Econometrics

Graduate level econometrics notes with embedded examples using the Julia language.

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(27 March 2020) These notes have been online for many years, at least since 2002. If you have any inclination to express thanks, and you have the opportunity, please consider visiting the INOUT Hostel or its restaurant, in the mountains surrounding Barcelona. The hostel and its restaurant are run by a non-profit organization, and 90% of the workers have disabilities. http://inouthostel.com/en for more information about the initiative and reservations.

With the problems from COVID-19, the business is currently closed, Once the crisis is over, this great social initiative will get back to normal more quickly if we can give it our business. Thanks!

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To get just the notes, click on econometrics.pdf, and then on Download, at the upper R of the page, which will download only the pdf. Links in the pdf point to files here on github, and will open in your browser.

To run the examples

you need to install Julia and then install this repository as a Julia package. Do this as follows:

1. git clone this repo

2. add the package to Julia by doing ] add <path where you downloaded the repo>, for example, if you cloned it into the git directory of your home directory, you would do ] add ~/git/Econometrics

3. (optional) basic testing of the package has been added. Do using Pkg; Pkg.test("Econometrics")

4. then do using Econometrics in Julia to use the package. You can see some examples by typing

   ols()
   mleresults()
   gmmresults()
   mcmc()
   npreg()
   samin()
   

5. To run examples, cd into the relevant subdirectory of Econometrics/Examples, and then just include the script you would like to run.

There are a couple of unusual thing about these notes:

• they are available in editable form (econometrics.lyx), so that you can modify them to suit your needs: see the first chapter for more information, and get LyX from www.lyx.org.
• they contain links that point to example programs using the Julia language. The examples show how to use the methods and illustrate properties of estimators. The example code can be modified to allow exploration.

To get an idea of how this works, the following figure shows an explanation in the pdf version of the notes, with a link to an example. The code of the example is visible in the lower R, and the output of running the example in Julia is at the lower L.