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