Questions tagged [econometrics]

Econometrics is the application of statistical methods to economic data for various purposes such as of testing hypotheses, infering causal relationships and forecasting future trends. Only use this tag for questions relating to the theoretical aspect of an econometric technique.

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21 views

Does a 2sls model use logarithm?

In an ols model demand ~ price , is it reasonable to use log-log for price and demand, but in a 2sls model does the logic remain the same? I found articles simply using 2sls without using a log to ...
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Demand curve:log Quantity, logprice,logprice of N substitute goods,log income, need something else?

Imagine the following situation: a seller of a company has the price and quantity sold for a certain good, that seller can simply make a regression like: ln(Quantity) = ln(Price) ~ ln(price of ...
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22 views

Causal inference for multiple treatments with an observed set of properties

Description: Consider a treatment $T$ that can take on $M$ values $T\in \{1,...,M\}$. Let $Z$ be some set of observed properties of the treatments. Say, for instance, that the population of interest ...
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16 views

What is the relationship between Marshallian demand and Two-Stage Least Squares Estimation Procedure

I was reading Varian, and he gives an example of how to find the quantities demanded using a CobbDouglas utility function with observable data, and a question arose: what is the relationship between ...
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4answers
47 views

How do I test if a given policy was successful?

I have some data for medical R&D and sales, my professor has asked me to check if a policy implemented in 2016 has made any effects on R&D and R&D/Sales data. I tried to plot growth rates ...
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19 views

law of diminishing marginal returns and regression on the factors of production

Does it make any sense to create an equation with Profit ~ Production factor1 + Production factor1 ^ 2 + Production factor2 + Production factor2 ^ 2 to explain how much the increase of 1 in a company'...
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24 views

variance of error term(econometrics)

I don't understand that the pointed part(with a red circle) is a negative sign. I expect it should be a positive sign since the whole parenthesis was squared. I don't know where I got wrong.
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57 views

Continuous logit models - random utility with uncountable choice set

This question is about the mathematical foundations of the continuous logit model, as derived in McFadden (1976) (https://eml.berkeley.edu/reprints/mcfadden/math_theory.pdf) and Ben-Akiva et al (1985) ...
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OLS vs WLS in misspecified model

I'm thinking whether there exists cases where OLS estimator is closer to the true coefficient than WLS estimator in probability limit in a misspecified model. Specifically, I'm working on a case where:...
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1answer
33 views

Do monetary and fiscal stimulus defeat each other? [closed]

They have opposite effects on rates. Do they defeat each other?
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1answer
39 views

Event Study vs. Difference-in-Differences

I am trying to perform Event Study methodology to analyse impact of group of events on group of stocks from certain sector. I noticed that I am getting surprisingly lot of positive results (very low p-...
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2answers
30 views

Year Fixed Effects in a Dynamic OLS Regression with Cointegrated Variables

I am estimating a dynamic OLS model since I have variables that are non-stationary, but cointegrated. In addition, the data is a standard time-series (i.e. one observation per one time period) so ...
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23 views

Logit model and logistics regress, what the diffrence?

In economics and business school, we talks about logit models a lot. In general, we mean the conditional logit model (McFadden (1973). But in statistics, they use logistics regression. I have been ...
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24 views

On Cointegration with Structural Breaks

I am slightly confused about the requirements necessary to conduct a cointegration test with structural breaks such as the Gregory-Hansen test. Suppose I have two I(1) variables. Variable 1 follows a ...
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1answer
41 views

How to interpret coefficients in a dynamic OLS model?

I am trying to understand how to interpret the dynamic and static effect from coefficients in regression models. $GDP\_growth\_rate_{t,i} = \beta_1GCF_{t,i} +\beta_2GCF_{t-1,i}+\beta_3GCF_{t-2,i} +\...
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1answer
31 views

A Special Case of Difference-in-Differences

I remember reading a paper where the Difference-in-Differences was a bit special, but I had forgotten the details. My recollection was Two time periods, specifically one time period before treatment ...
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1answer
33 views

Can an F-test be used in a regression that is quadratic, or can it only be used in a linear regression model?

