These are the recorded lectures of Econ 480-3, graduate econometrics, at Northwestern University. These videos were recorded while the class was being taught over Zoom in the Spring 2021, but any type of student participation was edited out. As a result of the editing, the lectures are shorter than a live lecture and some parts may involve unnatural transitions. The purpose of these recordings is to provide additional resources to students taking Econ 480-3 in future years, but the material here is public and free to use for students elsewhere at their own risk. The slides, lectures notes, and videos may be printed and reproduced for individual or instructional use, but may not be used for any type of commercial purposes.
The syllabus of the class is below and each lecture has a companion set of slides and lecture notes.
Syllabus | Full Set of Lecture Notes | Class Canvas Page
Part I: Estimation
Lecture 1: Linear Regression
Lecture 2: More on Linear Regression
Lecture 3: Basic Inference
Lecture 4: Endogeneity
Lecture 5: IV and LATE
Lecture 6: GMM and EL
Lecture 7: Panel Data
Lecture 8: Difference in Differences
Part II: Some Topics
Lecture 9: Nonparametric Regression
Lecture 10: Regression Discontinuity Design
Lecture 11: CART & Random Forests
Lecture 12: Binary Response
Lecture 13: LASSO
Part III: Inference
Lecture 14: HC Covariance Estimation
Lecture 15: HAC Covariance Estimation
Lecture 16: Cluster Covariance Estimation
Lecture 17: The Bootstrap
Lecture 18: Subsampling and Randomization Tests