Course

# Econometrics by Ben Lambert

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Teacher

## Ben Lambert

This channel is intended to provide a detailed explanation of the majority of undergraduate

## Course content preview

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### Least Squares Estimators - in summary

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Watch the 1st video of the course

Do not worry, it is free!

## Course content

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This video provides an overview of the subject of econometrics at undergraduate level, and surveys the topics which this online course will cover.

Also, see a part of the transcript below.

In this video I want to provide a description of the syllabus which we are going to cover in the undergraduate course. So at the back of our minds within the undergraduate course, and actually at the graduate level as well. The idea is that there is some population and within the population there might be countries, there might be individuals, there might be firms. And the idea is that we don't actually have the whole population data set you only have a sample from that population. So perhaps we have the just the figures which I'm highlighting here in purple, and these individuals form a sample data set. And the idea with econometrics is that we want to use some sort of tool, some sort of statistical or mathematical tool on that sample, to enable us to make some inference about what's going on in the population or to make some estimation of some sort of population parameter. So what exactly do I mean by estimating the population parameter? So there might be a relationship between the level of wage an individual obtains and their level of education, which is given by the relationship here which I've drawn mathematically. And the idea here is that the coefficient beta might represent the effect of one-year extra of education on an individual's average level of wages. And that would be defi

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### What is econometrics?

This video provides an introduction to the subject of econometrics, using a few examples to explain the sorts of question which are likely to be encountered.

In this video I want to talk about what actually do we mean by econometrics. So econometrics is in general a statistical tool set which helps us to evaluate some sort of relationship of interest. An example might be we're interested in, for individuals, what is the effect of an individual's level of education on the average wage which that individual might expect to obtain. So if an individual's level of education increases we might expect that the level of wages which an individual obtains on average might increase. So if I was to plot a graph of the level of education of individuals on the x-axis, against the wages which a group of individuals have obtained on the y-axis, then we might hope to see some sort of positive correlation between these two variables. That's not to say that is necessarily a causal relationship only that there is some sort of positive relationship between these two variables. Econometrics help us to quantify this degree of correlation by in a sense drawing a line through the centre of all those points. And by drawing a line through the centre of all those points we are hoping to capture what is the average effect of education on wages. So on average an individual who has years of education, might expect to obtain a wage which is let's say four hundred dollars. Whereas an individual perhaps if

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### Econometrics vs hard science

This video describes the similarities and differences between econometrics and 'hard' science. The example given is attempting to quantify the effect of military spending on lifetime income. A great paper on this subject is given by Angrist (1990), who uses IV estimation to estimate the effect. Check out https://ben-lambert.com/econometrics-course-problem-sets-and-data/ for course materials, and information regarding updates on each of the courses. Quite excitingly (for me at least), I am about to publish a whole series of new videos on Bayesian statistics on youtube. See here for information: https://ben-lambert.com/bayesian/ Accompanying this series, there will be a book: https://www.amazon.co.uk/gp/product/1473916364/ref=pe_3140701_247401851_em_1p_0_ti

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### Natural experiments in econometrics

This video provides an example of a 'Natural Experiment' and how they can be put to use in econometrics. The example given is how the Vietnam was lottery draft system was used as a means to estimate the effect of military participation on lifetime earnings in Angrist's 1990 seminal paper. Check out https://ben-lambert.com/econometrics-course-problem-sets-and-data/ for course materials, and information regarding updates on each of the courses. Quite excitingly (for me at least), I am about to publish a whole series of new videos on Bayesian statistics on youtube. See here for information: https://ben-lambert.com/bayesian/ Accompanying this series, there will be a book: https://www.amazon.co.uk/gp/product/1473916364/ref=pe_3140701_247401851_em_1p_0_ti

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### Populations and samples in econometrics

This video explains the role which populations and samples fulfil in econometrics. Check out https://ben-lambert.com/econometrics-course-problem-sets-and-data/ for course materials, and information regarding updates on each of the courses. Quite excitingly (for me at least), I am about to publish a whole series of new videos on Bayesian statistics on youtube. See here for information: https://ben-lambert.com/bayesian/ Accompanying this series, there will be a book: https://www.amazon.co.uk/gp/product/1473916364/ref=pe_3140701_247401851_em_1p_0_ti

