashool, cars93 ch3 ch3examp

22-Sep-09 8 3 MLRM -- Exp. Value, Omit. Var., Collin wage1, cashool, cars93 ch3 ch3examp

24-Sep-09 9 3 MLRM -- Variance, Gauss Markov cars93 ch3 ch3examp

29-Sep-09 Review and Catch-Up

1-Oct-09 Midterm Exam 1

6-Oct-09 10 4 Inference -- Small Sample wage1, hprice2, stocks, cars93 ch4-5 ch4-5examp

8-Oct-09 11 4 Inference -- Small Sample stocks, bwght ch4-5 ch4-5examp

13-Oct-09 12 5 Inference -- Large Sample bwght ch4-5 ch4-5examp

15-Oct-09 13 6 Further Issues -- Prediction hprice1 ch6-7 ch6-7examp

20-Oct-09 14 6 Further Issues -- Functional Form hprice2, wage1, hprice1 ch6-7 ch6-7examp

22-Oct-09 15 7 Further Issues -- Qualitative Variables wage1 ch6-7 ch6-7examp

27-Oct-09 Review and Catch-Up

29-Oct-09 Midterm Exam 2

3-Nov-09 16 6 Further Issues --Heterosked.  Outliers wage1, infmrt, fla2000 ch6-7 ch6-7examp

5-Nov-09 17 10 Time Series Regression hseinv, fertil3 ch10-11 ch10-11examp

10-Nov-09 18 11 Time Series Regression dowjones, austemp ch10-11 ch10-11examp

12-Nov-09 19 13 Pooled Cross Section fertil1, kielmc ch13-14 ch13-14examp

17-Nov-09 20 14 Panel Data Regression crime ch13-14 ch13-14examp

19-Nov-09 21 7\17 Binary Choice titanic ch7-17 ch7-17examp

24-Nov-09 Review and Catch-Up

26-Nov-09 Thanksgiving

1-Dec-09 22 15 IV wage2, fultonfish, card ch15 ch15examp

3-Dec-09 Review and Catch-Up

Research

Rank Test Program

In Cragg and Donald (1997) Journal of Econometrics we considered a Minimum Chi Squared type test for the rank of an estimated matrix where the estimator is asymptotically Normal with general covariance matrix. The program that implements the test in Gauss is below.

If you use the program please cite the above mentioned paper.

Other Papers

"Empirical Likelihood Estimation and Consistent Tests with Conditional Moment Restrictions" (Donald and Imbens, 2001) - Published in the Journal of Econometrics, 2003.

"Testing Overidentifyng Restrictions in Unidentified Models" (Cragg and Donald, 1996) - Appeared in the UBC Discussion Paper Series 96/20.

Sydney

Some Scenes From Sydney (Australia of course)

I grew up somewhere way past that tower on the left.

I grew up somewhere way past that tower on the left

 

Here is another view.

Here is another view

 

As an undergrad I majored in Econometrics at Sydney University - this is a nice part of campus.

As an undergrad I majored in Econometrics at Sydney University - this is a nice part of campus

 

An aerial shot of the Olympic Stadium and other venues.

An aerial shot of the Olympic Stadium and other venues

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