# Estimation

### Confidence Regions for Regression Coefficients

September 16, 2012 |

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... ### Inference and autoregressive processes

September 6, 2012 |

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

November 2, 2011 |

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

March 10, 2011 |

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 |

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 |

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 |

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...  