REG

Regression and econometrics

OLS from three angles, what breaks it, and the regression brainteasers firms actually ask.

1
Ordinary least squares
Normal equations, the projection view, and interpreting coefficients.
- 1.1OLS from three angles13 min
2
Assumptions and properties
Gauss–Markov, BLUE, and what fails when each assumption does.
- 2.1Gauss–Markov: what each assumption buys and what breaks it12 min
3
Goodness of fit
R squared, adjusted R squared, F-tests, AIC and BIC.
- 3.1Goodness of fit: R squared, F tests and information criteria11 min
4
Diagnostics
Heteroskedasticity, autocorrelation, leverage and multicollinearity.
- 4.1Diagnostics: reading residuals, leverage and influence12 min
5
Identification
Omitted variables, measurement error, instruments and panel methods.
- 5.1Identification: endogeneity, instruments and panel methods13 min
6
Regression brainteasers
Regression to the mean, reverse regression, and Frisch–Waugh–Lovell.
- 6.1The regression questions firms actually ask14 min
7
Regularisation
Bias–variance, ridge, lasso and choosing lambda.
- 7.1Regularisation: ridge, lasso and choosing lambda12 min
8
Generalised models
Logistic and Poisson regression, and quantile regression.
- 8.1Generalised models: logistic, Poisson and quantile regression12 min