This page is intended to supplement my lectures on computational econometrics. Below you will find notes and data sets we will use throughout the course. The lectures will be held every Friday at 17.30h (5.30 p.m.) in the computer lab in Leacock 212.
Lecture Notes:
Data Sets:
The data sets below are those that accompany the lecture notes above. Files under the label ETM, accompany Davidson and MacKinnon's Econometric Theory and Methods textbook and have been converted to .CSV format for ease of use. Note that in this case, the data below does not contain a description of the variables. To obtain those, please visit http://russell-davidson.arts.mcgill.ca/data/ and open the files in their original format. The files with extension .DTA and .DO are data sets and do scripts in STATA's native format, respectively.
Announcements:
- Cycling through variable elements is not intuitive in STATA. I have posted a DO file under the data sets so that you may see how this can be implemented. Please study the script and adapt it in your assignments.
- For notes on how to extract parameter estimates from a regression output in STATA, please refer to the end of Section 5.1 of Lecture 3.