Posts Tagged ‘ econometrics ’

My Course Wish List at CMSE next year

August 30, 2012
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My Course Wish List at CMSE next year

Here is the list  of courses I wish to teach next year at Chiang Mai School of Economics, not so sure about the demand there! Undergraduate (B.Econ.) ECON 304: Economics Statistics (with R) ECON 408: Research Design in Economics ECON 417: Managerial Economics ECON 419: Economic Theory and Entrepreneurship ECON 443: Industrial Economics ECON 4xx: Introduction to

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Visualization in regression analysis

February 23, 2012
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Visualization in regression analysis

Visualization is a key to success in regression analysis. This is one of the (many) reasons I am also suspicious when I read an article with a quantitative (econometric) analysis without any graph. Consider for instance the following dataset, obtai...

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On linear models with no constant and R2

February 2, 2012
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On linear models with no constant and R2

In econometrics course we always say to our students that "if you fit a linear model with no constant, then you might have trouble. For instance, you might have a negative R-squared". So I tried to find databases on the internet such that, when we ...

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Regression via Gradient Descent in R

November 27, 2011
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Regression via Gradient Descent in R

In a previous post I derived the least squares estimators using basic calculus, algebra, and arithmetic, and also showed how the same results can be achieved using the canned functions in SAS and R or via the matrix programming capabilities offered by ...

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Basic Econometrics in R and SAS

November 27, 2011
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Basic Econometrics in R and SAS

Regression Basicsy= b0 + b1 *X  ‘regression line we want to fit’The method of least squares minimizes the squared distance between the line ‘y’ andindividual data observations yi. That is minimize: ∑ ei2 = ∑ (yi - b0 -  b1 Xi...

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Modelling with R: part 2

October 2, 2011
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Modelling with R: part 2

I apologize for the delay in the second post (just in case anybody was waiting), I had been vary involved with work the past week. I shall try to be more regular. Well, in the previous post, we successfully imported data into R and got a basic "feel" o...

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Modelling with R: part 1

September 29, 2011
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Modelling with R: part 1

When I started work about 3 months ago, I didn't know much more than loading data and executing standard Econometric commands in R. But now I feel much much much more confident in using R for work, for research, for puzzles, and sometimes just for fun....

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Bayesian Models with Censored Data: A comparison of OLS, tobit and bayesian models

September 17, 2011
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Bayesian Models with Censored Data: A comparison of OLS, tobit and bayesian models

The following R code models a censored dependent variable (in this case academic aptitude) using a traditional least squares, tobit, and Bayesian approaches.  As depicted below, the OLS estimates (blue) for censored data are inconsistent and will ...

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Hey! I made you some Wiener processes!

September 7, 2011
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Hey! I made you some Wiener processes!

Check them out. Here are thirty homoskedastic ones: > homo.wiener for (j in 1:30) {  for (i in 2:length(homo.wiener)) {          homo.wiener for (j in 1:30) {        plot( homo.wiener,           type = "l", col = rgb(.1,....

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Hey! I made you some Wiener processes!

September 7, 2011
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Hey! I made you some Wiener processes!

Check them out. Here are thirty homoskedastic ones: > homo.wiener for (j in 1:30) {  for (i in 2:length(homo.wiener)) {          homo.wiener for (j in 1:30) {        plot( homo.wiener,           type = "l", col = rgb(.1,....

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