[Play Econometrics with R] Preview for Chapter 1-2 released!

I'm glad to announce that now the preview version for my brochure Play Economics with R has been released! This time I publish the first two chapters, which were just finished several days ago. At present it is written in Chinese, so there is only an English content for none-Chinese readers.

Content

Chapter 1 Get familiar with R

1.1 Data Import...................................... 6
1.2 Summary the data....................................... 7
1.2.1 Average value..................................... 7
1.2.2 Linear regression (ordinary least squares, OLS).................... 8
1.3 Plot a regreesion figure...................................... 9
1.4 Point prediction......................................... 10
1.5 Multiple linear regression..................................... 10
1.6 Save and edit the code.................................... 11
1.7 Search for help....................................... 11

Chapter 2 Start from cross-section data

2.1 Parameter test....................................... 12
2.1.1 t test..................................... 13
2.1.2 F test..................................... 13
2.2 Confidence Intervals....................................... 14
2.3 Dummy variables....................................... 14
2.3.1 grouped by the nature.................................. 14
2.3.2 grouped by the value................................. 14
2.3.3 interaction items................................... 15
2.3.4 specify the based group.................................. 17
2.4 Heteroscedasticity test...................................... 18
2.4.1 BP test (Breusch-Pagan Test)........................ 19
2.4.2 White test (White test for heteroskedasticity)................ 20
2.5 Robust standard deviation...................................... 20
2.6 Weighted least squares estimation (WLS).............................. 21
2.6.1 with disturbance form known ............................... 21
2.6.2 feasible generalized least squares (Feasible GLS, FGLS)................ 22
2.7 Generalized Linear Estimation (GLM)................................. 24
2.7.1 Maximum Likelihood Estimation (MLE).......... 25
2.7.2 Probit and Logit models.............................. 25
2.7.3 Tobit model................................... 26
2.7.4 Ordered Logit / Probit............. 27
2.8 Count Model............................... 28
2.8.1 Poisson Regression Model................... 28
2.8.2 test for dispersion.............................. 29
2.8.3 Negative binomial regression model............. 30
2.8.4 Zero-inflated Poisson model (ZIP)............ 30
2.9 Sample Selection Bias.................................... 32
2.9.1 Heckit model.................................. 32
2.10 Simultaneous Equations Model..................................... 33
2.10.1 two-stage least squares (2SLS) and instrument variable................... 33
2.10.2 Simultaneous Equations Model Estimation: Seemingly Unrelated Regression (SUR)... 34
2.11 Proxy Variables....... 35

Download

You may download it from GitHub: http://github.com/cloudly/Play-Econometrics-with-R/downloads (I'll keep updating this page)

Please tolerate the mistakes and typo, as well as some formatting problems I need to come over in the future.

News and Feedback

If you want to keep up with the latest news of this brochure, please send an email to: publication@cos.name or cloudlychen@gmail.com

Your feedback is welcome! Please also send to publication@cos.name or cloudlychen@gmail.com

What‘s Next?

I'm currently working on Chapter 4 Panel Data Analysis (so I skip Chapter 3 Time Series temporarily). Chapter 4 will include several interesting methods, like Fixed / Random Effect, Panel Data tests and GMM estimator, etc. Please tell me what you are looking for in my brochure and I'll add them if possible.

3 thoughts on “[Play Econometrics with R] Preview for Chapter 1-2 released!

  1. XiTan

    Thanks very much! Thanks for your altruism effort!
    Really useful and excellent!
    I'm reading your masterpiece and starting to learn a lot from it!
    Looking forward to your Chapter 4.

    Reply
  2. Betty

    inquire of the "Rcmdr", since without it, i cannot use the interface and mouse!

    please give some hints about "Rcmdr".----a passionate beginner for R

    Reply

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