# 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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### Does a 2sls model use logarithm?

In an ols model demand ~ price , is it reasonable to use log-log for price and demand, but in a 2sls model does the logic remain the same? I found articles simply using 2sls without using a log to ...
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### Demand curve:log Quantity, logprice,logprice of N substitute goods,log income, need something else?

Imagine the following situation: a seller of a company has the price and quantity sold for a certain good, that seller can simply make a regression like: ln(Quantity) = ln(Price) ~ ln(price of ...
22 views

### Causal inference for multiple treatments with an observed set of properties

Description: Consider a treatment $T$ that can take on $M$ values $T\in \{1,...,M\}$. Let $Z$ be some set of observed properties of the treatments. Say, for instance, that the population of interest ...
16 views

### What is the relationship between Marshallian demand and Two-Stage Least Squares Estimation Procedure

I was reading Varian, and he gives an example of how to find the quantities demanded using a CobbDouglas utility function with observable data, and a question arose: what is the relationship between ...
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### How do I test if a given policy was successful?

I have some data for medical R&D and sales, my professor has asked me to check if a policy implemented in 2016 has made any effects on R&D and R&D/Sales data. I tried to plot growth rates ...
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### law of diminishing marginal returns and regression on the factors of production

Does it make any sense to create an equation with Profit ~ Production factor1 + Production factor1 ^ 2 + Production factor2 + Production factor2 ^ 2 to explain how much the increase of 1 in a company'...
24 views

### variance of error term(econometrics)

I don't understand that the pointed part(with a red circle) is a negative sign. I expect it should be a positive sign since the whole parenthesis was squared. I don't know where I got wrong.
57 views

### Continuous logit models - random utility with uncountable choice set

This question is about the mathematical foundations of the continuous logit model, as derived in McFadden (1976) (https://eml.berkeley.edu/reprints/mcfadden/math_theory.pdf) and Ben-Akiva et al (1985) ...
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### OLS vs WLS in misspecified model

I'm thinking whether there exists cases where OLS estimator is closer to the true coefficient than WLS estimator in probability limit in a misspecified model. Specifically, I'm working on a case where:...
33 views

### Do monetary and fiscal stimulus defeat each other? [closed]

They have opposite effects on rates. Do they defeat each other?
39 views

### Event Study vs. Difference-in-Differences

I am trying to perform Event Study methodology to analyse impact of group of events on group of stocks from certain sector. I noticed that I am getting surprisingly lot of positive results (very low p-...
30 views

### Year Fixed Effects in a Dynamic OLS Regression with Cointegrated Variables

I am estimating a dynamic OLS model since I have variables that are non-stationary, but cointegrated. In addition, the data is a standard time-series (i.e. one observation per one time period) so ...
23 views

### Logit model and logistics regress, what the diffrence?

In economics and business school, we talks about logit models a lot. In general, we mean the conditional logit model (McFadden (1973). But in statistics, they use logistics regression. I have been ...
24 views

### On Cointegration with Structural Breaks

I am slightly confused about the requirements necessary to conduct a cointegration test with structural breaks such as the Gregory-Hansen test. Suppose I have two I(1) variables. Variable 1 follows a ...
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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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### 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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### 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 ...
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} + \...