(This is the text of an email I sent to incoming PhD students for Iowa State. Maybe it's useful for other people too.)
My name's Gray Calhoun and I'm going to be teaching your Econometrics class at Iowa State this fall (Econ 671). There is a preliminary version of the syllabus on the course homepage, http://gray.clhn.org/671, but it may be changed slightly before the semester starts. This email has a little more information about our expectations and some advice on preparing for the class.
First, this class is going to introduce you to statistical programming, and we're going to use the language R for all of the assignments. If you have not programmed in R before, you may want to start to familiarize yourself with it over the summer. Fortunately, it's free. You can download R from http://cran.r-project.org (or using your OS's package manager). You should also install RStudio, which can be downloaded for free from http://www.rstudio.com, and use it as the editor/IDE for R. (It is much better than using R directly, and we'll use RStudio in class.)
Then, to actually become familiar with R, you may want to work through a short tutorial. Two that are recommended are:
There is also documentation for RStudio on its homepage.
Second, if you haven't taken a statistics or econometrics class before, or if you last took one a few years ago, you'll benefit from reviewing some basic undergraduate textbooks. I recommend the following:
Freedman, Pisani, and Purves's "Statistics." It's currently on the 4th edition, but you can buy an older edition. (Or get a copy from the library, you're probably not going to need it as a reference.) This is a very, very basic stats 101 level treatment. E.g. it doesn't really get more advanced than the t-test and you can probably read it in a week. But it will give you a good introduction to probability and statistics if you've never seen them before.
Tufte's "Data Analysis for Politics and Policy." This is a very simple introduction to linear regression. It doesn't get into the math very much, but it is captures the intuition pretty well. It's available for $2 from Tufte's website, http://www.edwardtufte.com/tufte/ebooks. Again, this is the sort of book you can read in about a week and it will give you a decent introduction to the second half of our class.
Reading through both of those books will give you an overview of what we're going to do in the class and shouldn't take that long. So please try to do it if you haven't seen this material before. Do keep in mind that these books are not representative of the mathematical level of the course.
If you've already seen this material, and have free time this summer that you'd like to spend preparing for the econometrics sequence, please feel free to email me and I will be happy to provide more suggestions. Working through the recommended text, Freedman's "Statistical Models, Theory and Practice," and doing the book's exercises in R would be very good preparation, but I can give other recommendations too. :)
In any case, I'm very happy you'll be attending Iowa State and I look forward to meeting you in August. Enjoy the summer!
— Gray Calhoun, 20 May 2015
Copyright (c) 2014–2015 Gray Calhoun. This document is licensed under a Creative Commons Attribution-NoDerivatives 4.0 International License and any source code listed in this document is also licensed under the MIT License.