Learning about Linear Regressions

PRE · #1 11-03-2007, 01:41 PM

A lot of the research ideas that I have in mind regarding investing will need the use of linear regression. I'm one year out of school and do know how to do regressions with Excel, but feel that a more advanced knowlegde about them will help out a ton. Does anyone know of any websites, books, videos, etc. that do a good job of teaching regression analysis from the basics to more advanced concepts/techniques? It would be most appreciated.

DcifrThs · #2 11-03-2007, 02:54 PM

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A lot of the research ideas that I have in mind regarding investing will need the use of linear regression. I'm one year out of school and do know how to do regressions with Excel, but feel that a more advanced knowlegde about them will help out a ton. Does anyone know of any websites, books, videos, etc. that do a good job of teaching regression analysis from the basics to more advanced concepts/techniques? It would be most appreciated.

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how mathematically inclined are you?

Barron

if you are good at maths, get GS Maddala's book on Econometrics.

spex x · #3 11-05-2007, 10:45 AM

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A lot of the research ideas that I have in mind regarding investing will need the use of linear regression. I'm one year out of school and do know how to do regressions with Excel, but feel that a more advanced knowlegde about them will help out a ton. Does anyone know of any websites, books, videos, etc. that do a good job of teaching regression analysis from the basics to more advanced concepts/techniques? It would be most appreciated.

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I don't think that Excel can do linear regressions. You might have to get SPSS or some other stats package. Regressions aren't rocket science, they take a little practice though.

CrushinFelt · #4 11-05-2007, 10:47 AM

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A lot of the research ideas that I have in mind regarding investing will need the use of linear regression. I'm one year out of school and do know how to do regressions with Excel, but feel that a more advanced knowlegde about them will help out a ton. Does anyone know of any websites, books, videos, etc. that do a good job of teaching regression analysis from the basics to more advanced concepts/techniques? It would be most appreciated.

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I don't think that Excel can do linear regressions. You might have to get SPSS or some other stats package. Regressions aren't rocket science, they take a little practice though.

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you're on crack, excel definitely does linear regressions.

OP, any basic statistics textbook will tell you all you need to know about linear regression. just go buy a used one from a college bookstone and read a few chapters and you should be good to go.

Orlando Salazar · #5 11-05-2007, 11:51 AM

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[ QUOTE ]
A lot of the research ideas that I have in mind regarding investing will need the use of linear regression. I'm one year out of school and do know how to do regressions with Excel, but feel that a more advanced knowlegde about them will help out a ton. Does anyone know of any websites, books, videos, etc. that do a good job of teaching regression analysis from the basics to more advanced concepts/techniques? It would be most appreciated.

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I don't think that Excel can do linear regressions. You might have to get SPSS or some other stats package. Regressions aren't rocket science, they take a little practice though.

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Excel can do multiple regessions and u can graph 1 variates using many log/exp functions. I will tell u though, this is not the path for investment decisions.

spider · #6 11-05-2007, 12:54 PM

A random points (FWIW I am trained as an applied microeconomist/applied statistician although I don't use it much lately and have never applied it to finance):

1) Running regressions and even much more complicated models is pretty trivial with today's software, the skill is in knowing what to plug in and how to interpret the results.

2) There is not an easy answer as to how you learn #1. The best book or web site to some degree is just the one that is most intuitive to you. My favorite text was by William Greene (that is, or at least was, the standard for grad econ).

3) You probably don't want to hear this, but I would strongly encourage you to take a class if you're really interested. I personally am the type to just read a textbook rather than take a class, but in this case, the whole classroom experience really helps. It's really hard to learn this stuff on your own -- at least if you want to advance to the point where you'd be able to specify functional forms and reasonably interpret the results.

4) Learn within context -- if you are going to be running finance related regressions, find a text that combines the two. Although, a regression is a regression, the objectives and interpretation are so different between fields that I think you might find it less confusing to stick to a special purpose text early on. Along these lines, don't try to learn this stuff with out practicing on real data while you learn.

Good luck.

Orlando Salazar · #7 11-05-2007, 02:00 PM

vv good advice

PRE · #8 11-05-2007, 09:34 PM

Thanks for the advice everyone; I appreciate the help.

I guess what I'm looking for is a book, program, class etc. that helps me take baby steps into developing the framework useful for quantitative financial analysis/engineering. I realize that regressions aren't hard and knew how to run them since high school, but I want to start slowly developing advanced quantitative skills applied to finance. I currently hold a job that mostly entails fundamental analysis, which requires little to no advanced math, but I feel that learning some more advanced mathematical techniques will go a long way with the type of work I’m doing.

As of now, I work around 12-13 hours per day and study up on fundamental analysis around 5-10 hours a week in my spare time. I don’t think another book is too feasible at this point due to the fact that I’m already cramming so much information into my little brain (I just began working, so I’m learning a lot of things at once). Even though a program or class would have the same amount of information content, I think having it enter into my head a different way would make it feasible. I would prefer a class above all, but the biggest problem I see is the lack of availability. I’ve taken a few advanced statistics classes in college and did fairly well in them, but for the most part have forgotten what I learned due to not being able to apply those concepts in my job. I guess what I need is a financial mathematics class, but I’m not sure where the best place to go about finding this is.

Any additional help is greatly appreciated.

ubiestmea · #9 11-05-2007, 10:44 PM

You might want to check out Wilmott’s CQF (certificate of quantitative finance) program, they have a distance-learning program you can access 24/7 so it might fit your current schedule, they also have some very interesting forums.

http://www.wilmott.com/cqf.cfm

SunOfBeach · #10 11-06-2007, 11:40 AM

You should get SPSS (they have a student version for 90 bucks that may be ok, or a Grad Pack for 200 bucks that's the whole shabang, if you can get a grad student to let you use their ID card). Then get Andy Field's book on how to use SPSS (forgot name - check AMZN for it). After reading the regression chapter and playing around for a bit (maybe 2 days total), you'll be a pro.

PM me if you have any other questions... I run a statistical consulting firm, and can help you with this as much as you need (gratis... this aint a pitch) [img]/images/graemlins/blush.gif[/img].