My regression I'm testing is quadratic but everything I've read about using F-tests state that it is used in a linear regression model.
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1answer
34 views

How do you utilize event studies in policy research?

I apologize if this isn't exactly the right forum to pose this question. I am trying to use an event study to evaluate the adoption of a specific policy in several different states that happen at ...
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1answer
71 views

Total factor productivity (TFP) estimation in R

I'm trying to calculate TFP with the estprod package in R because this package allows me to calculate with Gross-Output (like with levinsohn petrin) but I have ...
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1answer
31 views

How do I choose an appropriate Instrument to solve the endogeneity issue?

I have a quadratic regression model and one of the variables is endogenous. How do I choose an instrument to deal with this issue?
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1answer
23 views

Coefficient of Determination with Weighted Coefficients

I want to compare coefficients of determination (i.e., $R^2$) of the following two models. $fe_{t+h}$ is a forecast error in $t+h$ and $\mathbf{\varepsilon}_t$ is a shock of interest occurring between ...
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3answers
103 views

Identifying assumption meaning

I am hoping to get a good explanation regarding what is meant by an identifying assumption. In many articles, under empirical strategy, authors state that: we exploit firm level variation to identify ...
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0answers
25 views

How to Interpret Coefficients in Regressions on Filtered Varaibles?

Suppose you have a logged variable $y_t$ which is comprised of a trend component $\tau_t$ and a cyclical component $c_t$. Thus: $y_t=\tau_t+c_t.$ Then you apply a filter to that variable to extract ...
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1answer
81 views

How do I obtain a correlation between two variables?

Can I differentiate a quadratic regression model formula with the form $$Y_i=\beta_0+\beta_1 X_{1i} +\beta_2 X_{1i}^2+\epsilon_i$$ (added to this formula would be other control variables e.g dummy ...
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0answers
29 views

Interpretation of Difference-in-Differences Regression Results when Only the DID Coefficient is Significant

I have a standard DID regression of the form: Y= β0 + β1*[Time] + β2*[Treatment] + β3*[Time*Treatment] + ε where Time is a dummy equal to 1 for period after policy change and Treatment is a dummy for ...
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1answer
34 views

Why does the same parameter estimate change in multiple regressions?

I have a set of results from a multiple regression table with four columns. In each column, a new variable is added. Why, however, is the initial variable coefficient different in each column? Is it ...
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1answer
44 views

Can You Use Filtered Variables in OLS?

I have two variables that are non-stationary and contain stochastic trends. I used the Hamilton filter( an improvement over the HP filter) to remove the trend and isolate the cyclical component. My ...
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1answer
54 views

Difference-in-Difference (DID) Regression with Non-Stationary (but Cointegrated) Treatment and Control Groups

I would like to run a DID regression between two periods where each period spans multiple years. For example: Period 1: 1970Q1-1990Q4 Period 2: 1991Q1-2010Q4. My treatment and control variables are ...
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1answer
19 views

How can you find all parameter estimates are statistically significant but without performing any sophisticated calculations?

I have a question that contains a list of parameter estimates and their related standard errors. It then goes on to ask that I explain how I know all parameter estimates are statistically significant ...
3
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1answer
46 views

How to properly interpret logged interaction variables

I have the following regression to interpret elasticity of demand: $$\ln(demand) = const - 0.6*\ln(fare)$$ I understand that a 1% increase in fare results in a 0.6% decrease in demand I want to add ...
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0answers
13 views

ARDL and ECM lags

What number of lags should I take in ECM model from ARDL specification? Assume I have equation y=x+z+r+h and ARDL(3,2,1,0). Should I specify ECM model as this d(Y)=d(Y,1) + d(Y,2) + d(X,1) + d(R) + d(...
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0answers
23 views

Estimating multi-output production technologies

For a given firm, is it ever appropriate to estimate an independent production function for each output? For example, a university produces journal articles $A$ and services a number of students $S$ ...
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1answer
47 views

How to interpret this regression coefficient?

