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The Classical Linear Regression Model
  • Level Foundation
  • Duration 22 hours
  • Course by Queen Mary University of London
  • Offered by

About

In this course, you will discover the type of questions that econometrics can answer, and the different types of data you might use: time series, cross-sectional, and longitudinal data. During the course you will: – Learn to use the Classical Linear Regression Model (CLRM) as well as the Ordinary Least Squares (OLS) estimator, as you discuss the assumptions needed for the OLS to deliver true regression parameters. – Look at cases with only one independent variable for one dependent variable, before progressing to regression analysis by generalising the bivariate model to multiple regression. – Explore different model-building philosophies, with particular focus on the general-to-specific approach, and learn how to use goodness-of-fit statistics as the measures of “how well your model explains variations in the dependent variable”. Throughout this course, you will see examples to help clarify which kind of relationship is of interest, and how we can interpret it. You will also have the opportunity to apply your learning to estimating the Capital Asset Pricing Model using real data with R. The course is for beginners, so little prior knowledge is required, but you will benefit from an ability to graph two variables in the xy framework, an understanding of basic algebra and taking derivatives. Knowledge of matrix algebra is not a requirement but will also provide you with an advantage. By the end of this course, you will be able to: – Describe the problems that econometrics can help addressing and the type of data that should be used – Explain why some hypotheses are needed for the approach to produce an estimate – Calculate the coefficients of interest in the classical linear regression model – Interpret the estimated parameters and goodness of fit statistics – Estimate single and multiple linear regression models with R.

Modules

Orientation

    • 2 Readings
    • 1 Discussion
    • 1 Assignment
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1 Assignment

  • Setting Your Goals

1 Discussions

  • Meet Your Peers

2 Readings

  • Welcome to Coursera
  • Welcome to Queen Mary University of London

Navigation

    • 5 Readings
    • 1 Discussion
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1 Discussions

  • Ask Your Questions

5 Readings

  • Overview
  • Weekly Content
  • Discussion Forums
  • Grades
  • Notes

Prepare to Succeed

    • 5 Readings
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5 Readings

  • Top Tips
  • Workload
  • Mastery Learning
  • Unfacilitated
  • Academic Integrity

Assessment

    • 6 Readings
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6 Readings

  • Assessment
  • Peer Review
  • Quizzes
  • Course Projects
  • Labs and Programming Assignments
  • Getting Started

Aims and Use of Econometrics

    • 2 Videos
    • 1 Readings
    • 2 Discussion
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2 Discussions

  • Limitations of Econometrics
  • Check Understanding

2 Videos

  • Welcome to Econometrics for Economists and Finance Practitioners
  • Types of Data

1 Readings

  • Econometrics and Decision Making

Types of Data that the Econometrician Uses

    • 4 Readings
    • 1 Assignment
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1 Assignment

  • Check Understanding: Types of Data

4 Readings

  • Cross-Sectional Data
  • Time Series Data
  • High Frequency Data
  • Panel Data

The Single Regression Model

    • 1 Videos
    • 2 Readings
    • 1 Discussion
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1 Discussions

  • Residual Sum of Squares

1 Videos

  • The Problem

2 Readings

  • Assumptions
  • Solving the Problem

An Introductory Example

    • 1 Videos
    • 1 Discussion
    • 2 Assignment
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2 Assignment

  • Solving the OLS Problem
  • Check Understanding: Simple Linear Regression Model

1 Discussions

  • Use of the Solution

1 Videos

  • A Basic Problem to Solve

Simple and Multiple Regression

    • 1 Videos
    • 2 Readings
    • 1 Assignment
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1 Assignment

  • Simple Regression

1 Videos

  • An Introduction to the Classical Linear Regression Model

2 Readings

  • The Problem
  • Multiple Regression and the Constant Term

Assumptions of the Classical Linear Regression Model

    • 1 Videos
    • 5 Readings
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1 Videos

  • Setting the Scene

5 Readings

  • Linearity
  • Full Rank
  • Regression Model
  • Spherical Errors
  • Non-Stochastic Regressors

