# 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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20 views

### Clustering Standard Errors for Panel Data

I have a Group-Firm-Year panel data set (i.e., multiple firms make up a group). Suppose I have exogenous variation at the group level over time. In a panel regression with firm and time fixed effects ...
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### At what level should I cluster my standard errors and why?

I have a yearly panel data in which each observation is a pair of monitoring stations (stations measuring water quality in rivers) one located upstream and the other downstream, each station in the ...
13 views

### Infering instrinic product value from historical price-demand data

This question is somewhat vague : Say we have 100 varieties of apples, each sold in exactly one of 100 marketplaces which are identical (in size, customer budgets, preferences etc) and independently ...
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### Computing expectation of logit error conditional on choice

Consider a standard multinomial logit choice model. A consumer chooses a good $j$ from a choice set $J$ by choosing the good with the highest realized utility where the utility of good $j$ is given by ...
30 views

### Choosing of an independent variable

I'm working on an estimation of the natural rate and I have as a dependent variable the long term rates and as independent variable the Inflation rate, a dummy variable for the entrance of a country ...
48 views

### Consistent estimation of fixed effects

Estimating firm fixed effects is very popular in labor economics. I wonder why this is legit? The estimates shouldn't be consistent, the more firms we have the more parameters we have to estimate.
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### Test which functional form that best explains data

Tried asking this on Math Stack Exchange. Got no answer after a week, so trying here. I had this question in an exam lately and I was not sure how to answer it. Now the exam is done, and I can't go ...
30 views

### Lasso Double Selection Stata Commands

The Belloni et al. 2014 paper develops the theory of Lasso in post-double selection. There are two commands that appear to me to perform this function: $dsregress$ and $pdslasso$. The $dsregress$ ...
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### Where can I find a scientific article that includes cross-sectional data and a multivariate linear regression model?

I need to write a smaller scientific article that consists of the following steps: Find a public database for cross-sectional data (eg data for counties in the same year) Find a scientific article ...
34 views

### Taylor rule estimation with OLS serial autocorrelation

I'm estimating the equation: $$i_{t}=\beta_0+\beta_1\tilde\pi_t+\beta_2\tilde y_t+\varepsilon_t$$ Where $\hat\pi_t=\pi_t-\pi^{target}$ and $\hat y=\ln y_t-\ln y^{\ast}$, are the inflation deviations ...
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### How can I add distance variable to panel data?

I'm working on a gravity model with a panel data. However, the distance variable for this model is a time-fixed effect so it doesn't seem possible to run the model with it. What can I do to add this ...
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### What are the values in brackets under the estimators value representing?

Please, can you explain me what are these values in red circles representing?
23 views

### Panel estimation coefficient

I'm running both a panel analysis (the first I ever run, to be fair) and a time series analysis over a period of 50 years for twelve countries. In my estimation, one variable has a positive ...
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### Dummy variables are removed when estimating first-differences

I am currently getting ready for Econometrics 1 exam and I have some problems deriving the FD estimator sometimes. Lets say we have a data set with the following observations: $FoodAS_{it}$ = food ...
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### Identify time vaying variables in VAR

I am having a panel VAR and would like to identify which varaibles remain constant and which vary over time. I have added time varition in the model. I would like to avoid to use bayesian approarch . ...
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### What are claims on a central government?

I downloaded some data from the World Bank's World Development Indicators database. I found a time series called Claims on central government, etc (% of GDP) with code ...
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### Measuring Aid dependency

I am writing a paper regarding foreign aid dependency, and I would like to classify countries as being aid dependent or independent. Is there any criteria in the literature that can be used to ...
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### No statistical significance of the TFP growth

I'm conducting an econometric analysis of the natural rate of interest in the euro-area countries using the following variables: as dependent variable I'm using the long term nominal interest rates (i....
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### Why when a variable $x$ is small, $\log (1+ x) = x$?

I see a conversation here that @dm63 mention that when Age is small, log(1+Age)=Age I am wondering how can it happen. For example, when saying Age is small, I chose Age =1 or 2 Age =1 => log(1+1)=...
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### Dynamic panel textbook

which books do you recommend for understanding dynamic panel models including Arellano-Bond, System GMM, etc? Ideally intuitive and not too advanced. Thanks :)
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### How can we choose the appropriate significance level to interpret based on sample sizes?

With the large sample size, I deem that we can somehow interpret the coefficient significant at 10%, but in the small sample size, we normally ignore the 10% significant level. The issue is that, with ...
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### When should we use the distributed lag model?

When regressing the current and lag of a regressor on a regressand, we call it is distributed lag variable. I know it should base on the literature much to know when we should use this model. But ...