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 ...
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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,...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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, ...
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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 ...
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non-ponzi condition
What Is The Differences Between R(T) And R(S) In No-Ponzi Condition In Ramsey Growth Model?
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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 ...
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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 ...
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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?
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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 ...
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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?
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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 ...
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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 ...
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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. ...
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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?
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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 ...
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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) ...
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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 ...
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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 ...
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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 ...
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Pooled difference-in-differences with limited panel
I wish to estimate a pooled difference-in-differences specification in the following form:
$y_{i,t}=\alpha_i+\theta_t + \beta \times \mathbf{1}\left(t > \bar{t}\right) \times Treatment_i + \...
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Log of 0 Probelm in Acemoglu et al. 2002b
in Acemoglu et. al. 2002b, which is about European Growth and Atlantic Trade, they do a log transformation of the atlantic trade variable. Since there are many observations where trade is 0, they say ...
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How to measure the extent of vertical integration by using the ratio of Income to Sales
I am was reading a research paper called "Concept and statistical measurement of vertical integration" by author M.A.Adelman . This research paper proposes that the extent to which some ...
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Log Transformation of Zeros (Slave Trade Data)
I am trying to log transform data on slave trade voyages from the Database by David Eltis,The Trans-Atlantic Slave Trade Database.
The Problem I am facing: Many values are 0. My first idea was to ...
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Difference between Quantile Regression and Endogenous Stratification
I have a question that stems from an ongoing experiment I'm conducting, focusing on treatment heterogeneity.
Initially, my approach involved considering a beyond-mean analysis utilizing quantile ...
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Effect of government expenditure on human capital development: model specification
I’m working on a project research at BSc level on “the effect of government expenditure on human capital development with a scope of 1990 - 2022 (Nigeria)”. I am confused with my model specification. ...
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What functionality AI expert system what has functionality of ´businessmen´ would have?
Economy experts!
If you imagine a machine learning / expert system project, or something similar, what goal is to create a system what would perform the same task as a ´businessmen´ in market economy, ...
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gravity model of trade
I am conducting an analysis to assess the impact of the CETA trade agreement on trading margins using the gravity equation. One of the challenges I'm facing is how to calculate the distance variable ...
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How is natural interest rate estimated?
I'm working on a project in which I need to describe, compare and contrast various models of natural interest rate.
My team is planning to discuss the Laubach-Williams model, DSGE model, Structural ...
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Is there a labor vs leisure model with work experience?
I find the labor-leisure model with utility functions interesting, but I find it lacks the factor of work experience, which is very important in the real life labor market.
This is a reason people why ...
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Average growth rate estimation
How can we estimate the average growth rate from 2011 to 2022,when with time, the quantity is first increasing at decreasing rate, then decreasing and then again increasing at an increasing rate with ...
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difference perfect and imperfect multicollinearity?
I am struggling with two examples where I wanted to identify whether it is a problem of perfect or rather imperfect multicollinearity. First, a variable "expenditure" is calculated by ...
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Deriving `\beta_1` in OLS
I'm studying for an Econometrics exam and going over an old lecture slide (see picture).
In it the lecturer is deriving \beta_1 in a basic OLS regression with one ...
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Analysing data from a randomised experiment where independence fails
Suppose that I sell ice cream and want to know whether charging \$1 or \$2 raises more revenue. To do this, I conduct a randomised price experiment. Specifically, on every day, I flip a coin and use ...
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Analysis of seasonal adjustments and moving averages: seeking guidance
I'm looking to seasonally adjust the price data I have using a moving average with a 12-month window size. As window 12 is being used, the first 11 values in the 'Oil_adjusted' column are being filled ...
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Switching from one-unit IRF to one-standard-deviation
I'm manually calculating the IRF of a VARX. I calculated the IRF to a unit-shock to the independent variable. Now I want to switch to a one-standard-deviation shock.
Do I multiply the resulting one-...
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Stata command for Dynamic Panel Production Function estimation
Consider a production function to be estimated,
$$(*) y_{it} = \beta_0 +\beta_k k_{it} +\beta_l l_{it} + a_i +\omega_{it} +\varepsilon_{it}$$
where $\omega_{it}=\rho\omega_{i,t-1}+\xi_{it}$. The ...
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Propensity Score Matching
Just for example: Say I am trying to measure the impact of pills, exercise, and vaccines on a dependent variable y. For simplicity, pills, exercise and vaccines are binomial so either 0 or 1. However, ...
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How to handle missing median and mean values for a panel dataset when a full subdivison is observed?
I am creating a panel dataset for earnings based on English local authorities (local administrative districts). In 2009 and 2019, some local authorities were combined to create a single local ...
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How can I test whether factors of production are actually paid their marginal revenue product, or more or less?
How would I go about testing econometrically whether each factor of production is actually paid its marginal revenue product in an industry over time, or is paid more or less than that amount? Please ...
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Vector Visualisation of regression model vs scatter plot style
I wrote another post discussing the intuition of visualising OLS regression.
I wanted to go a bit deeper here visualising the difference between a vector/matrix approach, and the non-linear algebra ...
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Intuition of Linear Algebra visualisation for regression
Question: I want to clarify my understanding of the basics of OLS regression in matrix form.
Let's assume we have 2 different independent variables $x_1$ and $x_2$.
Our 'model' will be the plane that ...
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Can hausman test imply slope heterogeneity?
I am working with panel data, and the Hausman test gave a p-value of 0.0001.
From this, can I infer that there is significant heterogeneity of intercepts across entities of my panel?
Im thinking so ...
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Critical Value for Chow Test
What are the degrees of freedom for the F-distribution used to find critical values for the Chow Test?
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