Derivation Aug 2021
Zero Conditional Mean Implies Zero Covariance
Why a zero conditional mean implies that the disturbance is uncorrelated with the regressors.
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NOTES / ECONOMETRICS
Econometrics
Regression, inference, asymptotics, and the assumptions behind causal claims.
13 pieces
Note Aug 2021
OLS Unbiasedness
Recovering population parameters for β.
Derivation Aug 2021
M₀: The Deviation-from-Mean Matrix
How the deviation-from-mean matrix is constructed and what it does.
Note Aug 2021
The Effect of Including a Constant Column in OLS
Deviations from means.
Derivation Aug 2021
Derivation of the Variance of the Sample Mean
A compact derivation of the variance of the sample mean.
Note Aug 2021
Newey-West Covariance Matrix (Part 2)
The multivariate case of the Newey-West covariance matrix.
Note Jul 2021
Central Limit Theorem (CLT)
The most prolific result in statistics.
Note Jul 2021
Newey-West Covariance Matrix (Part 1)
A covariance matrix that incorporates heteroskedasticity and autocorrelation.
Derivation Jun 2021
Partitioned Least Squares Derivation
Deriving the partitioned least-squares estimator by partialling out one block of regressors.
Derivation Jun 2021
Normal Equations for Partitioned Least Squares
The full derivation of the normal equations for partitioned least squares.
Note Jun 2021
Solution for Constrained Weighted Least Squares
Full setup and solving for CWLS in the context of factor models.
Note Jun 2021
Partitioned Least Squares
Understanding what it means to "partial out" variable effects.
Note Jun 2021
The Geometry of Ordinary Least Squares
Visualizing the workhorse model for regression analysis.