index

Simple linear regression (SLR)

• 5 Steps in Econometric Analysis: Hypothesis, Model Specification, Estimation, Verification / Statistical Inference / Statistical Tests of Hypothesis, Forecasting and Policy
• Population regression function and sample regression function; Estimator vs Estimate; Desirable properties of Estimators (Small sample properties - Unbiasedness, Efficiency, MVUE, Linearity, Mean Squared Error vs Large sample properties - Asymptotic Unbiasedness, Consistency)
  • YouTube Link
  • 6 ⇒ 11
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  • 29
• Data collection - Observational data vs experimental data; Role of random sampling assumption;
• 4 Assumptions for Estimation (also known as Gauss-Markov Assumptions)
  • YouTube Link
  • 31 ⇒ 33
• Estimation using Ordinary Least Squares (OLS) Approach
  • Properties of OLS regression line
  • Properties of OLS estimators (OLS estimators are BLUE); also known as the Gauss-Markov Theorem (when Gauss-Markov Assumptions are valid)
    • YouTube Link
    • 76 ⇒ 84
  • YouTube Link-fA&list=PLwJRxp3blEvZyQBTTOMFRP_TDaSdjjly3gU&index=14&pp=iAQB
  • 14 ⇒ 20
• Statistical Inference in SLR
  • Hypothesis testing basics - Basic intuition (Null Vs Alternative); Type of errors in statistical decision making (Type I vs Type II); sampling distribution of an estimator; statistic; critical values; Chi-squared, t and F tests; Confidence Interval approach to hypothesis testing
    • YouTube Link-EpX0&list=PLwJRxp3blEvZyQBTTOMFRP_TDaSdly3gU&index=88
    • 88 ⇒ 95
    • YouTube Link-MYQp1Nic&list=PLwJRxp3blEvZyQBTTOMFRP_TDaSdly3gU&index=105&pp=iAQB
    • 105 ⇒ 113
    • YouTube Link
    • 114
• Measuring Goodness of fit (Coefficient of determination; R-squared or R^2 in SLR and their relationship; One-way ANOVA); Relationship between R^2 and F-statistic and t-statistic
  • YouTube Link
  • 69 ⇒ 71
• OLS without intercept term; interpretation; OLS with change of origin and scale (Tutorial)

Relaxation of the Gauss-Markov Assumptions

• E(u) = 0 and its implications:
  • YouTube Link
  • 34 ⇒ 38
• Heteroskedasticity: Causes, Examples, Consequences, Detection (Visual vs Statistical Tests - Goldfeld-Quandt and White tests), Remedies (TBD)
  • YouTube Link
  • 54 ⇒ 57
  • YouTube Link
  • 115
  • YouTube Link
  • 117
  • YouTube Link-MtJdQ&list=PLwJRxp3blEvZyQBTTOMFRP_TDaSdly3gU&index=128&pp=iAQB
  • 128 ⇒ 132k
• Autocorrelation / Serial-correlation: Causes, Examples, Consequences, Detection (Visual vs Statistical Tests - Durbin-Watson Test)
  • YouTube Link
  • 47 ⇒ 53
  • YouTube Link
  • 118 ⇒ 119
• summary of errors
  • YouTube Link