Cross Section Econometrics Notes

This course brings a linear algebra approach to econometrics for undergraduates. Students are exposed to theory that is commonly taught at a graduate level, and in these notes I try to fill in the gaps and provide intuition. Additionally, in class exercises students examine the linkage between theory, linear algebra and coding for solidifying econometric intuition.

These notes draw heavily from texts by Green [Gre07] and Wooldridge [Woo10].

In the class we explore the following models/methods:

  1. Ordinary Least Squares

  2. Endogeneity and Instrumental Variables Regression

  3. Panel Data

  4. Maximum Likelihood

    • Probit and Logit

    • Tobit, Truncated Regression, and the Heckman Model

    • Conditional and Multinomial Logit

    • Count Data Models

  5. Bootstrapping

Gre07

William H Greene. Econometric analysis, 6th Edition. Pearson College Division, 2007.

Woo10

Jeffrey M Wooldridge. Econometric analysis of cross section and panel data. MIT press, 2010.

Ordinary Least Squares