1525 search results for "regression"

An ivreg2 function for R

May 3, 2012
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An ivreg2 function for R

The ivreg2 command is one of the most popular routines in Stata. The reason for this popularity is its simplicity. A one-line ivreg2 command generates not only the instrumental variable regression coefficients and their standard errors, but also a number of other statistics of interest. I have come across a number of functions in R

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Measuring time series characteristics

May 2, 2012
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Measuring time series characteristics

A few years ago, I was working on a project where we measured various characteristics of a time series and used the information to determine what forecasting method to apply or how to cluster the time series into meaningful groups. The two main papers to come out of that project were: Wang, Smith and Hyndman (2006) Characteristic-​​based clustering for...

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Mining for relations between nominal variables

May 1, 2012
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Mining for relations between nominal variables

The task today was to find what variables had significant relations with an important grouping variable in the big dataset I’ve been working with lately.  The grouping variable has 3 levels, and represents different behaviours of interest.  At first I … Continue reading →

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Teaching code, production code, benchmarks and new languages

April 30, 2012
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Teaching code, production code, benchmarks and new languages

I’m a bit obsessive with words. May be I should have used learning in the title, rather than teaching code. Or perhaps remembering code. You know? Code where one actually has very clear idea of what is going on; for … Continue reading →

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A Bayesian Consumption Function

April 27, 2012
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A Bayesian Consumption Function

What the title of this post is supposed to mean is: "Estimating a simple aggregate consumption function using Bayesian regression analysis".In a recent post I mentioned my long-standing interest in Bayesian Econometrics. When I teach this material I usually include a simple application that involves estimating a consumption function using U.S. time-series data. I used to have...

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R Tips: lots of tips for R programming

April 26, 2012
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R Tips: lots of tips for R programming

by Yanchang Zhao, RDataMining.com There are more than 100 R tips at http://pj.freefaculty.org/R/Rtips.html, which provide quick examples to small challenges in everyday R programming, especially for users switching from other languages to R. There is also a .PDF version for … Continue reading →

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Graphing Predicted Legislative Violence with Zelig & ggplot2

April 25, 2012
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Graphing Predicted Legislative Violence with Zelig & ggplot2

In my previous post I briefly mentioned an early draft of a working paper (HERE) I've written that looks into the possible causes of violence between legislators (like the violence shown in this picture from the Turkish Parliament).  From The GuardianIn this...

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Late-April flotsam

April 25, 2012
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Late-April flotsam

It has been month and a half since I compiled a list of statistical/programming internet flotsam and jetsam. Via Lambda The Ultimate: Evaluating the Design of the R Language: Objects and Functions For Data Analysis (PDF). A very detailed evaluation … Continue reading →

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Short versus long papers, in academic journals

April 24, 2012
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Short versus long papers, in academic journals

This Monday, during my talk on quantile regressions (at the Montreal R-meeting), we've seen how those nice graphs could be interpreted, with the evolution of the slope of the linear regression, as a function of the probability level. One illustrati...

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Varying Window Length for Linear Models on Stocks

April 24, 2012
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Varying Window Length for Linear Models on Stocks

In a previous post, we discussed ideas generated by a Timely Portfolio post about Linear Models on Stock. I wanted to see if there was a relationship between the window length of the running mean of the linear regression slope estimate and the running mean of the correlation between fitted and observed values. The parameters

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