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.

Filter by
Sorted by
Tagged with
0
votes
0answers
15 views

Monte carlo simulation for macroeconomist

I would like to know if it is useful to learn Monte Carlo simulations if I want to focus on macroeconometrics ? Or even is it useful outside of academics ?
0
votes
0answers
12 views

Dynamic Panel Data estimation…HELP!

Hi everybody and thanks for reading. I'm currently working on university research where my proposal is to find which are the fertility determinants. In the first instance, I made a balanced panel for ...
1
vote
0answers
20 views

Does GMM have any assumptions that you can't test empirically (and must instead argue qualitatively for)?

My understanding is that you can empirically test some of the main assumptions required for using a GMM estimator. Namely, I understand that you can test over-identifying restrictions with Hansen's J ...
1
vote
1answer
39 views

Cointegration in stock market between different market places

Hi guys im interested in cointegration in stock market between Brazil, USA, London, China, India, Argentina and Hong Kong. Since I want to compare each country’s index to the BR index, how do i do to ...
1
vote
0answers
34 views

Imputing # of unemployed from Labor Force Survey

I am working on state-level data, where one state has recently stopped publishing the absolute figures for the number of the unemployed. Instead, it currently only releases U and LFP rates. ...
1
vote
1answer
44 views

Dif-in-Dif aggregating or not?

If I have data that is on some level, say industry-county-year, and a certain treatment, say a regulation change in some states in certain years. Is it possible to run a Dif-in-Dif on the industry-...
1
vote
0answers
35 views

complex Difference-in-difference formula

I have 5-year sales information from a grocery store in Canada. I want to check whether an event that happened in 2017, affected the effect of the price of a product on its sales. For example, imagine ...
4
votes
0answers
35 views

Endogeneity in demand estimation using demand systems estimations

Assume I have quantities and prices for J products across M markets in T periods. I want to estimate their elasticities. I construct J regressions of this type: $$\log \left(q_{j m t}\right)=\alpha_{t}...
2
votes
0answers
12 views

Is unobserved heterogenity in mixed logit models variable specific?

I have a mixed logit model with travel cost, travel time, and mode constants. If I only randomize travel cost and keep fixed coefficients for travel time and mode constants, will the model capture ...
2
votes
0answers
15 views

Measure of Public Transportation Efficiency (Consumer side)

I'm looking for data on public transportation efficiency for consumers by city or county. In some places you can get across town in under 20min and in other places it takes 2hrs and this likely has ...
1
vote
0answers
15 views

Measure of urban-ness or city density

I have a dependent variable I want to examine in relation to a measure of city density. This means city population as well as geographical spread. Ideally, it would also include a measure of ...
1
vote
0answers
27 views

How can I add a multidimensional panel to estimate TFP (year, id, region) in R?

I'm not sure about adding fixed effects for the variables year,id,region (using the estprod library) as in this paper using LP stimator. In the STATA forum ( #18 #...
1
vote
1answer
62 views

Change vs Difference

I have data on "share in labor employed in manual occupations" for two years (i.e. 1980 and 2005) and looking to create the following dependent variable: change in the share of labor ...
1
vote
0answers
17 views

two-year Difference-in-difference model design

If there is some literature about two-year DID model. If a policy was implemented in 1982, but not strictly enforced among all people. Can I still be able to apply a DID model using the data only from ...
3
votes
0answers
21 views

Methodology of Estimating Economic Costs?

To be specific, I am currently devising an honours thesis proposal to estimate the effects of a lack of competition in consumer electronic repair markets on variables such as firm profits, consumer ...
1
vote
0answers
44 views

What type of econometrics is practised most?

This might sound like a weird question, but what type of econometrics is most common in academia and / or the private sector? Here I am thinking about time series econometrics (Bayesian and ...
1
vote
0answers
14 views

Does a structural variance break in one variable of a VAR model matter?

There is a structural variance break in one of my variables ($y_t$) for a VAR model (visually though). Using an AR(1) model and CUSUM square test, I was able to detect it. However, after putting it ...
2
votes
0answers
16 views

Use MLE to calculate exponential distribution parameter

The question is from A Guide to Econometrics by Peter Kennedy (5th edition, page 504.) Suppose you have a random sample of workers, from several localities, who have recently suffered, or are ...
1
vote
1answer
41 views

Unbalanced panel data in prodest package in R

I have a question regarding the usage of unbalanced panel data for TFP estimation by using the prodest package. The dataset could be found here: https://drive.google.com/file/d/...
1
vote
1answer
25 views

Is clustered standard errors the best way for all regressions that uses clustered data?

