How to address the issue of serial correlation
This video explains the two methods which can be used to address the issue of serially correlated errors; using either corrected standard errors, or GLS.
Ben Lambert
R Studio - Post Regression Diagnostics of ECM Model
This tutorial discusses about the post regression tests on ECM model. As ECM only works if there is no endogeneity, this test is shown in this tutorial.
Noman Arshed
Selection bias as viewed as a problem with samples
This video explains how selection bias can be explained as a consequence of unbalanced samples; confounding efforts to try to derive an average causal effect ...
Ben Lambert
Regression assumptions explained!
See all my videos at http://www.zstatistics.com/ See the whole regression series here: ...
zedstatistics
fGLS for serially correlated errors
This video explains how we go about estimating GLS models to correct for serial correlation, in the event that the exact form of the serial correlation is not known.
Ben Lambert
Endogeneity and Instrumental Variables
This video provides a description of the problems which are faced when endogenous regressors occur, and alludes to how instrumental variables can help to ...
Ben Lambert
GLS estimation to correct for serial correlation
This video explains how GLS estimators can be used in the event that the functional form of serial correlation is understood, and the parameters are also known.
Ben Lambert
Leads and lags estimator for inference in cointegrated models (advanced)
This video explains how a 'leads and lags' estimator can be used to allow inference on cointegrated relationships. Check out ...
Ben Lambert
Fixed Effects, First Differences and Pooled OLS - intuition
This video provides intuition as to why Fixed Effects, First Differences and Pooled OLS panel estimators can yield significantly different results. Check out ...
Ben Lambert
Eviews - 9 - Johanson VECM Model Estimation and Diagnostics
This tutorial will guide in selecting appropriate specification in unit root tests, interpretation of unit root tests (ADF and Unit root with structural break), estimating ...
Noman Arshed
Tobit and Heckman (Censored Data and Sample Selection) - R for Economists Moderate 8
This series of videos will serve as an introduction to the R statistics language, targeted at economists. In this video I cover how to perform a Tobit regression with ...
Nick Huntington-Klein
Limited Dependent Variable Models in Stata
Tobit, Truncated Regression, Heckman Selection Model in Stata ...
econometricsacademy
Module 6: Session 5: Restricted VECM (2)
Omnia O H
Endogeneity tests
Mikko Rönkkö
Endogeneity: An inconvenient truth (a gentle introduction), by John Antonakis
A key assumption of regression analysis (or structural equation modeling) is that the modeled independent variables are not endogenous. Yet, the problems of ...
UNIL Université de Lausanne
Instrumental-variables regression using Stata®
Learn how to fit instrumental-variables models for endogenous covariates using -ivregress-. Copyright 2011-2019 StataCorp LLC. All rights reserved.
StataCorp LLC
(EViews10): VECM and 3-Ways Causality Checks (3) #var #vecm #causality #granger #wald #Johansen
A statement such as “X causes Y” will have the following meaning in different scenarios and disciplines such as X leads Y, X is the only cause of Y, X is only one ...
CrunchEconometrix
Fixed Effects estimators: an introduction
This video explains the motivation, and mechanics behind Fixed Effects estimators in panel econometrics. Check out ...
Ben Lambert
Panel Data (10): Hausman and Taylor model in STATA
Hausman and Taylor model in STATA// This video explains the concept of Hausman and Taylor model and shows how to estimate it in STATA. . #SarganHansen ...
Research HUB
Causality - an introduction
This video provides an introduction to causality in econometrics; explaining why it is the ultimate goal of the social sciences. Check out ...
Ben Lambert
The Phillips-Perron test for a unit root - an introduction
This vide provides an introduction to the Phillips-Perron test for a unit-root process, and compares it with an Augmented Dickey-Fuller test. Check out ...
Ben Lambert
Measurement error in independent variable - part 2
This video provides the logic behind the mathematical proof that shows that measurement error in the independent error leads to endogeneity, resulting in ...
Ben Lambert
Highly persistent time series
This video explains the concept of 'highly persistent' time series, and the problems this leads to in regression. Check out ...
Ben Lambert
(EViews10): Heteroskedasticity and Functional Forms
CrunchEconometrix This video explains how to correct heteroscedasticity with functional forms of the model. Coined from the Greek word hetero (which means ...
CrunchEconometrix
What is autocorrelation? Extensive video!
See all my videos at http://www.zstatistics.com/videos/ 0:00 Introduction and overview 1:40 What is autocorrelation 4:08 Common causes 10:18 Impacts on ...
zedstatistics
Autocorrelation an introduction
This video provides an introduction to the concept of 'autocorrelation' (also called 'serial correlation'), and explains how it can arise in practice. There is also an ...
Ben Lambert
GMM Estimation
Lecture by Luc Anselin on GMM Estimation, Spatial Regression (Spring 2017).
GeoDa Software
Standard Errors in Panel Data
Mitchell Peterson, Northwestern University | 2008 FMA Annual Meeting.
Financial Management Association International
Serial Correlation summary
This video explains what is meant by serial correlation, and how it can lead estimators to be inefficient. Check out ...
Ben Lambert
Panel Data Regression | Econometrics | Fixed-Random Effect | Data Science
Panel Data combined features of time series and cross section. Panel data regression is used to analyse data that has both cross section and time series ...
Analytics University
Testing for Heteroscedasticity in Regression using SPSS
This video demonstrates how to test for heteroscedasticity (heteroskedasticity) for linear regression using SPSS. The standardized predicted variables are ...
Dr. Todd Grande
Unbiasedness vs consistency of estimators - an example
This video provides an example of an estimator which illustrates how an estimator can be biased yet consistent. Check out ...
Ben Lambert
(EViews10):Interpret VECM, Forecast Error Variance Decomposition #var #vecm #fevd #Johansen
The forecast error variance decomposition indicates the amount of information each variable contributes to the other variables in the autoregression.
CrunchEconometrix
The partial adjustment model
In this video I introduce the concept of a 'Partial Adjustment Model', and explain its importance in time series econometrics. Check out ...
Ben Lambert
Understanding Generalised Method of Moments #gmm #onestepgmm #twostepgmm #yeardummies
This video tries to simplify the understanding of generalised method of moments (GMM) technique in such a manner that beginners can comprehend. The video ...
CrunchEconometrix
Mean and median lag
This video explains what is meant by the concepts of the mean and median lag of a distributed lag model. Check out ...
Ben Lambert
What's Hot in Econometric Modeling in SAS/ETS 12.1
Ken Sanford in the Statistical Applications Department at SAS teaches about new estimation techniques for time series and panel data, Bayesian estimation for ...
SAS Software
Class 10: Regression Discontinuity
PEP online course: Evaluation of Public Policies Class 10: Regression Discontinuity Regression Discontinuity (RD) method estimates a treatment effect in a ...
PEP
Serial correlation testing - the Breusch-Godfrey test
This video explains how it is possible to adapt the t tests for serial correlation for the presence of endogenous regressors. This corrected test (when applied to ...
Ben Lambert
Dickey Fuller test for unit root
This video explains how the Dickey Fuller test can be used to test for the presence of a unit root in a series, and how this can be viewed a test for whether a ...
Ben Lambert
Problem set 3 - Presidential election data - hypothesis testing and model selection
This video provides an introduction to a problem set on hypothesis testing in econometrics, and how we select between models. The practical element of the ...
Ben Lambert
Fixed Effects vs Random Effects
An introduction to the difference between fixed effects and random effects models, and the Hausman Test for Panel Data models. As always, using the FREE R ...
BurkeyAcademy
