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I started to study ordinary least squares (OLS) estimators and am still at the very beginning. I already bought some books on econometrics but I did not find anything online. So I was wondering if there exists a website, homepage or other online resources that explain least squares estimators in an exhausting way. I am looking for material that provides a general introduction or overview. So far I did not find anything too mind-blowing on the internet. Does anyone have some useful references?

The ideal online reference explains OLS in a simple way for an applied purpose. Ideally, it also provides examples and further information on specific topics, such as the mathematical derivation of the estimator, the assumptions of OLS or mathematical poofs that the estimator is unbiased. I am not looking for a pdf of an econometric book.

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  • $\begingroup$ ssc.wisc.edu/~bhansen/econometrics/Econometrics.pdf e.g. chapters 3-4, 6 $\endgroup$
    – hejseb
    Commented Apr 2, 2016 at 15:53
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    $\begingroup$ Should "exhausting" be "exhaustive"? $\endgroup$
    – Silverfish
    Commented Apr 2, 2016 at 15:54
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    $\begingroup$ I think it might help if you added some detail about your mathematical background - some resources make quite different assumptions about how much maths (especially linear algebra and multivariate calculus) you know beforehand $\endgroup$
    – Silverfish
    Commented Apr 2, 2016 at 15:57

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I too am looking for an introduction to OLS. I am looking for online references I can provide to my econometric class. So far I have found a few sites that provide some general information on OLS. However, the only site that I found and that provides both introductory and some advances material is

https://economictheoryblog.com/ordinary-least-squares-ols

The site provides the usual things such as a derivation of the OLS estimator, a discussion of its assumption and even some applied stuff. You can find an overview of the material that the site provides here

https://economictheoryblog.com/contents-ordinary-least-squares/

Besides the usual textbooks, this site is the only online reference I provided to my class. However, I am constantly looking for additional material!!

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I started typing as a comment, but it didn't work out...

I was in the same position one year ago, and I learned OLS by signing up for this Coursera course. And, yes, you can still take it for free. Two important caveats:

  1. The course is disorganized in its presentation and you may want to skip the math lectures. Of course the math is the fun part, but they try to avoid linear algebra and even the lecturer seems disappointed. More on this later...
  2. I would recommend using R (the course is in R), and downloading and doing the guided complement of the course in the GitHub swirl repository. This is even better than the course, and I have gone back to it many times.

So, about the math, I did go through the MIT course by Professor Strang, and got his book.

Finally, there is no better learning place than this site. So post questions, and try to answer other people's questions - don't worry about making mistakes, there are many eyes on the posts, and they typically get corrected.

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