Posts Tagged ‘ Estimation ’

Confidence Regions for Regression Coefficients

September 16, 2012
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Let’s consider the usual linear regression model, with the full set of assumptions:                     y = Xβ + ε ;    ε ~ N , (1)where X is a non-random (n × k) mat...

Inference and autoregressive processes

September 6, 2012
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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) > ...

Strange behavior of correlation estimation

November 2, 2011
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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...

An easier to use IV regression command in R

March 10, 2011
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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

March 8, 2011
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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

March 8, 2011
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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?

March 1, 2011
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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

February 28, 2011
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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!