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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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Modelling a likely unit root process with ARMA? HAC standard errors in python time series packages?

I am working on a project to forecast Canada's GDP. One of the exogenous variables for my ARDL model that I consider is the treasury spread. By plotting its ACF and PACF, I notice that it can be ...
Jun Yang's user avatar
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Detecting outliers in a time series [closed]

I have a question on detecting the outliers in a time series like PPI, CPI, inflation,...etc.) Which method should I use? How can I precisely detect these outliers in a test or a method? Please ...
studentp's user avatar
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General conditions in which dynamic panel effects are bounded by OLS and FE models?

Typically under the model that looks like this: $$ y_{it} = \rho y_{it-1} + u_i + e_{it} = \rho y_{it-1} + v_{it} $$ Define the OLS estimator as the estimator for $\rho$ that estimates the following ...
Daycent's user avatar
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Inverse Hyperbolic Transformation of Dependent Variable

I am trying to transform a dependent variable which is a measure of time (minutes per day). To account for zero values of the dependent variable in the regression, I am taking its inverse hyperbolic ...
jheelum sarkar's user avatar
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1 answer
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Defining Intensive Margin and Extensive Margin

I am trying to see the effects of exogenous shocks on paid and unpaid labor. In this regard, I am trying to incorporate intensive and extensive margins of labor participation. I use "hours worked ...
jheelum sarkar's user avatar
1 vote
1 answer
34 views

Difference between country-fixed and region-fixed effects

I struggle a lot with econometrics and interpretation. I would highly appreciate if someone here can help me... I am writing a paper about the effect of childcare on maternal employment and I use an ...
anonymousx3's user avatar
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0 answers
28 views

Causal inference exogeneous shock question

What does it mean when some says they are using an exogenous shock to study the effect of X of Y ? What is the econometrics condition that defines this intuitively and econometrically? From my vague ...
metrics24's user avatar
2 votes
1 answer
33 views

Is there any downside to synthetic control compared to differences-in-differences model?

Synthetic control seems to me to be simply a version of differences-in-differences model, where the assumption of parallel trends is satisfied by construction, since the synthetic control to the ...
WilliamT's user avatar
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3 votes
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Variable dropped for collinearity in feols package in R (TWFE)

sorry if this is a basic question (I'm new to econometrics). I have the following regression model: $Y_{i,t} = \alpha_i + \gamma_t + \beta_1\cdot X_{1,i,t} + \beta_2 \cdot X_{2,i} + \beta_3 \cdot X_{3,...
user308036's user avatar
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Linear model estimated as log-log: What is the bias exactly?

Consider a causal model: $$ \text{(I)} \qquad y = \beta_0 + \beta_1 x_1 + \beta_2 x_2 + \beta_3 x_3 + \epsilon$$ Now, assume we estimate it by OLS in the form: $$ \text{(II)} \qquad \ln(y) = \alpha_0 +...
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References for minimum distance estimator

What is the formula for finding the minimum distance estimator and how does it differ from GMM? Also, do you know of any good resources on MD? Can't find any besides my textbook. Thanks!
GraceLynn87's user avatar
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Can I use lagged independent variable as an instrument?

I am doing my Economics dissertation on the impact of competition law stringency (measured 0 to 1 on an index) on R&D levels as a % of GDP. I have an unbalanced panel data set of countries from ...
econstu123's user avatar
2 votes
2 answers
158 views

Finding the distribution in OLS

I have the following linear regression model: $$ Y_i = \beta_0 + \beta_1 x_i + \epsilon_i $$ where $\epsilon_i$ are independent $N(0, \sigma^2)$ random variables. Let $\hat{\beta}_i$ denote the ...
bruno's user avatar
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Random Utility Model Multiple Choice Question. Which one is correct?

In this random utility model, which of the five statements is true? I've been thinking about this question ever since the exam... I said (B).
Martin's user avatar
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2 votes
1 answer
63 views

Difference between unconfoundedness and parallel trends

I understand the unconfoundedness (selection on observables) assumption to be that the expected value of an outcome is independent of treatment after controlling for observed regressors (since these ...
ABCBAA's user avatar
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1 answer
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Estimate a simple regression (homework question)

The Director of UNAM’s Student Affairs would like to investigate the relationship between the number of hours (X) students spends campaigning and the percentage of votes (Y) they end up receiving in ...
Apollonia Thomas's user avatar
2 votes
1 answer
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Two endogenous variables and two control functions

I am interested in estimating the relative effects of $X$ and $Z$ on $Y$ in the model $Y = \alpha X + \beta Z + \gamma U + \epsilon$. Both $X$ and $Z$ are endogenous because $U$ is unobserved and ...
Peter's user avatar
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In the supply demand model $Q_s=a_0+a_1P+u$ and $Q_d=b_0+b_1P+b_2Y+v$, is it true that $a_0,a_1$ are identified while $b_0,b_1,b_2$ are not?

