# 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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### Association between maternal education and child health

I am trying to estimate the effect of maternal education on child vaccination using logistic regression. My independent variable is categorical and represents various levels education like none, ...
1 vote
87 views

### Understanding Second-Order Approximations in Translog Production Functions

Consider a model with the following production technology: Q_i=F(\Omega_i,K_i,S_i,N_i) = \Omega_i\Big(\nu N_i^\sigma+(1-\nu)(\tau K_i^\rho+(1-\tau)S_i^\rho)^{\frac\sigma\rho}\Big)^{\...
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### Replicating Econometrics Research

I took a course on Econometrics last year which covered OLS, GLS, panel data, binary dependent variables, instrumental variables, experiments and quasi-experiments, big data, time-series forecasting, ...
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1 vote
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### Take intermed or advanced series for phd application

I am an undergrad majoring in Math and want to apply for a PhD in Economics (maybe in theory and Econometrics). I have taken the intro series (intro micro and macro) already. Since I am about to ...
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### On assumptions of local projection method

It is well known that Jorda(2005) proposed the following model called local projection: $$y_{t+h} - y_{t-1} = \beta_h shock_{t} + \gamma_h ctr_{t-1} + \epsilon_{t,h}, h = 0,1,2,\dots,H.$$ I am trying ...
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### Diff-in-diff with different treatment years, what would be time dummy for control?

I want to estimate the impact that replications have on the citations. For that, I want to make a staggered diff-in-diff, comparing replicated papers vs non-replicated ones. In my data set I have ...
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### Structural breaks in price time series: when to test?

I am investigating the price transmission between two inflation indices within the same sector but at different stages of processing. For example, I might be looking at the relationship between raw ...
1 vote
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### What are the Advantages and Disadvantages of including the initial level of the dependent variable in a first difference regression?

Consider the two following models $$\Delta y = \beta_0 + \beta_1 y_1 + \beta_2 \Delta x^1 + \beta_3 \Delta x^2 + ...$$ and $$\Delta y = \beta_0 + \beta_1 \Delta x^1 + \beta_2 \Delta x^2 + ...$$ ...
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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 ...
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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 ...
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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 ...
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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 ...
1 vote
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### Difference between country-fixed and region-fixed effects

I am writing a paper about the effect of childcare on maternal employment and I use an OLS regression with time and country/region fixed effects. The regions here are not within countries, but North/ ...
1 vote
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### 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 ...
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### 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 ...
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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?
1 vote
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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, ...
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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.
1 vote
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### 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 ...
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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_{...
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### 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)
1 vote
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### 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?
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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 ...
291 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 ...
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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 ...
1 vote
270 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 ...
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