Using clustered standard errors assumes that the regression coefficients are the same for all the clusters in the data, right? What if they are not the same. For example, I have used F-test to compare ...
1
vote
0answers
25 views

Multiple binary instruments

Suppose we use instrumental variables with a single binary instrument $Z$. Let $Y$ denote the (continuous) outcome and $X$ denote the single explanatory variable of interest. If I understand matters ...
0
votes
0answers
9 views

Diff-in-Diff framework where treatment time is not fixed and multiple treatment group with sub level of treatment

The study is analyze a data for 30 yrs time period with two treatment group denoted T_1 & T_2 and a control group. Treatment ...
3
votes
0answers
20 views

Instrumental variable regression: How many interpretations?

I was reading Amemiya "Non-linear regression models" (1983) in which he says that This statement should not be construed as a criticism of Theil's interpretation. I know of at least six ...
0
votes
0answers
35 views

Deconvolution in economics

Here it says In mathematics, deconvolution is an algorithm-based process used to enhance signals from recorded data. Where the recorded data can be modeled as a pure signal that is distorted by a ...
3
votes
0answers
16 views

Proof of Criteria for Local Identification in Rothenberg (1971)

My question is regarding Theorem 1 (page 579) of Rothenberg (1971). It is associated with four assumptions given on the same page. But, I only have a question about a single step of the proof, so I ...
0
votes
0answers
13 views

Maximizing Quality Indicator

I am having a countries panel data on macro variables<gdp, inflation etc) and a continuous quality indicator variable(with gaps) . My models suggests that the quality indicator is a factor for gdp ...
0
votes
1answer
46 views

These two estimators are equal?

I have a question so basically. I have two model $$y= X_1b_1+X_2b_2+u$$ And $$X_2=y\beta_1+X_2\beta_2+v$$ I want to show $b_1=\beta_1$ Are these estimators are equivalent? $$b_1= (X_1’M_1X_1)^{-1} X_1’...
1
vote
1answer
52 views

How does explanatory variables in variance affect unconditional variance of GARCH(1,1)

I have a question about the unconditional variance of a GARCH process, where exogenous explanatory variables are included in the variance. The usual GARCH models the variance using: $$\sigma^2_t=\...
2
votes
0answers
51 views

t test and F test are equivalent under single restriction case

In Classic linear regression model, under the single restriction $$y=X\beta +u$$ $$H_0: \beta_j=0$$ If I apply t test, then the t statistic is derived as follows $$\frac{b_j-\beta_j}{s\sqrt{a_{jj}}}$$ ...
0
votes
1answer
21 views

The instrument in “The Colonial Origins of Comparative Development”

I am hoping to understand when an instrument is appropriate. For the purposes of this question, I'm considering a simplied version of the model in AJR (2000): $$\begin{aligned}\text{GDP} &\sim \...
0
votes
0answers
27 views

Hodrick Prescott filter for quality variables

I am having a countries panel data on macro variables<gdp, inflation etc) and a continuous quality indicators variable . My models suggests that the quality indicator is a factor for gdp to reach ...
0
votes
0answers
15 views

Is it okay to difference data with different time intervals?

I have a question that is from an old project and that I want to clarify purely for future research. The question is, if you have a time-series that occurs at intermittent intervals, say once ever 4, ...
0
votes
0answers
16 views

Persistency in a VAR model

VAR, SVAR, BVAR, TVP-VAR, etc, I have a feeling that the persistency of the impulse responses will not change much irrespective of the model, even if impulse responses in the first period of the shock ...
0
votes
0answers
18 views

Triple Difference model using Repeated cross-sectional data

I have a repeated cross-sectional data from the Demographic and Health Surveys. And I want to run a triple difference model, along the lines of Yelowitz (1995). My identification strategy is such that ...
0
votes
2answers
40 views

Arch Model and $\sigma$

In my problem set about ARCH models I'm given that $\epsilon^2_{t}=\alpha\epsilon^2_{t-1}+v_{t}$ But then I'm asked to calculate $E(\sigma^2_{t+n}|I_{t-1})$. So is the same to calculate $E(\epsilon^2_{...
2
votes
2answers
57 views

Log-linear ordinary least squares specification coefficient loses its interpretation when we change an explanatory variable by a unit?

