Techniques of Statistical Analysis I (Group 2),

2014-2015
Dr. Jorge Rodriguez (office 20.128; phone: 2239)
jorge.rodriguez@upf.edu

Introduction
Techniques of Statistical Analysis I (Group 2) provides an introduction to regression analysis
in the social sciences. The course builds on students knowledge of basic statistics to deepen
their understanding of linear regression techniques, placing special emphasis on problems
associated with model specification and solutions to other violations of regression assumptions.
The course also provides an introduction to regression with independent and binary dependent
categorical variables with logistic and probit models. The teaching approach avoids as much as
possible formalistic-mathematical presentations and instead focuses on the logic that lies
behind the techniques. The lectures combine a theoretical presentation of each subject with
hands-on applications using STATA.

2. Prerequisites
Knowledge of elementary statistics

3. Competences to be achieved in the subject

General competences (Instrumental, Interpersonal and Systemic)

Instrumental Competences
Ability to analyse and synthesise
Planning and management of time
Basic computer competence and ability of using statistical software (STATA)
Information management abilities (ability to search and analyse information coming from a
variety of sources)
Interpersonal Competences
Critical and self-critical ability
Team work
Ability to work in a interdisciplinary team
Ability to communicate with people that are not experts in the subject
Systemic Competences
Research abilities
Ability to work autonomously
Ability to generate new ideas (creativity)
Design and management of projects

Specific competences
a. Knowledge of the basics of linear regression analysis
b. An understanding of the assumptions underlying classical linear regression models, and
of the importance for testing for, and applying remedial measures to, deviations from
such assumptions
c. Knowledge of regression techniques for categorical dependent variables
d. Interpretation skills, as crystallized into the ability to describe results from intermediate
statistical analyses

4. Assessment

Assessment will be based on the 0-10 scale

0-4.9 Fail

5 -6.9 Pass
7-8.9 Good
9-10 Outstanding

2 take-home tests at weeks 5 (due on week 7) and 10 (due two weeks after classes
end), with an emphasis on problem solving and interpretations of results using real
data. Each will count 50% of the final mark.
Every week, students will be given sets of computer exercises to complete at home
(due in class on the following week). The problems will not be marked, i.e., but for every
two sets not returned on time, 1 full mark will be deducted from the final mark.

5. Contents

There will be three basic content blocks.

1.

2.

3.

The Classical Regression Model

Deterministic, probabilistic & observational models. Metric, significance & strength
of linear relations. Estimation: OLS & ML. Practical significance an: Beta
2
coefficients: total, part, and partial correlations; the R and its decomposition.
Statistical significance: t and F tests. Model building: J & LR tests. Regression with
dummy variables (ANOVA); regression with nominal & continuous independent
variables (ANCOVA). Interaction effects.
Deviations from regression assumptions
Regression assumptions. Model miss-specification: wrong regressors, wrong
functions (non-linearities and parameter inconsistencies). Tests and remedial
measures for miss-specification. Inefficiencies: heteroskedasticity, autocorrelation,
& multicollinearity. Testing and correcting inefficiencies with weighted and
generalized least squares.
Regression applications: ANOVA, ANCOVA, & Regression with categorical
dependent variables
Logit & probit models; logistic regression: metric, goodness of fit, significance &
strength of relationship; maximum likelihood (ML) estimation; likelihood ratio & Chi2
square; pseudo R measures. Multinomial models.

6. Methodology
Each weekly 3-hour session will be divided into two parts: a lecture-type, 1:45 minutes session
where the main aspect of the weekly topics will be laid out, and a 1 hour practical session where
students will practice their newly acquired knowledge with Stata.

7. Sources of information and didactic resources

Basic bibliography

Baum Christopher F. 2006. An Introduction to Modern Econometrics Using Stata. Stata Press
rd
Agresti, A. & Finlay, B. 1997 Statistical Methods for the Social Sciences. 3 edition. Prentice
Hall.
Kennedy, Peter. 2003. A Guide to Econometrics, Fifth Edition. The MIT Press.