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### Estimators - the basics

This video details what is meant by an estimator, and what its significance is in applied econometrics. Check out https://ben-lambert.com/econometrics-course-problem-sets-and-data/ for course materials, and information regarding updates on each of the courses. Quite excitingly (for me at least), I am about to publish a whole series of new videos on Bayesian statistics on youtube. See here for information: https://ben-lambert.com/bayesian/ Accompanying this series, there will be a book: https://www.amazon.co.uk/gp/product/1473916364/ref=pe_3140701_247401851_em_1p_0_ti

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### Estimator properties

This video elaborates what properties we look for in a reasonable estimator in econometrics. Check out https://ben-lambert.com/econometrics-course-problem-sets-and-data/ for course materials, and information regarding updates on each of the courses. Quite excitingly (for me at least), I am about to publish a whole series of new videos on Bayesian statistics on youtube. See here for information: https://ben-lambert.com/bayesian/ Accompanying this series, there will be a book: https://www.amazon.co.uk/gp/product/1473916364/ref=pe_3140701_247401851_em_1p_0_ti

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### Unbiasedness and consistency

This video details what is meant by an unbiased and consistent estimator. Check out https://ben-lambert.com/econometrics-course-problem-sets-and-data/ for course materials, and information regarding updates on each of the courses. Quite excitingly (for me at least), I am about to publish a whole series of new videos on Bayesian statistics on youtube. See here for information: https://ben-lambert.com/bayesian/ Accompanying this series, there will be a book: https://www.amazon.co.uk/gp/product/1473916364/ref=pe_3140701_247401851_em_1p_0_ti

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### Unbiasedness vs consistency of estimators - an example

This video provides an example of an estimator which illustrates how an estimator can be biased yet consistent. Check out https://ben-lambert.com/econometrics-course-problem-sets-and-data/ for course materials, and information regarding updates on each of the courses. Quite excitingly (for me at least), I am about to publish a whole series of new videos on Bayesian statistics on youtube. See here for information: https://ben-lambert.com/bayesian/ Accompanying this series, there will be a book: https://www.amazon.co.uk/gp/product/1473916364/ref=pe_3140701_247401851_em_1p_0_ti

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### Efficiency of estimators

This video details what is meant by the efficiency of an estimator, and why it is a desirable property for an econometric estimator to have. Check out https://ben-lambert.com/econometrics-course-problem-sets-and-data/ for course materials, and information regarding updates on each of the courses. Quite excitingly (for me at least), I am about to publish a whole series of new videos on Bayesian statistics on youtube. See here for information: https://ben-lambert.com/bayesian/ Accompanying this series, there will be a book: https://www.amazon.co.uk/gp/product/1473916364/ref=pe_3140701_247401851_em_1p_0_ti

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### Good estimator properties summary

This video covers the properties which a 'good' estimator should have: consistency, unbiasedness

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### Lines of best fit in econometrics

In this video I explain the underlying purpose for drawing lines of best fit on sample data; principally as a way to estimate population parameters. Check out https://ben-lambert.com/econometrics-course-problem-sets-and-data/ for course materials, and information regarding updates on each of the courses. Quite excitingly (for me at least), I am about to publish a whole series of new videos on Bayesian statistics on youtube. See here for information: https://ben-lambert.com/bayesian/ Accompanying this series, there will be a book: https://www.amazon.co.uk/gp/product/1473916364/ref=pe_3140701_247401851_em_1p_0_ti

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### The mathematics behind drawing a line of best fit

This video describes the mathematics behind drawing lines of best fit. Specifically I cover the different forms of a cost function associated with using the modulus of errors, squares of errors, and errors to the fourth power. Check out https://ben-lambert.com/econometrics-course-problem-sets-and-data/ for course materials, and information regarding updates on each of the courses. Quite excitingly (for me at least), I am about to publish a whole series of new videos on Bayesian statistics on youtube. See here for information: https://ben-lambert.com/bayesian/ Accompanying this series, there will be a book: https://www.amazon.co.uk/gp/product/1473916364/ref=pe_3140701_247401851_em_1p_0_ti

