Chapter 10 Statistical Analysis

We first review some basic function of statistics: central tendency and dispersion before going into regression analysis.

Learning objectives:

• summary statics

• generate random numbers

• estimate OLS

• estimate time series models (ARIMA using arima, GARCH using rugarch, VAR using vars)

• estimate panel data (plm package)

• Simulation on random walk model

• Simulation on Roll model for effective bid-ask spread