In the supply demand model $Q_s=a_0+a_1P+u$ and $Q_d=b_0+b_1P+b_2Y+v$ and $Q_s=Q_d$, where $P$ is price, $Y$ is income, $u,v$ are the unobserved error terms. what are the identified parameters and ...
ExcitedSnail's user avatar
1 vote
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Kernel Density Estimation and Nadaraya Watson Estimator reference

I am looking for a reference that is on kernel density estimators with the following results: Let $(X_1,Y_1),\ldots,(X_n,Y_n) \in \mathbb{R}^{p} \times \mathbb{R}$ are i.i.d. and $\mathbb{E}(Y|X=x)=m(...
mich95's user avatar
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For a diff and diff should I use stationary series or non stationary?

I am trying to do a diff and diff analysis on the impact of QE for US (treatment) and Canada (control). What kind of series should I use and what dummys should I include?
user47940's user avatar
1 vote
0 answers
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Econometrics bounds question

I recently ran into a presentation where the following slide was introduced. now to give a little context we are dealing with a selection bias issue where we observe only outputs YS. Specifically, ...
Lusian's user avatar
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In a regression of Yon X, the value of X is fixed at 5. Find the regression equation

I wanted to know how this equation will look like and how we will be able to calculate the slope coefficient.
Sakshi Dubey's user avatar
1 vote
0 answers
29 views

Difference in difference on election impact on asset prices?

I am looking to research the impact of Brexit on the FTSE100 index. FTSE100 is an stock index of the 100 largest UK companies. The UK also has FTSE250 which is an index of 250 mid-cap companies (not ...
s5s's user avatar
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1 vote
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Exogeneity of instruments for 2SLS with fixed effects

Consider a model of the form $Y_{it} = X_{it} \beta + c_i + u_{it}$ where $X_{it}$ is endogenous. From Wooldridge's panel data book, if I have an instrument $Z_{it}$ that is strictly exogenous $E(Z_{...
HHQ's user avatar
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1 vote
2 answers
79 views

How to derive Fisher's equation?

Guys help me derive Fisher's equation or suggest references that have the derivation. I am looking for this relation: (1+i)=(1+r)(1+π)
user205152's user avatar
1 vote
2 answers
44 views

How to present a Difference-in-Difference regression output using Rstudio?

How do I present a difference-in-differences regression output like the following in R?
asdf's user avatar
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1 vote
0 answers
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Seeking Insights for MSc Dissertation on EU's CBAM Impact on India: Challenges and Opportunities for Collaboration

Hello Economics Community, I'm currently in the process of designing my MSc Economics dissertation and would greatly appreciate your insights. My focus is on the European Union's Carbon Border ...
Zubiya Moin's user avatar
2 votes
3 answers
130 views

Event Study and Diff-n-Diff

I'm struggling to understand the difference between Event Studies and Difference-in-Difference regressions. Both seem to have a discreet event that is assumed to cause some change of interest, subject ...
user37250's user avatar
  • 361
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Consequences of running a panel VAR with 2 variables stationary at levels and one variable stationary at first difference

I have a trivariate Panel VAR system with the following variables: LnGDP (Natural log of GDP) Fiscal Expenditure (as % of GDP) Interest rate ( in %) LnGDP and interest rate are stationary at levels ...
shantanudravid's user avatar
1 vote
1 answer
211 views

How To Publish a Quantitative Economics Paper Without a Degree or Affiliations

I dropped out of a physics degree and do not have a degree. After this, I somehow found myself going from writing marketing software related code to writing quantitative trading code and doing ...
cronius's user avatar
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1 vote
1 answer
50 views

Hausman test from Wooldridge (adding level variables)

Wooldridge's graduate textbook (p.285) says that: We can formally test the assumptions underlying the consistency of the FE and FD estimators by using a Hausman test. [...] If T = 2, it is easy to ...
ABCBAA's user avatar
  • 91
1 vote
1 answer
88 views

Diff-in-diff and ATE vs ATT

I understand that the coefficient of the interaction term in a standard diff-in-diff model is the average treatment effect on the treated (ATT). But I was wondering how/when we can derive the average ...
Econ Wanderer's user avatar
1 vote
1 answer
18 views

Regression with one independent variable bounded for some observations

I am investigating the effect of a policy on land price. The land is transferred by English auctions. My regression looks like this: $$ \ln(y)=\beta_0+\beta_1 x_1+\beta_2 x_2+u, $$ where $x_1$ is the ...
Aaron's user avatar
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0 answers
48 views

Why don't we use model averaging?