I am performing a simple single variate regression on the variables crime rate (denoted by crrate) and the probability of getting arrested (denoted by prarrest). To be precise, the variables are ...
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0answers
14 views

What quasi-experimental/econometric technique can I use to measure the impact of a policy using longtitudinal tax data?

I have two cohorts of workers with very similar characteristics (e.g. same demographic profile, skill level, industry) that were laid off at different points in time. Say one group was laid off ...
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1answer
22 views

Per Capita Income data of states in the USA

Where can I get Per Capita Income data of states in the USA? Also which are the sources often used in econometric or macroeconomic analysis and how reliable are they?
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0answers
42 views

Has there ever been stock options under hyperinflation?

I believe the most developed example is weimar. I dont think it had any stock options. I dont think there has been any country under hyperinflation with stock options. I wonder how option prices would ...
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2answers
75 views

How to approach rigorous probability theory from an economics background?

I am attempting to read around the theory of probability theory from the ground up, coming from a background of economics I have little experience in set/measure theory, whilst I am not new to ...
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1answer
26 views

markov-switching model and stationarity [closed]

To test the structural breaks and to perform markov-switching model in time series data, should i have stationary data. Thank you in advance.
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0answers
10 views

Correcting high AR(1) coefficients in dynamic Gordon model

I have just finished my thesis on a heterogeneous dividend expectations model applied to the COVID-19 crisis. However after receiving some feedback there is one last issue I want to resolve. I'm using ...
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0answers
25 views

How to choose the autocorrelation type ? MA(q)^2 or AR(1)

I have heteroskedastic and serrialy correlated (autocorrelated) panel data. I want to test it with both dynamic and static models. For the dynamic test, I use GMM and the results of GMM is parallel to ...
3
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1answer
38 views

Binary-continuous choice model in empirical consumer choices

There are quite a lot empirical research based on discrete choice models, in which the consumer selects one of J alternative goods to maximize her indirect utility. The key assumption of these models ...
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2answers
223 views

Best way to measure inflation in real time?

I'm looking to measure inflation in real time preferably minute to minute. What would be different feasible approaches to this? I know that the CPI measures inflation quite accurately but this is only ...
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0answers
63 views

Which metrics best characterise 'socialist' and 'capitalist' economies?

I am interested in finding some metrics that capture how 'socialist' or 'capitalist' a country was throughout modern history, and to include these alongside those in the gapminder dataset, to explore ...
2
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0answers
37 views

Two different notations of the limit distribution of the trace test

I have seen two different versions of the limit distribution of trace test. If $B_u$ is a standard Brownian motion, then I have seen $tr\left\{\int_0^1(dB)B'\left[\int_0^1BB'du\right]\int_0^1B(dB')\...
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0answers
18 views

Missing trade and FDI data in Time Series

I want to run a panel VARX and some of my variables are bilateral trade and between countries in sub-Saharan Africa and China as well as FDI. Unfortunately the data I could find from official Chinese ...
3
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1answer
24 views

Using margins after probit estimation to equal probabilities between almost identical individuals

I'm considering a Probit model for the probability that a student will finish the course based on their hours of study, age, sex, origin, how they passed the previous course and labor market situation ...
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0answers
22 views

Non random matrix as instrument: consistency and bias

Where can I find references to see what happens theoretically if I want to use a non random matrix as instrument in terms of consistency and bias?
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5answers
160 views

Current status and trends in the choice of software for teaching econometrics

My institution is updating some of its bachelor and master study programs in economics and business administration, and the question of choice of software for econometrics and related classes has come ...
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0answers
45 views

Can one use the standard deviation of a variable as a regressor?

I am wondering if you could use the standard deviation of a variable as a regressor in an econometrics model? Consider the following hypothetical model: $$y_{it} = \alpha_0 + \alpha_{1}T_{it} + \...
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0answers
25 views

Somers’D and Gini coefficient: differences

I would like to know what are the differences between somers’d value and the Gini coefficient. I have the following values for factors: ...

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