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- Просмотров 1 551 271
Mike Jonas Econometrics
США
Добавлен 15 ноя 2018
I teach econometrics at the University of San Francisco, and I wanted a place for my students, and anyone else, to find straightforward tutorials and examples of how to use Stata and R-studio effectively to execute data analyses.
You will find topics that range from a first introduction to the software, to advanced techniques covered at the graduate level.
Additional videos will be added on a weekly basis (on average), and luckily there is no shortage of possible topics.
On twitter @MichaelRJonas
You will find topics that range from a first introduction to the software, to advanced techniques covered at the graduate level.
Additional videos will be added on a weekly basis (on average), and luckily there is no shortage of possible topics.
On twitter @MichaelRJonas
RStudio Tutorial: First Difference Regression
Using time series macro data, we walk through a simple first-difference transformation to account for potential autocorrelation in the OLS error term.
Code to get started:
library(quantmod)
getSymbols.FRED(c('INDPRO',"UNRATE"),env=globalenv())
tsexample = = cbind(INDPRO,UNRATE)
tsexample1==as.data.frame(tsexample)
tsexample2==na.omit(tsexample1)
("==" is arrow, as "angled brackets not allowed in RUclips description)
Code to get started:
library(quantmod)
getSymbols.FRED(c('INDPRO',"UNRATE"),env=globalenv())
tsexample = = cbind(INDPRO,UNRATE)
tsexample1==as.data.frame(tsexample)
tsexample2==na.omit(tsexample1)
("==" is arrow, as "angled brackets not allowed in RUclips description)
Просмотров: 352
Видео
ECON Intro Econometrics Brief Review
Просмотров 4336 месяцев назад
ECON Intro Econometrics Brief Review
Finance Data in R Using getSymbols
Просмотров 11 тыс.2 года назад
Short tutorial on how to download basic financial data for stocks and indices from Yahoo finance using the getSymbols command in R-Studio. We download the raw data, generate returns, basic time-series plots, and run a simple CAPM regression.
Causal Inference: A Simple Difference-in-Difference Model
Просмотров 57 тыс.3 года назад
An explanation and data example of a simple Difference-in-Difference model, with an example in Stata. Link to excellent new book - Causal Inference: The Mixtape by Scott Cunningham (amzn.to/3fTxdvg) Classic Article by Card and Kruger using a Diff-in-Diff approach to study impact of changing the minimum wage (www.nber.org/papers/w4509)
Econometrics Lecture: Autocorrelation Part 1
Просмотров 3,8 тыс.3 года назад
Basic introduction to the topic of autocorrelated errors in OLS regression. Testing for Autocorrelation in Stata, Part 1 ruclips.net/video/5WZF0o2we4I/видео.html Testing For Autocorrelation in Stata, Part 2 ruclips.net/video/O3QaWBT97t4/видео.html Correcting for Autocorrelation, examples in Stata ruclips.net/video/ldNHyNHqUEE/видео.html Link to the excellent Introduction to Econometrics Textboo...
Residual and Prediction Plots In Python
Просмотров 12 тыс.3 года назад
Short tutorial showing how to generate residual and predicted dependent variable plots using time series data in Python. Here is the previous tutorial showing how to estimate the regression model: ruclips.net/video/6biU48ZAx3o/видео.html
How to Filter Data in R
Просмотров 44 тыс.3 года назад
How to filter your dataframe in R-Studio to get a sample that contains only the rows you want. Using the "filter" command in the "dplyr" package, we -create sub-sample objects -Eliminate missing observations -filter rows based on text or numerical values The example uses World Development Indicator data from the World Bank, which we show how to obtain here: ruclips.net/video/R9qw_k94wK0/видео.html
How to Run a Regression in Python
Просмотров 25 тыс.3 года назад
Just getting started with using Python for econometrics or data science? We walk through the process from importing the necessary Python packages, gathering example data from the Federal Reserve, to estimating a simple ordinary least squares regression to viewing the output table. Getting Started with Python: ruclips.net/video/kltX6XofxG0/видео.html Federal Reserve Economic Database: fred.stlou...
How to Download World Bank Data in R-Studio
Просмотров 9 тыс.3 года назад
How to load World Development Indicator data from the World Bank directly into R/R-Studio. Data Source for reference: data.worldbank.org Documentation on WBI package: cran.r-project.org/web/packages/WDI/index.html Documentation on "use_labels":cran.r-project.org/web/packages/expss/vignettes/labels-support.html
How to Make Maps in Stata
Просмотров 23 тыс.3 года назад
We walk through an example of making a choropleth map, which shows how the intensity of a given variable differs across regions through simple color coding. We use the Stata commands spshape2dta, merge, and grmap. Our example data is from the World Bank, and can be accessed from within Stata with this command: wbopendata, indicator(ny.gdp.pcap.pp.kd) clear long Our map "Shapefiles" were found h...