Ok, so something that's common to the econometrics literature is that we interpret the coefficients in OLS log-linear models like such. To spell it out in the main body: $ln(y_i)=\beta_0+\beta_1X+u_i \...
1
vote
1answer
17 views

Which values to assign to a quantified dummy variable

I am working on a data set from kaggle (https://www.kaggle.com/spscientist/students-performance-in-exams) about how student performance relates to some explanatory variables, such as if the school ...
2
votes
1answer
47 views

Show that conditional variance of error in linear probability model is heteroskedastic?

I have a problem that asks me the following: " Consider the linear probability model, in which we specify the regression equation to be linear in X, E(Y |X = x) = Pr(Y = 1|X = x) = x'β We can ...
3
votes
4answers
299 views

Could you recommend a book or lecture notes about time series that is easy to understand?

What are some time series texts that you would recommend to start studying? Some easy textbooks/lecture notes or step by step for undergraduate level. I'm not so good at math/statistics.
1
vote
0answers
12 views

Interaction term between lagged and non lagged variable Fixed/Random effect model

I am analyzing a panel dataset. I am wondering if I could use an interaction of a lagged variable ( one time step behind) and a non lagged variable ( both continuos indipendent variables) and still ...
4
votes
1answer
47 views

Rule of thumb for confidence level

Typically in statistical software, the default confidence level is 95%. The higher the better, I suppose. But this is still not a rule of thumb, right? In Stock and Watson's paper (https://www.aeaweb....
1
vote
1answer
20 views

Log-Linear Model

I know that the log-linear model shows the percent change in y if there is a one-unit change in x but how would you solve for it the other way to show a percent change in x if there is a one-unit ...
0
votes
0answers
29 views

How can I formulate price elasticity of demand equation when I want to add cross price elasticity?

I am trying to calculate the price elasticity of demand for a product where I used the equation log(volume) = elasticity * log(price) + seasonality dummies + trend index + CPI Here CPI is the consumer ...
3
votes
1answer
43 views

Difference in interpretation of log-lin coefficients with binary variable

Consider the model: $$y_i=\beta_0+\beta_1D_1+\beta_2D_2+u_i$$ Where $D_1=\{0,1\}$ and $D_2=\{0,1\}$ are binary (dummy) variables, and $y_i$ is a continuos variable in levels. In this model, for ...
1
vote
0answers
15 views

IRFs for time-varying VAR models

I want to fit a time-varying VAR model to my data because of a structural break occurring midway in the sample. But I want to plot IRFs, not for the entire dataset, but for the pre-structural-break ...
0
votes
1answer
53 views

Fixed Effects Model Interpretation

$$\ln(\text{pay})_{itj}= \alpha_{ij} + \beta\ln(\text{performance})_{jt} + \gamma X_{ijt} + T_t + ε_{ijt}$$ This fixed effects model was used to investigate the link between pay-performance throughout ...
1
vote
1answer
33 views

What are the advantages of using demand systems estimation? How is this different from individual demand estimation for product?

I am unable to understand how is demand systems estimation is different from simple demand equation estimation. What's the best resource for getting a history line of demand systems?
1
vote
1answer
29 views

Substitute a continuos variable with a categorical one in Linear regression

I am pretty new to econometrics, and I am thinking about substituting a continuous variable (say assets for a company) with a categorical one containing a number based on which quintile the continuos ...
0
votes
1answer
40 views

Logit/Probit with numbers different than 0 or 1?

I am trying to find an econometric model that helps me to answer the following. I would like to measure how much the increase in the cost of a production factor (my X) shifts the supply curve of a ...
1
vote
0answers
20 views

Is this weighted least squares or just weighting the dependent variable

I am a little confused as to what the following line means. Do the authors mean they run a weighted least squares using the sample size as weights, or just weight the dependent variable using the ...

1
2 3 4 5
18