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

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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Why don't more software/SAAS companies give “one-year trials”? [closed]

Every time I want to do anything, no matter how "minor" and "insignificant" I consider it to be, I always find dead FOSS projects and then at least one "commercial alternative&...
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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
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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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23 views

markov-switching model and stationarity

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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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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21 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 ...
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Derivation for population growth rate formula? Given by r = 100 ln (P2 /P1)/(t2 -t1) [closed]

(a) Name: Population growth rate (b) Brief Definition: The average annual rate of change of population size during a specified period. (c) Unit of Measurement: Usually expressed as a percentage. The ...
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1answer
29 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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212 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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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 ...
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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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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 ...
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1answer
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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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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
153 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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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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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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Entropy Balancing or Propensity Score matching in an Experiment (that needed Intention to Treatment instrumental variable IV approach)

I did an experiment with random assignment to two treatment groups and one control group. I had problems to encourage participation in one treatment (treatment 1), so at the end, I had to randomly ...
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R or Python for private sector economist/strategist

Quick question (but complex answer) : R or Python ? I work as an economist/Strategist in the finance industry. As I do a lot of presentations, notes-writing, data searching, my programming time is ...
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1answer
35 views

How to solve duplicate couples error in unbalanced dataset

I am trying to perform a regression on unbalanced panel data in R. In order to set the data as panel data, I use the following code: ...
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1answer
21 views

Acessible sources for Hierarchical Bayes?

I am trying to learn how to build hierarchical bayesian model, I can find some papers online on the topic but I am looking for some textbook or some treatment that is more student friendly than ...
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1answer
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Why is the graph of unitary elastic demand a hyperbola?

My teacher said that the graph of unitary elastic demand is a parabola: But i fail to understand how in a hyperbola the percentage change of price and quantity demanded remains same. Can someone ...
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1answer
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Should I include country dummies when I combine datasets of 3 countries?

I am currently doing the analysis using firm-level data of three countries combining together. Also, it is a cross-sectional analysis. Therefore, in the regression, I control for industry dummies to ...
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14 views

Controls for a GDP per capita model

I'm constructing a model to test the relationship of some different factors on GDP per capita in a single year using simple OLS regression. Most studies I've found on economic growth simply use the ...
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2answers
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Why should the cost of home ownership and home renting be equal in the long run?

According to the person in this video (at about 10:10) from the economist, the evidence shows that long run cost of owning and renting homes are approximately same. The video itself tries to explain ...
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1answer
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Log of dummies variables

I am having a bunch of dummies variables and some of them when trying to get the scatter plots they are collapsed on the horizontal line. It is hard to see any relation. I know from theory they should ...
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1answer
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How to test for Granger causality?

I am trying to test if $a_t$ granger causes $b_t$: $$a_t=\rho_1+\phi_{11}a_{t-1}+\alpha_{11}b_{t-1}+\beta_{11}c_{t-1}+u_{1t}$$ $$b_t=\rho_2+\phi_{21}a_{t-1}+\alpha_{21}b_{t-1}+\beta_{21}c_{t-1}+u_{...
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1answer
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In a binary-dependent variable model (logic) will the inclusion of a scale introduce endogeneity?

This question is somewhat related to my previous question, see here: https://stats.stackexchange.com/questions/463221/why-when-do-attitudinal-scales-introduce-endogeneity I wonder why a scale as an ...
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1answer
38 views

How to determine covariant stationary values?

I am trying to determine the values for when this ARMA model is covariance stationary. I have the model: $z_t = a + Bz_{t-1} + u_t + u_{t-1}$ I have written it in terms of the lag operator: (1 - BL)...
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31 views

Empirical Bayes Estimation

I would be greatful if You can give some advise regarding the following problems: As I reviewed some empirical papers, I learnt that most of them using relatively small number of observations for ...
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0answers
12 views

Panel data with state-invariant exogenous value?

I am beginner in panel data. I would like to do a simple regression with a panel of countries for each period but only one (global) exogenous variable in each period (some like that y_{i,t}=x_t). I ...
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1answer
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Econometrics - Why does adding a dummy varaible improve my Ramsey RESET test result?