A First Look at Using Python for Econometrics
Просмотров 13 тыс.3 года назад
We walk through a first look at using Python for econometrics and data analysis, from downloading Python, installing useful libraries and packages, to our first data plot. Specifically, we use the Anaconda navigator to access the Jupyter Notebook interface, where we access and plot example data from the Federal Reserve Economic Database using Pandas and the matplotlib package. Links used in the...
The Chow Structural Break test in Stata
Просмотров 19 тыс.3 года назад
How to calculate and interpret the Chow structural break point F-statistic with worked examples in Stata. Here is the code to get the data used in the example: getsymbols aapl ^gspc,fm(10) fy(2019) yahoo gen t=_n tsset t gen raapl=D.adjclose_aapl/L.adjclose_aapl gen rm=D.adjclose gspc/L.adjclose gspc
Stata Time Series Tutorial: The Rolling Regression
Просмотров 10 тыс.3 года назад
How to use the "rolling" regression command in Stata to diagnose potential instability in your time series regression model. Here are the commands I used to generate the example data set (in case you want to play along): .getsymbols aapl ^gspc,fm(10) fy(2019) yahoo .gen t=_n .tsset t .gen ra=D.adjclose_aapl/L.adjclose_aapl. // precedent change in AAPL price is asset return .gen rm=D.adjclose gs...
Estimating a GARCH model in Stata
Просмотров 24 тыс.3 года назад
A quick example of how to specify and estimate an ARIMA model for an asset return, with a GARCH variance prediction equation in Stata. Using the Corrgram command in Stata: ruclips.net/video/GJukJBfImg0/видео.html Out-of-sample forecasting in Stata: ruclips.net/video/zi4P3KiMWWY/видео.html Recommended Textbook Link Introductory Econometrics for Finance by C. Brooks amzn.to/2YJc2Tu My Twitter is:...
Intro Econometrics Lecture: Slope Dummy and Interaction Terms
Просмотров 3 тыс.3 года назад
Discussion of how to estimate and interpret models that use slope-dummy and general continuous interaction variables, with examples using Stata. Includes examples of margins, marginsplot, and interaction operator in Stata. Follows material from chapters 6 and 7 from the Studenmund textbook
Stata Tutorial: Out of Sample Forecasts
Просмотров 22 тыс.3 года назад
Stata Tutorial: Out of Sample Forecasts
Econometrics Lecture: Derivation of the OLS Coefficient Variance
Просмотров 1,9 тыс.3 года назад
Econometrics Lecture: Derivation of the OLS Coefficient Variance
Time Series Econometrics: The CORRGRAM command in Stata
Просмотров 7 тыс.3 года назад
Time Series Econometrics: The CORRGRAM command in Stata
Using PUTEXCEL to export Stata output to MS Excel
Просмотров 41 тыс.3 года назад
Using PUTEXCEL to export Stata output to MS Excel
Econometrics Lecture: OLS Unbiased Proof
Просмотров 4,7 тыс.3 года назад
Econometrics Lecture: OLS Unbiased Proof
Econometrics Lecture: The Classical Assumptions
Просмотров 21 тыс.3 года назад
Econometrics Lecture: The Classical Assumptions
Basic Time Series in Stata: Finite Distributed Lag Models
Просмотров 10 тыс.3 года назад
Basic Time Series in Stata: Finite Distributed Lag Models
OLS Regression "By Hand" in Excel: Part 3
Просмотров 1,3 тыс.3 года назад
OLS Regression "By Hand" in Excel: Part 3
Geometric (Infinite) Distributed Lag Model in Stata
Просмотров 2,1 тыс.3 года назад
Geometric (Infinite) Distributed Lag Model in Stata
Roadmap to Learning Econometrics, Part 2
Просмотров 1,2 тыс.3 года назад
Roadmap to Learning Econometrics, Part 2
Financial Econometrics Lecture 1, Part 2
Просмотров 2,9 тыс.3 года назад
Financial Econometrics Lecture 1, Part 2
Financial Econometrics Lecture 1, Part 1
Просмотров 7 тыс.4 года назад
Financial Econometrics Lecture 1, Part 1
Intro Econometrics Lecture: Roadmap for Learning Econometrics Pt. 1
Просмотров 2,8 тыс.4 года назад
Intro Econometrics Lecture: Roadmap for Learning Econometrics Pt. 1
Building a Regression "By Hand" in Excel Part 2
Просмотров 1,6 тыс.4 года назад
Building a Regression "By Hand" in Excel Part 2
Building an OLS Regression "By Hand" in Excel: Part 1
Просмотров 4,9 тыс.4 года назад
Building an OLS Regression "By Hand" in Excel: Part 1
I'm a physician but I found it extremely useful. Keep it up.