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### Least Squares Estimators as BLUE

This video explains what is meant by 'OLS estimators are BLUE'. Check out https://ben-lambert.com/econometrics-course-problem-sets-and-data/ for course materials, and information regarding updates on each of the courses. Quite excitingly (for me at least), I am about to publish a whole series of new videos on Bayesian statistics on youtube. See here for information: https://ben-lambert.com/bayesian/ Accompanying this series, there will be a book: https://www.amazon.co.uk/gp/product/1473916364/ref=pe_3140701_247401851_em_1p_0_ti

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### Deriving Least Squares Estimators - part 1

This video is the first in a series of videos where I derive the Least Squares Estimators from first principles. Check out https://ben-lambert.com/econometrics-course-problem-sets-and-data/ for course materials, and information regarding updates on each of the courses. Quite excitingly (for me at least), I am about to publish a whole series of new videos on Bayesian statistics on youtube. See here for information: https://ben-lambert.com/bayesian/ Accompanying this series, there will be a book: https://www.amazon.co.uk/gp/product/1473916364/ref=pe_3140701_247401851_em_1p_0_ti

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### Deriving Least Squares Estimators - part 2

This video is the second in a series of videos where I derive the Least Squares Estimators from first principles. Check out https://ben-lambert.com/econometrics-course-problem-sets-and-data/ for course materials, and information regarding updates on each of the courses. Quite excitingly (for me at least), I am about to publish a whole series of new videos on Bayesian statistics on youtube. See here for information: https://ben-lambert.com/bayesian/ Accompanying this series, there will be a book: https://www.amazon.co.uk/gp/product/1473916364/ref=pe_3140701_247401851_em_1p_0_ti

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### Deriving Least Squares Estimators - part 3

This video is the third in a series of videos where I derive the Least Squares Estimators from first principles. Check out https://ben-lambert.com/econometrics-course-problem-sets-and-data/ for course materials, and information regarding updates on each of the courses. Quite excitingly (for me at least), I am about to publish a whole series of new videos on Bayesian statistics on youtube. See here for information: https://ben-lambert.com/bayesian/ Accompanying this series, there will be a book: https://www.amazon.co.uk/gp/product/1473916364/ref=pe_3140701_247401851_em_1p_0_ti

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### Deriving Least Squares Estimators - part 4

This video is the fourth in a series of videos where I derive the Least Squares Estimators from first principles. Check out https://ben-lambert.com/econometrics-course-problem-sets-and-data/ for course materials, and information regarding updates on each of the courses. Quite excitingly (for me at least), I am about to publish a whole series of new videos on Bayesian statistics on youtube. See here for information: https://ben-lambert.com/bayesian/ Accompanying this series, there will be a book: https://www.amazon.co.uk/gp/product/1473916364/ref=pe_3140701_247401851_em_1p_0_ti

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### Deriving Least Squares Estimators - part 5

This video is the last in a series of videos where I derive the Least Squares Estimators from first principles. Check out https://ben-lambert.com/econometrics-course-problem-sets-and-data/ for course materials, and information regarding updates on each of the courses. Quite excitingly (for me at least), I am about to publish a whole series of new videos on Bayesian statistics on youtube. See here for information: https://ben-lambert.com/bayesian/ Accompanying this series, there will be a book: https://www.amazon.co.uk/gp/product/1473916364/ref=pe_3140701_247401851_em_1p_0_ti

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### Least Squares Estimators - in summary

This video describes the benefit of using Least Squares Estimators, as a method to estimate population parameters. Check out https://ben-lambert.com/econometrics-course-problem-sets-and-data/ for course materials, and information regarding updates on each of the courses. Quite excitingly (for me at least), I am about to publish a whole series of new videos on Bayesian statistics on youtube. See here for information: https://ben-lambert.com/bayesian/ Accompanying this series, there will be a book: https://www.amazon.co.uk/gp/product/1473916364/ref=pe_3140701_247401851_em_1p_0_ti