As I understand, the Ramsey RESET test (although called ovtest on Stata), is not actually a general test for omitted variable bias. Rather, it is a test for misspecification. Specifically, if the ...
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Social-Network Peer Effect Regression Analysis

I have locally transformed model from Bramoullé 2009 to be estimated for regression estimation $\begin{equation} ( \mathrm{{I}} - {G}_{l}^{*}){y}_{l} = \beta_2( \mathrm{{I}} - {G}_{l}^{*}) {G}_{l}^...
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2answers
30 views

What does the seasonal adjustment curve for major macroeconomic metrics look like?

All the explanations of seasonal adjustment that I found from a quick search either don't give any quantitative examples, or give an example with a time series that is either made up or represents an ...
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diff and diff with multiple time periods - test parallel trend assumption

I am performing this resgression: $$ y_{it} = \beta_{0} + \beta_{1}\text{Treat}_{i} + \sum_{j \neq k} \lambda_{j} \text{Year}_{t=j} + \sum_{j \neq k} \delta_j \left( \text{Treat}_i \cdot \text{Year}_{...
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27 views

Which OLS assumptions should I test for given a log-log functional form?

For a log-log functional form ( e.g. most simply: ln(y) = β1 + β2ln(x) ), which OLS assumptions should I test for (that is, test if they've been violated)? For example, I'm assuming that I wouldn't ...
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1answer
40 views

Oil prices forecast methods

Oil prices have a significant impact on the world economy, positive for exporters and negative for importers to oversimplify a bit. They are also known to be highly volatile, and depend on hard to ...
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62 views

How to derive OLS estimator?

$y_t = B_0 + B_1t$ I have proved $B_0 = \bar{y} - B_1t$ I have found $B_1 = \frac{\sum_{t=1}^T t \cdot (y_t - \bar{y})} {\sum_{t=1}^T t \cdot (t - \bar{t})} $ However I'm supposed to have $B_1 = \...
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Forecast Distribution Dynamic Factor Models

I have a Dynamic Factor Model with Kalman Filter. I would like to get my forecast distribution. Is it possible to estimate PDF of my forecast? If yes, how can I do it?
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24 views

The number of observations in a time series [duplicate]

I have data from 2006m2 to 2018m9 on the annual inflation rate in in the UK, defined as 100 * $ln(\frac{p_{t}}{p_{t-12}})$. How many observations do I have? I have determined 141, since 156 months ...
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How to use if command in eviews?

I have run a regression on eviews and want to assess the results of just the males. IF: male = 1 would be the command but I'm not sure where to specify this. I thought it would be under estimate and ...
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If a dummy variable is insignificant can I remove it from the regression?

I have completed an F-test on the variable which gives p = 0.6, should I remove it from the model?
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18 views

How to calculate correlation between a continuous and a binary variable?

Can I run correlation coefficient analysis on Eviews as normal or will this be inaccurate due to the fact that I am including gender (a binary variable)?
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19 views

Which one is IV estimator formula? (indirect least squares)

It's from the book mostly harmless econometrics. In page 120, we have 2 equations: $$s_i = X_i' \pi_{10} + \pi_{11} z_i + \epsilon_{1i} $$ $$Y_i = X_i' \pi_{20} + \pi_{21} z_i + \epsilon_{2i} $$ The ...
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2answers
53 views

What are the concepts in Linear Algebra that model the idea of Identification Strategy in Econometrics?

I just would like to know what concepts one should know before talking about identification strategies in econometrics. I see people studying such concepts but I'm not sure they realize (or even know) ...
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1answer
25 views

CIA and Exclusion restriction

I have recently got myself confused about CIA and wondered if somebody could perhaps help me disentangle my thoughts. Consider the regression $Y_i = \alpha_0 + \Delta D_i + \beta X_i + \eta_i$ Where ...
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1answer
18 views

Walk through for calculating impulse response function, given VAR equation & coefficients

Can someone walk me through how to manually calculate the IRF values that Eviews outputs for the effect of a nonfactorized one unit innovation. I have my VAR equation and coefficients: ...
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1answer
27 views

Why must the lag length of the autoregressive term in an ARDL model be determined separately?

I am estimating an autoregressive distributed lag model, and I've read that I must determine the lag length of my autoregressive term separately from the lag length of the other regressors in the ...
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1answer
46 views

model design - fixed effects model for paired differences

I have two panels. One panel that consists of an economic indicator variable across firms and years. The second panel consists of the same economic indicator variable across the same firms and years. ...

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