# Quantitative Economics

Lady Margaret Hall

## What is this?

This document details our college teaching arrangements for Quantitative Economics (QE) at Lady Margaret Hall. It will be updated periodically, so please make sure to check back regularly. The date of the current version is given above.

## Important!

QE teaching at LMH is split across **two academic years**. Eight “regular” classes will take place in TT of your second year, and four revision classes will take place in HT of your third year. To keep my life simple, this document applies to all classes that take place in a given *calendar year*. In other words: the material listed below under classes applies to current second years while the material listed under revision classes applies to current third years.

## Blog Posts

I’ve written some blog posts covering topics from QE or slight extensions of the course material. If you have any questions about them, leave a comment!

## Classes

During TT of your second year, you will have eight QE classes: one each week.

### Logistics: TT 2024

Our classes will take place on Thursdays from 3-5:30pm in weeks 1-8 of Trinity Term in the following locations:

**Amanda Foreman Room**- weeks 2, 4, 5, 7, and 8**Lyttleton Room**- weeks 1, 3, and 6

### Assignments

- Each class will begin with a short quiz on that week’s material. These will typically be based on the lecturer’s “Review Questions” but may also incorporate material discussed in our previous classes. To prepare, you should read consult the lecture notes and slides and solve all of the review questions in advance.
- The problem set for a given week is due on the Sunday immediately
*after*the tutorial at noon. Submissions will be online via canvas. - I will mark and return your quizzes each week; the problem sets will be centrally marked by the economics department by 5pm on the Tuesday following your submission.

Note that “Review questions X”, “Worksheet X” etc. refer to the lecturer’s course materials posted on canvas.

### Class 1 - Prob/Stats Review

**Review before class**: “Review of Prob & Stats” notes, Review questions 1**Solve after class**: Worksheet 1 problems 4, 7, 9, 13, 15**Submit for marking**: Worksheet 1 problems 7, 9, 15

### Class 2 - Regression I

**Review before class**: Notes/Slides Part I, Review questions 2**Solve after class**: Worksheet 2 problems 1, 3, 4, 5, 8, 9**Submit for marking**: Worksheet 2 problems 3, 4, 9

### Class 3 - Regression II

**Review before class**: Notes/Slides Part II, Review questions 3**Solve after class**: Worksheet 3 problems 1, 2, 3, 5, 7, 8**Submit for marking**: Worksheet 3 problems 1, 5, 7

### Class 4 - Regression III

**Review before class**: Notes/Slides Part II continued, Review questions 4**Solve after class**: Worksheet 4 problems 4, 5, 6, 7, 8**Submit for marking**: Worksheet 4 problems 4, 5, 8

### Class 5 - Endogeneity I

**Review before class**: Notes/Slides Part III, Review questions 5**Solve after class**: Worksheet 5 problems 1, 4, 5, 6, 7**Submit for marking**: Worksheet 5 problems 1, 4, 6

### Class 6 - Endogeneity II

**Review before class**: Notes/Slides Part III continued, Review questions 6**Solve after class**: 1, 2, 4, 5, 7**Submit for marking**: 1, 2, 4

### Class 7 - Time Series I

**Review before class**: Notes/Slides Part IV, Review questions 7**Solve after class**: 1, 2, 3, 4**Submit for marking**: 1, 4

### Class 8 - Time Series II

**Review before class**: Notes/Slides Part IV continued, Review questions 8**Solve after class**: 1, 2, 3, 4**Submit for marking**: 1, 2

## Collection

You will take a three-hour collection (mock exam) at the beginning of MT in your third year. I will discuss how best to prepare for the collection during our final class in TT of your second year. Because your collection will be based on the most recent QE exam paper, to get the most out of your collection you should avoid peeking at the corresponding exam paper in advance.

## Revision Classes

During HT of your 3rd year, you will have four QE revision classes: one every other week. During the revision classes I will go over past exam questions, focusing on those from the most recent years. A list of the problems I suggest that you prepare for each class follows below. I will take requests from these problems during my classes, emphasizing the more recent problems. Each class **will begin with a quiz** based on the associated course material for that class, so you should make sure to review in advance.

### Logistics: HT 2024

Thursdays of HT weeks 1, 3, 5, and 7 from 3-5:30pm. Weeks 1, 3, and 7 will be in the Amanda Foreman room; Week 5 will be in the Lyttleton Room.

### Past Exam Solutions

Exam papers for 2014-2022 are posted on the QE canvas site, along with solutions for 2014-2019. Because older exams are less relevant to the current version of the course, and given that you have solutions to them, I will focus on exams from 2020 onwards in the revision classes.

### Class 1: Prob/Stats

#### For Discussion

- MT 2023 Collection, Problem 1: cdf and pmf of a discrete RV
- MT 2022 Collection, Problem 1: cdf and pmf of a discrete RV
- MT 2021 Collection, Problem 1: higher moments of a Uniform(-1,1) RV
- MT 2021 Collection, Problem 4: comparing means / causal inference for JTP

#### Extra Practice

- MT Collection 2019, Problem 4: two sample t-test for an RCT
- MT Collection 2018, Problem 4: Bernoulli moments, test for proportion

- TT
*Exam Paper*2017, Problem 4: conditional expectation, independence vs. mean independence; best predictor vs. best linear predictor.**This question was omitted from the MT 2017 collection; I’m not sure why.**

### Class 2: Regression

#### For Discussion

- MT 2023 Collection, Problem 3: disposable income and food expenditure
- MT 2023 Collection, Problem 4: GDP growth and foreign aid
- MT 2023 Collection, Problem 4: determinants of years of schooling
- MT 2022 Collection, Problem 4: blood pressure
- MT 2022 Collection, Problem 5: lottery winners
- MT 2021 Collection, Problem 3: household expenditure
- MT 2021 Collection, Problem 6: heteroskedasticity
- MT 2020 Collection, Problem 3: categorical regressor and dummy variables
- MT 2020 Collection, Problem 5(a)-(d): polynomial regression, linear approx.

#### Extra Practice

- MT 2018 Collection, Problem 5: log-log regression for assortative mating
- MT 2018 Collection, Problem 6: labor discrimination

### Class 3: Instrumental Vars

#### For Discussion

- MT 2023 Collection, Problem 6: TSLS with a control regressor
- MT 2022 Collection, Problem 3: years of schooling and earnings example
- MT 2022 Collection, Problem 6: theoretical IV example
- MT 2021 Collection, Problem 5: smoking and birthweight example
- MT 2020 Collection, Problem 5(e): nonlinear IV
- MT 2020 Collection, Problem 7: wage equation

#### Extra Practice

- MT Collection 2019, Problem 5: random coefficients model
- MT Collection 2019, Problem 7: essay on IV vs. OLS / omitted variables

### Class 4: Time Series

#### For Discussion

- MT 2023 Collection, Problem 3: AR(2) model
- MT 2023 Collection, Problem 4: co-integration and Granger causality
- MT 2022 Collection, Problem 2: AR(p) model
- MT 2022 Collection, Problem 7: co-integration of stock prices and dividends
- MT 2021 Collection, Problem 2: non-stationarity and spurious regression
- MT 2021 Collection, Problem 7: spurious regression, co-integration and Granger causality

#### Extra Practice

- MT 2019 Collection, Problem 8: stochastic trends and cointegration
- MT 2020 Collection, Problem 8: arctic sea ice example
- MT 2020 Collection, Problem 9: surface temperature example