Intermediate Econometrics
25 Aug 2025 ~
22 Dec 2025
Welcome to the homepage of Intermediate Econometrics !
Course Introduction
Course number: 09010470 Credit: 3
The teaching content of this course is as follows:
Lecture Content Lecture 1: Questions About Questions 1 Empirical Research and Causal Questions1) From descriptive analysis to causal inference 2) The benchmark: randomized controlled trials (RCTs) 2 Potential Outcomes and Causal Effects1) Definition of causal effects 2) Selection bias and the missing data problem 3 Goals and Limits of Applied Econometrics Lecture 2: Regression Basics 1 Conditional Expectation Function (CEF)1) Definition and properties 2) CEF as the optimal predictor 2 Linear Regression and OLS1) Population regression function 2) Ordinary least squares (OLS) estimation 3 Interpreting Regression Coefficients Lecture 3: More on Regression 1 Omitted Variable Bias (OVB)1) Formula and intuition 2) Direction and magnitude of bias 2 Regression Extensions1) Short vs. long regression 2) Dummy variables and interaction terms 3 Heteroskedasticity and Robust Standard Errors Lecture 4: Instrumental Variables in Action 1 Endogeneity and the Failure of OLS1) Sources of endogeneity 2) Bias in conventional regression 2 Instrumental Variables (IV) Identification1) Instrument relevance and exogeneity 2) Two-stage least squares (2SLS) 3 Local Average Treatment Effects (LATE) Lecture 5: Fixed Effects, Differences-in-Differences, and Panel Data 1 Panel Data and Fixed Effects1) Individual and time fixed effects 2) Within-group estimation 2 Differences-in-Differences (DD)1) Identification assumption 2) Basic DD regression model 3 Practical Issues in Panel Data Methods
Course Resourse
Textbook of Intermediate Econometrics
Textbook .
All rights reserved by Princeton University Press.
02_1 Experimental Ideal 02_2 Regression 02_3 Matching 02_4 IV Estimation I 02_4 IV Estimation II 02_5 DID I 02_5 DID II 02_5 DID III 02_5 DID IV 02_6 Synthetic Control
All rights reserved by Professer Cheng Lingguo .
Notes .
This course provides a detailed introduction to potential outcomes and the fundamental framework of modern econometrics, laying the groundwork for advanced studies in econometrics.
