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Econometrics course: Problem sets & sample datasets

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Undergraduate econometrics

The problem sets listed here roughly correspond with the video series 'A full course in econometrics – undergraduate level'. They should allow a student some practical and theoretical practice of those concepts covered in the video series.

- Problem set 1 – covering videos 1-30 (click here to download). This problem set covers basic usage of the free statistical software tool Gretl by examining the relationship between rates of violent crime and unemployment across US States. In the theory section the student is introduced to the theory of estimators, and concepts such as that of a 'BLUE estimator'. Dataset 1 – violent crime rates & unemployment rate by US state (click here to download). The answers to problem set 1 are here.
- Problem set 2 – covering videos 30-85 (click here to download). This practical elements of this dataset encourage the student to gain a better understanding of Least Squares regressions by examining the various factors which affect NBA players' wages; covering the interpretation of regression coefficients, multicollinearity, and the graphical tools that can be used to help understand regression better, as well as look for issues such as heteroscedasticity. The theory section examines multicollinearity and endogeneity further. Dataset 2 – Jeffrey Wooldridge's NBA player wage data (click here to download). The answers to problem set 2 are here.
- Problem set 3 – covering videos 86-125 (click here to download). The practical element of this problem set is examining the factors which help to predict the outcome of the 2012 US elections across States; covering hypothesis testing, tests for heteroscedasticity and model selection. The theoretical element covers hypothesis testing. Dataset 3 – Presidential election 2012 data (click here to download). The answers to problem set 3 are here.
- Problem set 4 – covering videos 125-155 (click here to download). The practical element of this problem set encourages the student to come to grip with Weighted Least Squares and Instrumental Variables estimators, by estimating the return to education realised in wages. The theory section similarly covers WLS and IV estimation. Dataset 4 – Jeffrey Wooldridge's Returns to education data (click here to download). The answers to problem set 4 are here.
- Problem set 5 – covering videos 156-180 (click here to download). This video set provides an introduction to time series processes; covering the concepts of stationarity, unit roots, random walks, integrated order of a process, autoregressive and moving average processes. The practical element using time series macroeconomic data from the Eurozone and World. Dataset 5 – Europe and World economic time series data, 1970-1998 (click here to download). The answers to problem set 5 are here.