Confidence Regions for Regression Coefficients
Let’s consider the usual linear regression model, with the full set of assumptions: y = Xβ + ε ; ε ~ N[0 , σ2In] , (1)where X is a non-random (n × k) mat...
Estimation
Inference and autoregressive processes
Consider a (stationary) autoregressive process, say of order 2,
for some white noise with variance . Here is a code to generate such a process,
__ phi1=.5
__ phi2=-.4
__ sigma=1.5
__ set.seed(1)
__ n=240
__ WN=rnorm(n,sd=sigma)
__ ... [Read more...]
Strange behavior of correlation estimation
The Gaussian vector is extremely interesting since it remains Gaussian when conditioning. More precisely, if is a Gaussian random vector, then the conditional distribution of is also Gaussian. Further, it is possible to derive explicitly the cova... [Read more...]
An easier to use IV regression command in R
Update: I have added some functionality to my ivregress() command. Check out my newer post here.After I posted my last video tutorial on how to use my IV regression function, I received a comment asking why I didn't write the command a different way t...
Video Tutorial on Instrumental Variables in R
Update: I have replaced this video tutorial with a video tutorial on a newer, easier to use IV regression command. Check out that command here.In this video, I show how to use my instrumental variables function in R, ivreg(), along with its companion ...
IV Regression
Here is my code from a previous post that performs IV regression. This may be easier to copy into an R script. I will post a video tutorial using this code shortly.
How Does R Deal with Categorical Explanatory Variables?
Here's a video tutorial where I demonstrate an answer to this question.This video is designed to instill a baseline level of practical knowledge. There is more to how R treats factors in regression models. An interested reader should Google "R contra...
Running a Regression in R
I created another video tutorial on R. This time, I discuss R's lm() command and how to use it for a variety of standard applications.Here is the code that goes with the video:Enjoy!
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