Why don't we use model averaging? Sure, the clever econometricians will say that the coefficients are not directly comparable and in theory there is one correct model with that exact set of covariates....
Papayapap's user avatar
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0 votes
2 answers
106 views

Why is GDP a random variable?

I have seen in time series models that GDP is considered a random variable. At first, I found this troubling because I could not see any random process underlying the measurement. However, the ...
Santiago Valdivieso's user avatar
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0 answers
40 views

How to interpret detrended data in GDP modelling?

So I detrend 5 variables that I fit in an Almon model to predict GDP. The problem is beforehand I detrend them and their values become much smaller. Also, I detrend the GDP itself and it becomes ...
J_Bake's user avatar
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0 answers
33 views

How to Find the Relationship Between Variables in Time-Series Data?

I would like to find the relationship between two variables (spending and earning) in time-series data and I am wondering if VAR would be a good way to approach this? If not, which approach(es) would ...
twisted_SOLDIER's user avatar
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0 answers
19 views

RDD regression discontinuity

I have a tiny dataset for several countries: Year (2010-2022) , GDP per capita, Subsidy amount - in the second column (fossilf), and a few other variables. The subsidy amount is 0 for several years. ...
Jey's user avatar
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0 votes
0 answers
36 views

What should I do before an OLS regression and Johansen cointegration test with time series data?

I have to make a regression with real exports as the dependent and then an aggregated GDP income variable and the real effective exchange rate as independent variables. My variables are time series (...
ORESTIS TZIAMALIS's user avatar
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0 answers
23 views

Multicollinearity with interaction term and fixed effects

I have the following regression including an interaction term and fixed effects ...
metricshelpr's user avatar
1 vote
0 answers
34 views

How to find hourly wage when data only provide range?

I am trying to separate observations into two groups, people who earn below (treatment group) and above (control group) the minimum wage to perform a difference-in-differences. The data I'm using have ...
asdf's user avatar
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1 vote
0 answers
37 views

In RCT settings, are randomization inference p-values always greater than OLS p-values?

I was wondering if there's a proven/known relationship between RI p-values and OLS p-values in RCT settings, where treatment is completely random. Alwyn Young's paper1 shows many examples of OLS p-...
msc's user avatar
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Effectiveness of liquidty regulation

I am writing to collect some thoughts regarding the best way to study the effectiveness of liquidity regulation (LCR and NSFR). To study the latter, I should avoid to collect actual banks' ratios, ...
Maurizio Marinaro's user avatar
1 vote
1 answer
14 views

Assessing the effectiveness of macroprudential liquidity requirements

I would like to investigate the effectiveness of Basel III Liquidity Coverage Ratio (LCR) and Net Stable Funding Ratio (NSFR) in containing systemic risk during crises. As far as I know, a few studies ...
Maurizio Marinaro's user avatar
1 vote
1 answer
35 views

Spiraling decline in labour supply due to small initial wage decreases

I was asked the following by a student (I work in mathematics/complex systems, my student in econometrics): In econometric studies that measure the elasticity of labor supply and inform policymakers ...
apg's user avatar
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1 vote
0 answers
49 views

Help with Simulating a Time Series Process in R

I'm having difficulty expressing the following process in its most reduced form. Every time I try to simulate it with the arima.sim function, I end up with a non-stationary AR part that cannot be ...
NoNameBoyy's user avatar
1 vote
1 answer
54 views

Covariance stationary solution to the equation

Is there a covariance stationary solution to the equation? $X_t = 4 \varepsilon_{t-1} + \varepsilon_t, \quad \text{where } \{ \varepsilon_t \} \in WN(0, \sigma^2), t \in \mathbb{Z}$. Unfortunately I ...
nodis6's user avatar
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1 vote
1 answer
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In a one-way fixed effect model, why do we say that the demeaned variable has reduced variation?

Suppose $X_{it}^*$ is the demeaned version of $X_{it}$, i.e., $$X_{it}^* = X_{it}- \bar{X}_i$$ In Hansen's econometrics textbook, he says the demeaned variable has reduced variation relative to the ...
Mondayisgood's user avatar
4 votes
1 answer
484 views

"Derivative" of an indicator function

I am studying a paper where I have the following indicator function: $\text{I}(i) = \mathbf{1} \{ \eta^* - \eta(\beta(i)) + u(i) > 0 \}$ where $\beta(i)$ is taken from uniform distribution $U[\chi-\...
Dario's user avatar
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0 answers
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How to calculate CPI from raw product sales data

Consider the following predicate associated with the sales of consumer goods and services: sale(T,P,C,U) :- C units of product P were sold at unit price U at time T ...
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