# 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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### If Milei is able to apply his economic plan during the next decade, what are the chances of Argentina becoming (once again) a major economy?

Once Argentina was one of the strongest economies in South America. It is pretty clear that the economic model that made Argentina successful then does not stand a big chance to work again. Javier ...
7 views

### Ordered Logit Model: Marginal Effects Signs Opposite

I'm deeply stuck in an issue in my research paper's methodology. I'm getting the following disparate results for my marginal effects. In my Ordered Logit model, I have Y = Trust in banks (4-Max trust,...
37 views

### Variance of OLS Error Variance Estimator

Consider a model $Y=X\beta+e$ and define the OLS error variance estimator as $\hat{\sigma^2}=1/n\sum_{i=1}^n \hat{e}_i^2$, assuming that $E[e_i^2]=\sigma^2$ More precisely I want to derive the ...
41 views

### Forecasting and Structural Breaks

Let's say I am using walkforward evaluation for forecasting a certain time series with ARIMA and I want to test for structural breaks. And then I detect structural breaks. How can I use this ...
11 views

### Taylor Rule Model Specification: Serial Correlation and Interest Rate Smoothing

I'm reading this paper by Abrams and Iossifov. The paper investigates electoral cycles influence on monetary policy by estimating a Taylor Rule reaction function using OLS. The authors describe the ...
82 views

### t-test result inconsistent with regression

I have two batches of data and I want to check whether the response variable is different across the two batches. I first did a t-test and found that the means of the response variables in the two ...
10 views

### Regression and RDD give results in opposite directions but both statistically significant

I am conducting an RDD on an attitude and how it shifts over time due to a shock (sharp RD measured in days), I am using RDROBUST in STATA. I do not think I have coding errors but I need help ...
21 views

### Panel Data Econometrics

I have some medical information of individuals spanning ten years which includes first name, last name, dob, and other variables (two/three that could help match observations i.e. state living, ...
39 views

### Water Economic Metaphor - Evaporation / Condensation

I was considering economics, and how a lot of economics tends to use a water metaphor as a descriptive mechanism. Ex: market liquidity, "investment evaporated", "market flows around ...
29 views

### non-ponzi condition

What Is The Differences Between R(T) And R(S) In No-Ponzi Condition In Ramsey Growth Model?
23 views

### Ramsey no ponzi condition

Please help me understand how to create these functions, sometime they use "t" denote, sometime use "r" denote that make me feel confuse. Function (17) and from (19) to (23)
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### How do I construct an analysis on the following question in applied financial econometrics?

I want to know how to make a thorough analysis by comparing the following regression outputs. The regressions are estimated using the Arbitrage Pricing Theory (APT) with the second one testing for ...
31 views

### AIC Calculation

Our object is calculating AIC, and we are unsure whether we can use our measure below when calculating AIC. The following are the data from the experiments and our method to calculate the information ...
1 vote
68 views

### direction of causality between Increasing returns to scale and economies of scale

Does increasing returns to scale cause economies of scale OR is it the other way around?
67 views

### Portion of Derivation of F-test

In Greene's Econometric Analysis there is a derivation regarding the F stat. The setup is a null hypothesis of the form: $H_0: R\beta =q$ where $\beta$ is a $k\times 1$ vector of parameters, $R$ is a ...
1 vote
84 views

### Ramsey model condition

Why are transversality conditions and no-ponzi game conditions needed in the Ramsey model? And why do we assume that is a CIES utility function?
1 vote
34 views

### Mean Square Differentiability for M estimation- Example

Newey's 1994 paper on Semi Parametric Estimation mentions a condition in two step semi parametric estimation. Suppose that $h$ is an (infinite) dimensional nuisance parameter that is estimated non ...
21 views

### Proportion of time non-renewables determine the price of electricity price

I have a long time-series dataset of electricity generation over a period, broken down by generation type renewable and non renewable. I want to determine the percentage of time that non-renewables ...
76 views

### what to learn to write a comprehensive strong paper?

to write an excellent comprehensive paper, what topics and techniques must an economist learn? One of my former professors wrote a paper I read, there are theories, calculations, and empirical tests. ...
21 views

### Assessing stochastic dominance from samples? ...and is Kruskal-Wallis useful?

According to wikipedia and other scattered software documentation Kruskal Wallis tests assess "stochastic dominance". But the original paper doesn't mention "dominance". Nor does ...
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### Can I use negative binomial regression to measure intensity of mobile money adoption through using transactions?

Is negative binomial regression suitable to measure intensity of mobile money adoption through using transactions?
32 views

### Using an EM algorithm for a random parameters model with mixed data

Suppose $x_i \sim f(\theta,\nu_i)$ and $y_i \sim g(\tau,\theta,\nu_i)$ and $\nu_i \sim N(0,\sigma)$. Importantly, $f$ is smooth in $\theta$, but $g$ is not. We have data on $x_i$, $y_i$ and the goal ...
91 views

### Two step Generalized Method of Moments (Newey 1994). $\hat{W}$ matrix depending on the nuisance parameter

Suppose that I am working in a model containing a nuisance parameter $h$ and a finite dimensional parameter of interest $\theta$, whose true values are $h_0$ and $\theta_0$, respectively. Newey (1994) ...
167 views

### Are there any unbiased but inconsistent estimators that are commonly used?

It is well-known that IV estimators (among others) are biased but consistent. I am just curious if any commonly used estimator is unbiased but inconsistent. I realize there may be a distributional ...
266 views

### Quasiconvex and quasiconcave utility function

I saw that the model of the quasi-convex utility function is similar to the concave utility function and also the quasi-concave utility function is similar to the convex utility function. How can ...
10 views

### Leave-one-out mean removal stringency histogram

I am trying to construct the kind of histogram described here (https://blogs.worldbank.org/impactevaluations/judge-leniency-iv-designs-now-not-just-crime-studies). I don't really feel like my code is ...
32 views

1 vote