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, ...
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Understanding Second-Order Approximations in Translog Production Functions
Consider a model with the following production technology:
\begin{equation}
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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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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OLS estimator after standardization of the regressor
Consider a population in which two random variables, $y$ and $x$, satisfy the following relationship,
$$
y=\beta_0+\beta_1 x+u,
$$
where $E[u \mid x]=0$. You wish to estimate the unknown coefficients $...
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Economics Textbooks
What are some good textbooks for learning
Microeconomic Theory
Macroeconomics
Econometrics
Are there any textbooks that are particularly popular for post-grad courses?
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While estimating a structural break, do we regress our dependent variable on the independent variable(s) or is it on time?
I have monthly data of DJIA and S&P 500 (BSE) from 2003-2024 and I wish to test if there are any structural breaks in the data and to identify the same. Since these are indices, would this ...
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First Time Working on a Economics Problem
I am working on this economics problem and feel a bit lost. I was hoping someone could help me out.
Suppose there is a farm in which there are two variables: Crop Yield and Fertilizer Cost
I am ...
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SVAR: proof of the $(K^2-K)/2$ restrictions and identifiability?
I'm currently using Structural vector autoregressive models by Kevin Kotzé to learn Vector Autoregression. One of the points that it makes is the following:
the number of restrictions that we need to ...
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Why does the sign on the variable changes with the lag while running ARDL model?
The dependent variable of the model is mortality rate, while independent variable is mean: Mean year of schooling, and GDP for the Gross domestic product, percentage change. While they are all either ...
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Efficiency of various Panel Data Models
I'm preparing for an Econometrics exam, and am confused about what makes a Panel Data Model efficient. For Pooled OLS, why do we require heteroskedasticity & E^2a=0 for the model to be efficient?
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Help in estimating the effect of tax for demerit goods?
I want to conduct a research that will evaluate the impact of a sin tax reform with respect to their expenditure on "demerit" goods (sugar and tobacco specifically). However, upon inspecting ...
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Good reading source for conditional DID
What book/article would you recommend for some practical aspects of conditional diff-in-diff?
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Addressing Irregular Time Intervals of observations in Event Study/Staggered Difference-in-Difference Method
I am conducting a study using an event study/staggered difference-in-difference (DiD) method. My dataset consists of observations with irregular time intervals: some individuals have daily ...
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Matrix multiplication notation in Hayashi Econometrics
The question is verify that $X'X/n = \frac{1}{n} \sum_i x_i x_i'$ I'm gonna ignore the dividing by n. My problem is if $X$ is a $m \times n$ matrix then $X'X$ is a $n \times m$ matrix multiplied by a $...
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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 ...
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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 ...
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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/ ...
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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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Variable dropped for collinearity in feols package in R (TWFE)
sorry if this is a basic question (I'm new to econometrics). I have the following regression model:
$Y_{i,t} = \alpha_i + \gamma_t + \beta_1\cdot X_{1,i,t} + \beta_2 \cdot X_{2,i} + \beta_3 \cdot X_{3,...
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Linear model estimated as log-log: What is the bias exactly?
Consider a causal model:
$$ \text{(I)} \qquad y = \beta_0 + \beta_1 x_1 + \beta_2 x_2 + \beta_3 x_3 + \epsilon$$
Now, assume we estimate it by OLS in the form:
$$ \text{(II)} \qquad \ln(y) = \alpha_0 +...
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References for minimum distance estimator
What is the formula for finding the minimum distance estimator and how does it differ from GMM? Also, do you know of any good resources on MD? Can't find any besides my textbook. Thanks!
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Can I use lagged independent variable as an instrument?
I am doing my Economics dissertation on the impact of competition law stringency (measured 0 to 1 on an index) on R&D levels as a % of GDP. I have an unbalanced panel data set of countries from ...
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Finding the distribution in OLS
I have the following linear regression model:
$$
Y_i = \beta_0 + \beta_1 x_i + \epsilon_i
$$
where $\epsilon_i$ are independent $N(0, \sigma^2)$ random variables. Let $\hat{\beta}_i$ denote the ...
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Random Utility Model Multiple Choice Question. Which one is correct?
In this random utility model, which of the five statements is true? I've been thinking about this question ever since the exam... I said (B).
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Difference between unconfoundedness and parallel trends
I understand the unconfoundedness (selection on observables) assumption to be that the expected value of an outcome is independent of treatment after controlling for observed regressors (since these ...
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Estimate a simple regression (homework question)
The Director of UNAM’s Student Affairs would like to investigate the relationship between the number of hours (X) students spends campaigning and the percentage of votes (Y) they end up receiving in ...
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Two endogenous variables and two control functions
I am interested in estimating the relative effects of $X$ and $Z$ on $Y$ in the model $Y = \alpha X + \beta Z + \gamma U + \epsilon$. Both $X$ and $Z$ are endogenous because $U$ is unobserved and ...
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In the supply demand model $Q_s=a_0+a_1P+u$ and $Q_d=b_0+b_1P+b_2Y+v$, is it true that $a_0,a_1$ are identified while $b_0,b_1,b_2$ are not?
In the supply demand model $Q_s=a_0+a_1P+u$ and $Q_d=b_0+b_1P+b_2Y+v$ and $Q_s=Q_d$, where $P$ is price, $Y$ is income, $u,v$ are the unobserved error terms. what are the identified parameters and ...
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Kernel Density Estimation and Nadaraya Watson Estimator reference
I am looking for a reference that is on kernel density estimators with the following results:
Let $(X_1,Y_1),\ldots,(X_n,Y_n) \in \mathbb{R}^{p} \times \mathbb{R}$ are i.i.d. and $\mathbb{E}(Y|X=x)=m(...
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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?
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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.
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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)
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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 ...
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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 ...
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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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Hausman test from Wooldridge (adding level variables)
Wooldridge's graduate textbook (p.285) says that:
We can formally test the assumptions underlying the consistency of the FE and FD estimators by using a Hausman test. [...] If T = 2, it is easy to ...
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Diff-in-diff and ATE vs ATT
I understand that the coefficient of the interaction term in a standard diff-in-diff model is the average treatment effect on the treated (ATT). But I was wondering how/when we can derive the average ...