The Ordinary Least Squares Approach

    • 1 Videos
    • 1 Readings
    • 1 Discussion
    • 2 Assignment
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2 Assignment

  • Working Out the Solution
  • Changes in the Sample

1 Discussions

  • Changes in the Sample

1 Videos

  • Solution Parameters

1 Readings

  • Looking for the Optimal Beta

Working Out the Variance

    • 1 Videos
    • 1 Readings
    • 2 Assignment
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2 Assignment

  • Estimating the Variance
  • Understanding The Classical Linear Regression Model

1 Videos

  • Solution Variance

1 Readings

  • Working Out the Variance

Interpreting the OLS Parameters

    • 1 Videos
    • 2 Readings
    • 1 Discussion
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1 Discussions

  • Interpreting Regression

1 Videos

  • The OLS Parameters

2 Readings

  • Interpreting the Parameters
  • Interpreting the Variance

The R2

    • 1 Videos
    • 2 Readings
    • 1 Discussion
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1 Discussions

  • Comparing Models of the R2

1 Videos

  • Goodness of The Fit - The R2

2 Readings

  • The R2
  • Problems with the R2

The Adjusted R2

    • 1 Videos
    • 1 Readings
    • 1 Discussion
    • 1 Assignment
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1 Assignment

  • Problems with the Adjusted R2

1 Discussions

  • Comparing Models of the Adjusted R2

1 Videos

  • Goodness of Fit - The Adjusted R2

1 Readings

  • The Adjusted R2

An Example

    • 1 Videos
    • 2 Readings
    • 1 Discussion
    • 1 Assignment
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1 Assignment

  • Interpreting the Ordinary Least Squares Parameters

1 Discussions

  • Policy Implications of the Model

1 Videos

  • A Policy Example

2 Readings

  • Explaining Bus Use
  • Build a Robust Model

Data Description and Manipulation

    • 2 Videos
    • 1 Discussion
    • 1 Lab
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1 Discussions

  • Plot of Prices and Returns

1 Labs

  • Plot of Prices and Returns

2 Videos

  • An Introduction to the Capital Asset Pricing Model (CAPM)
  • Long and Short Memory

The Capital Asset Pricing Model (CAPM)

    • 1 Videos
    • 1 Readings
    • 1 Assignment
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1 Assignment

  • From Theory to Practice

1 Videos

  • The CAPM

1 Readings

  • The Theory of the CAPM

Estimation of the CAPM Model

    • 1 Videos
    • 1 Discussion
    • 1 Lab
    • 2 Assignment
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2 Assignment

  • Implications of the Fama-French Model
  • Analysing the Fama-French Model

1 Discussions

  • The Fama-French Model and the RSS

1 Labs

  • Using the Fama-French Model

1 Videos

  • Estimation of the OLS Parameters The CAPM

Interpretation of Parameters

    • 1 Videos
    • 1 Readings
    • 1 Discussion
    • 1 PeerReview
    • 2 Lab
    • 1 Assignment
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1 Assignment

  • Interpreting the Intercept and the Slopes

1 Peer Review

  • What if the Sample Changes?

1 Discussions

  • Interpreting the R2 and the Adjusted R2s

2 Labs

  • The Plot of Distribution of Residuals
  • Changing the Sample

1 Videos

  • Interpreting the OLS Parameters

1 Readings

  • Congratulations

Auto Summary

Discover the power of econometrics with "The Classical Linear Regression Model" course in Business & Management. Perfect for beginners, this course led by Coursera spans 1320 minutes and dives deep into the Classical Linear Regression Model (CLRM) and Ordinary Least Squares (OLS) estimator. Learn to handle different data types, progress from simple to multiple regression, and apply real data using R. Ideal for those with basic algebra skills, the course offers a foundation-level understanding with a starter subscription option, making it accessible and practical for aspiring analysts and economists.

Dr Leone Leonida
Instructor

Dr Leone Leonida