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Results tagged with regression
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user 27403
Techniques for analyzing the relationship between one (or more) "dependent" variables and "independent" variables.
2
votes
Accepted
Why is $\sigma^2$ also the unconditional variance of $u^2$ in the homoskedasticity assumptio...
$${\rm E}(u^2) = {\rm E}[{\rm E}(u^2|x)] = {\rm E}(\sigma^2) = \sigma^2$$
- 4,146
30
votes
Accepted
How do I calculate the variance of the OLS estimator $\beta_0$, conditional on $x_1, \ldots ...
This is a self-study question, so I provide hints that will hopefully help to find the solution, and I'll edit the answer based on your feedbacks/progress.
The parameter estimates that minimize the s …
- 4,146
13
votes
Accepted
Fit a GARCH (1,1) - model with covariates in R
Here is an example of implementation using the rugarch package and with to some fake data. The function ugarchfit allows for the inclusion of external regressors in the mean equation (note the use of …
- 4,146
1
vote
Linear regression simulation
Here is a suggestion:
## Parameters
n <- 20 # number of samples
rho <- 0.5 # correlation between predictors
beta <- c(0.8,3,1.5,0,0,2,0,0,0) # regression …
- 4,146
4
votes
Using Nelder-Mead algorithm for minimizing the sum of absolute deviations from the residuals
Use the optim function with appropriate parameters, including your sum.abs.dev function, initial values for the vector of regression parameters, the data, and the optimization method. …
- 4,146