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Topics on Econometric Models and Applications with R

Topics on Econometric Models and Applications with R. Richard Lu Department of Risk Management and Insurance, Feng-Chia University. Topics. Linear Model: OLS regression Tobit Model and Heckman Model Linear Model: Quantile regression Linear Panel Data Models: OLS regression

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Topics on Econometric Models and Applications with R

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  1. Topics on Econometric Models and Applications with R Richard Lu Department of Risk Management and Insurance, Feng-Chia University

  2. Topics • Linear Model: OLS regression • Tobit Model and Heckman Model • Linear Model: Quantile regression • Linear Panel Data Models: OLS regression • Linear Panel Data Models: Quantile regression • Dynamic Panel Data Models

  3. Types of Data – Cross Sectional • Cross-sectional data is a random sample • Each observation is a new individual, firm, etc. with information at a point in time • If the data is not a random sample, we have a sample-selection problem

  4. Types of Data – Pooled Cross Sections and Panel • Can pool random cross sections and treat similar to a normal cross section. Will just need to account for time differences. • Can follow the same random individual observations over time – known as panel data or longitudinal data

  5. Types of Data – Time Series • Time series data has a separate observation for each time period – e.g. stock prices • Since not a random sample, different problems to consider • Trends and seasonality will be important

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