Explainers
One topic, start to finish
- How to read regression output: a regression table, line by lineCoefficient, standard error, t-statistic, p-value, interval, R-squared and F-test, with a real example.
- What is OLS? Ordinary least squares explained, with a worked exampleThe line that makes the squared residuals as small as possible. Formula, a worked example, real data and a quiz.
- Time series econometrics: process, stationarity and memoryProcess and realisation, stationarity, white noise and autocorrelation, with UK GDP and inflation as examples.
- Maximum likelihood estimation explainedThe likelihood and log-likelihood, the information matrix, the asymptotic distribution and the likelihood-ratio test.
- Instrumental variables and the weak instrument problemEndogeneity, the IV and 2SLS estimators, why OLS is inconsistent, and the first-stage F-test.
- GARCH models: volatility clustering explainedVolatility clustering, GARCH(1,1), persistence, MLE and forecasting.
