From the course: Advanced and Specialized Statistics with Stata
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Violating estimator assumptions - Stata Tutorial
From the course: Advanced and Specialized Statistics with Stata
Violating estimator assumptions
- [Narrator] In this session we're going to explore how we can use randomly created variables to examine what happens when our data violates the assumptions of an estimator. This can be a really great way to learn how a particular estimator works, or to test how a particular data structure might fare given a particular choice of estimator. In this session, we'll take a closer look at the ordinary least squares estimator, the most commonly used regression method. In particular, we're going to see what happens to our estimates when one of our explanatory variable is endogenous. In the second example, we'll also explore how multicollinearity between explanatory variables might influence our estimates. Both of these examples constitute a violation of the assumptions underpinning ordinary least squares. So let's take a look and see what happens. We're not going to introduce any new Stata commands or functions in this session.…
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