Using Julia for Introductory Econometrics

Preface
Introduction
	Getting Started
		Software
		Julia Scripts
		Packages
		File Names and the Working Directory
		Errors
		Other Resources
	Objects in Julia
		Variables
		Built-in Objects in Julia
		Matrix Algebra in LinearAlgebra.jl
		Objects in DataFrames.jl
		Using PyCall.jl
	External Data
		Data Sets in the Examples
		Import and Export of Data Files
		Data from other Sources
	Base Graphics with Plots.jl
		Basic Graphs
		Customizing Graphs with Options
		Overlaying Several Plots
		Exporting to a File
	Descriptive Statistics
		Discrete Distributions: Frequencies and Contingency Tables
		Continuous Distributions: Histogram and Density
		Empirical Cumulative Distribution Function (ECDF)
		Fundamental Statistics
	Probability Distributions
		Discrete Distributions
		Continuous Distributions
		Cumulative Distribution Function (CDF)
		Random Draws from Probability Distributions
	Confidence Intervals and Statistical Inference
		Confidence Intervals
		t Tests
		p Values
	Advanced Julia
		Conditional Execution
		Loops
		Functions
		Computational Speed
		Outlook
	Monte Carlo Simulation
		Finite Sample Properties of Estimators
		Asymptotic Properties of Estimators
		Simulation of Confidence Intervals and t Tests
Regression Analysis with Cross-Sectional Data
	The Simple Regression Model
		Simple OLS Regression
		Coefficients, Fitted Values, and Residuals
		Goodness of Fit
		Nonlinearities
		Regression through the Origin and Regression on a Constant
		Expected Values, Variances, and Standard Errors
		Monte Carlo Simulations
			One Sample
			Many Samples
			Violation of SLR.4
			Violation of SLR.5
	Multiple Regression Analysis: Estimation
		Multiple Regression in Practice
		OLS in Matrix Form
		Ceteris Paribus Interpretation and Omitted Variable Bias
		Standard Errors, Multicollinearity, and VIF
	Multiple Regression Analysis: Inference
		The t Test
			General Setup
			Standard Case
			Other Hypotheses
		Confidence Intervals
		Linear Restrictions: F Tests
		Reporting Regression Results
	Multiple Regression Analysis: OLS Asymptotics
		Simulation Exercises
			Normally Distributed Error Terms
			Non-Normal Error Terms
			(Not) Conditioning on the Regressors
		LM Test
	Multiple Regression Analysis: Further Issues
		Model Formulae
			Data Scaling: Arithmetic Operations Within a Formula
			Standardization: Beta Coefficients
			Logarithms
			Quadratics and Polynomials
			Hypothesis Testing
			Interaction Terms
		Prediction
			Confidence and Prediction Intervals for Predictions
			Effect Plots for Nonlinear Specifications
	Multiple Regression Analysis with Qualitative Regressors
		Linear Regression with Dummy Variables as Regressors
		Boolean Variables
		Categorical Variables
		Breaking a Numeric Variable Into Categories
		Interactions and Differences in Regression Functions Across Groups
	Heteroscedasticity
		Heteroscedasticity-Robust Inference
		Heteroscedasticity Tests
		Weighted Least Squares
	More on Specification and Data Issues
		Functional Form Misspecification
		Measurement Error
		Missing Data and Nonrandom Samples
		Outlying Observations
		Least Absolute Deviations (LAD) Estimation
Regression Analysis with Time Series Data
	Basic Regression Analysis with Time Series Data
		Static Time Series Models
		Time Series Data Types in Julia
			Equispaced Time Series in Julia
			Irregular Time Series in Julia
		Other Time Series Models
			Finite Distributed Lag Models
			Trends
			Seasonality
	Further Issues in Using OLS with Time Series Data
		Asymptotics with Time Series
		The Nature of Highly Persistent Time Series
		Differences of Highly Persistent Time Series
		Regression with First Differences
	Serial Correlation and Heteroscedasticity in Time Series Regressions
		Testing for Serial Correlation of the Error Term
		FGLS Estimation
		Serial Correlation-Robust Inference with OLS
		Autoregressive Conditional Heteroscedasticity
Advanced Topics
	Pooling Cross Sections Across Time: Simple Panel Data Methods
		Pooled Cross Sections
		Difference-in-Differences
		Organizing Panel Data
		First Differenced Estimator
	Advanced Panel Data Methods
		Getting Started with Panel Data
		Fixed Effects Estimation
		Random Effects Models
		Dummy Variable Regression and Correlated Random Effects
	Instrumental Variables Estimation and Two Stage Least Squares
		Instrumental Variables in Simple Regression Models
		More Exogenous Regressors
		Two Stage Least Squares
		Testing for Exogeneity of the Regressors
		Testing Overidentifying Restrictions
		Instrumental Variables with Panel Data
	Simultaneous Equations Models
		Setup and Notation
		Estimation by 2SLS
		Outlook: Estimation by 3SLS
	Limited Dependent Variable Models and Sample Selection Corrections
		Binary Responses
			Linear Probability Models
			Logit and Probit Models: Estimation
			Inference
			Predictions
			Partial Effects
		Count Data: The Poisson Regression Model
		Corner Solution Responses: The Tobit Model
		Censored and Truncated Regression Models
		Sample Selection Corrections
	Advanced Time Series Topics
		Infinite Distributed Lag Models
		Testing for Unit Roots
		Spurious Regression
		Cointegration and Error Correction Models
		Forecasting
	Carrying Out an Empirical Project
		Working with Julia Scripts
		Logging Output in Text Files
		Formatted Documents with Jupyter Notebook
			Getting Started
			Cells
			Markdown Basics
Appendices
	Julia Scripts
		Scripts Used in Chapter 01
		Scripts Used in Chapter 02
		Scripts Used in Chapter 03
		Scripts Used in Chapter 04
		Scripts Used in Chapter 05
		Scripts Used in Chapter 06
		Scripts Used in Chapter 07
		Scripts Used in Chapter 08
		Scripts Used in Chapter 09
		Scripts Used in Chapter 10
		Scripts Used in Chapter 11
		Scripts Used in Chapter 12
		Scripts Used in Chapter 13
		Scripts Used in Chapter 14
		Scripts Used in Chapter 15
		Scripts Used in Chapter 16
		Scripts Used in Chapter 17
		Scripts Used in Chapter 18
		Scripts Used in Chapter 19
	Bibliography
	List of Wooldridge (2019) Examples
	Index