Linear Regression

Linear regression is the starting point of econometric analysis. The linear regression model has a dependent variable that is a continuous variable, while the independent variables can take any form (continuous, discrete, or indicator variables). A simple linear regression model has only one independent variable, while a multiple linear regression model has two or more independent variables. The linear regression is typically estimated using OLS (ordinary least squares). Examples include studying the effect of education on income; or the effect of recession on stock returns.

Handouts, Programs, and Data

Linear Regression

Linear Regression Example

Linear Regression Stata Program and Output

Linear Regression in Stata.do

regression_auto.dta

Linear Regression R Program and Output

Linear Regression in R.R

regression_auto.csv

Linear Regression SAS Program and Output

Linear Regression in SAS.sas

regression_auto.csv

Linear regression model: topics covered

    • Linear regression model

    • Coefficients and marginal effects

    • Tests for coefficient significance and interpretation

    • Prediction for dependent variable

    • Goodness of fit (R-squared)