Hi Mike, Thanks for the video. Is there any video available for multilevel mixed effect linear regression model in STATA please :)
Habiluddin governor.s/o.abdulkarim.2no.balarchar.bngn
great video, thank you!
Greetings from Argentina! Nice content. At my university (a public one (in Argentina the public ones are good, at least for our parameter)) idk if in the economics' degree we're going to learn about stata usage(we learned in inferencial statistics about excel usage to do lineal simple-multiple regressions), but I can stay in peace due to your videos! Thanks
Thanks a lot!
Wonderful session through this tutorial. Thank you,
Where is part 2?
Hello Prof do you have the same video using Arellano-Bond
Mike ~ this is so helpful! For so many Stata videos, this definitely stands out as the most helpful!
Thank you!!!
Thank you so much. Great Video !!!
Thanks , for your explication
Great video, thanks! Also realy useful that you can just tell Rstudio to create factor variables
keep up the great work!
One minute was enough to give a like.
I followed the same method but i am facing a problem with data merging. What should i do
thankyou!!!!!!!!!!!!!!!!!!!!!!!!!!!
Thank you!
Absolutely invaluable explanation, thank you! Also loved the Venn diagram, it's locked in my brain now :)
Thank you so much Mr. Mike, God bless you
Dear Mike, I O U Best Wishes, Manal (Gorny says thanks Mike)
can we caculate marginal effect of a binary independent variable on binary dependent variable? for example: marginal effect of gender on labor force participation ? THanks!!
Amazing video! Thanks for creating such valuable content
Very clear explanation thank you! Much better than my professor at the uni!
You Saved my assignment and myself. THANK YOU SO MUCH! I had issues with the date variable being in monthly format as "1998jan01" and that was confusing stata. mofd() helped me so much. God bless u
You can use this to gather panel data - it's even better than the title promises haha. Thank you for making this video!
Thank you sir
Thanks for this tutorial. Does it matter that the R-squared is .(nothing)?
this is genius
@Mike Jonas___ Can you pelase share Federal reserve data with this video? If possible, Please upload a new video showing how to down load Federal reserve data into STATA through API Key.... Just a request.. Thanks for the video.
This is very insightful. I have a few questions: (1) can we include lags in hausman-taylor estimation, (2) when one includes interaction, do you have any idea to do margin plots?
first time ecn 102 student appreciate this!
Very insightful. I wonder how the explanation will look like when we interact two dummies for e.g. gender and race etc,
I want to draw time graphs with panel data. For example I have a patient who had a procedure on Jan12024 and then on Jan 2, his pain score was 2, on Jan 3, his pain score was 6 and jan 10, his pain score was 12 . Let’s assume I have 100 patients, 50 who had the procedure and 50 did not. And so I want to draw time wise graphs for cumulative pain scores on days 1,2,3…….for both patient types in different colors. Is it possible to know this from you. I know I will have to calculate the days on my own which I can do
By the way…excellent stuff. I subscribed you
Hi, what about using the anova() feature in R for comparing the restricted and unrestricted models? For example anova(modela, modelb)?
Big thanks to Dr. Shah. I'm also from Pakistan 🇵🇰. Feeling proud ♥
I appreciate your good work. Thanks
Extremely helpful and concise. I've been struggling with various other videos and appreciate the simple description of how to filter and apply basic functions in base R. Please keep these coming!
Do you need time/year dummies when using the HT estimator?
good video, but i have one problem. When i click the data, it doesnt show up in colums like it does for you, it just lists up data, and it looks messy. What do i need to do?
nvm i found out
Welcome back dear Mike !
Dr. Mike! Great to see you again! Love your videos! 👍👏 (Retired Math/Stats Prof here.)
First comment! ... and thank you for making this video!
Thanks! My understanding is that if there are more than two time points, then, DID has to be done separately for each pair of pre-test and a subsequent post-test, right?
can you attach the sample workbook you use please
You are the first one to explain clearly the last last step, why expectation operator moves inside the summation of (Xi-Xbar)*ui. Thank you so much.
This is the best explanation I have seen of two challenging abstract concepts: ac and pac. Excellent.
Hi sir good morning
I would like to have your classes online for MBA
Pls let me know sir