Complementary bibliography
nd

Wooldridge, Jeffrey M. 2003. Introductory Econometrics. A Modern Approach. 2 Ed.

Thompson
Stock, James H. & Watson, Mark W. 2003. Introduction to econometrics. Boston: Pearson
Education.
Chatterjee, S., Hadi, A. S., and Price, B. 2000. Regression Analysis by Example. Third Edition.
New Yor: John Wiley and Sons, Inc.
Gujarati, Damodar. 2002. N. Basic Econometrics, Fourth Edition. McGraw-Hill.
Maddala, G.S. 2001. Introduction to Econometrics, Third Edition. Wiley.

Week
Lecture
1
Lab

Classroom activity
Simple regression (1)
Basic notation. Deterministic & probabilistic models. Error
term. Expected values. OLS parameter estimation.
Working with Stata: Basics operations with files & variables

Lecture

Simple regression (2)

2
Betas, Covariance & Correlation. R . Hypothesis testing

Lab

Producing and interpreting regression output with Stata

Lecture

Multiple regression
Notation. OLS estimation. Part & partial correlations. Multiple
2
Determination. Adjusted R . T tests.

Lab

Multiple regression with Stata: basic output

Lecture

Model building strategies

Complete and Reduced Models. F & J tests Deductive and
inductive strategies. Forward & Backward selection

Lab

Simple and complex hypothesis-testing with Stata

Lecture

Regression with categorical independent variables

ANOVA & ANCOVA. Marginal and interaction effects

5
Lab

Lecture
6
Lab

Regression with dummy & continuous variables in Stata

First take-home test handed in to students

Baum: chapter 7.1 7.2

Agresti & Finlay: Chapter 12
& 13
Kennedy: chapters 8 & 11
(except ridge regression & with
principal components)

Baum: chapter 6.2

Agresti & Finlay: Chapter
14.2 & 14.3
Kennedy: chapters 8.1-8.3 &
11 (except ridge regression &

Lecture
Lab

Logistic regression in Stata

Lab

Baum: chapter 4.5

Agresti & Finlay: Chapter
11.6, 14.1
Kennedy: chapters 3 & 5.15.2

Inefficiencies
Non-spherical disturbances (heteroskedasticity) &
multicollinearity. WLS, Robust standard errors

Regression with binary dependent variables

Logit models. Estimation, testing, and interpretation. Odds
ratios. Wald and LR tests

Baum: chapter 4.1 4.4, 4.6

Kennedy: chapter 4
Agresti & Finlay: Chapter
11.1 to 11.3, 11.7 & 11.8

Baum: chapter 5
Agresti & Finlay: Chapter 10,
14.4
Kennedy: chapters 5.3 - 5.5, 6
& 7 (excl. limited depende nt var)

Tests of heteroskedasticity in Stata, Weighted Least Squares

Lecture

Baum: chapters 2 & 3

Agresti & Finlay: Chapter 9
Kennedy: chapters 1 & 2

Specification error
Omission of relevant variables & wrong functional forms.
Causal Models. Exogeneity and endogeneity
RESET test. Non-linear functions & linear transformations

Lab

Readings & Incidences

Model building and testing with logistic regression

Logistic regression with continuous and dummy variables
Two- and three-way interaction effects
Regression with dummy & continuous variables in Stata. LR
and Bayesian Model Selection

with principal components)

Baum: chapter 10.1

Agresti & Finlay: Chapter 15
Kennedy: chapter 15.1

Baum: chapter 10.1

Agresti & Finlay: Chapter 15
Kennedy: chapter 15.1

Second take-home test handed-in to students

Lecture

Probit models
The Probit transformation. Estimation, fit and testing. Marginal
Effects

Lab

Probit regression with Stata

10

Baum: chapter 10.1

Kennedy: chapter 15.1