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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449 views

How can I test for autoregressive residual terms in a fixed effects panel Poisson model?

I have panel data for counts of new firms in different regions for six years. I am estimating a static poisson regression with multiplicative fixed effects$^*$; I have also tried to estimate a dynamic ...
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0answers
115 views

A doubt on summary statistic of post*treat variable of a paper using DID (Dong,2019)

Generalized DID or Staggered DID are DID using staggered treatment events. In Dong,2019's paper, he uses the framework as below: $Margin_{ikjt}$ = $\alpha$ + $\beta$ $(Leniency Law)_{kt}$ + $\delta$$...
4
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44 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}...
4
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39 views

comparison of micro production functions

There are many different production function estimation methods, relevant for micro and firm data. For example Olley-Pakes, Levinsohn-Petrin, Ackerberg et al., Wooldridge etc. But does anyone know of ...
4
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33 views

Max Likelihood Estimators of a stable Gaussian VAR$(p)$ process. Are the Lutkepohl formulas correct?

In «New Introduction to Multiple Time Series», page 90, we have the following formulas for the ML estimators of a stable Gaussian VAR$(p)$ process: where $\tilde \alpha = vec(\tilde A_1,...,\tilde ...
4
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0answers
76 views

R reproducible example, restrictions on cointegrating equations

The code given below estimates a VEC model with 4 cointegrating vectors. It is a reproducible code, so just copy and paste into your R console (or script editor). ...
4
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0answers
232 views

Explanation of paper's econometric assumptions

The authors of this paper (http://andrewleigh.org/pdf/GunBuyback_Panel.pdf) appear to be essentially regressing the change in the death rate to the change in guns from a gun buy back in Australia, at ...
4
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174 views

Econometrics: Weights in regression that contains averages

Let's say I have a regression of the form: $$y_j=a_0+a_1*T_j+a_2*X_j+u_j$$ where $j$ stands for county, and $y$ and $X$ are averages over worker outcomes/characteristics for each county, and $T$ is ...
4
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56 views

Non parametric and parametric tests of martingale?

A martingale is a model in which the expectation for the next value is equal to the presently observed value, even given knowledge of prior values, ie $E(X_{n+1} |X_1, X_2, ..,X_n)=X_n$ What tests ...
3
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44 views

AR(q) Strongly Stationary

Consider an AR(q) process, $u_t$. If the roots of a characteristic polynomial are outside of the unit circle, the AR(q) process is weakly stationary. I've seen this proof that proceeds by showing the ...
3
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26 views

Get empirical steady state moments for calibrating a DSGE model

I want to calibrate some parameters of my DSGE model so that in the steady state some variable ratios, that are present in data, are met. My question is, how do I get such ratios from time series ...
3
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54 views

If we clustered by country, why we need to cluster by firms and industry?

From this discussion, it seems to me that if the test survives when clustering by countries, we do not need to cluster by industries or firms because firms and industries for sure have more ...
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48 views

Which statstical method/model should I use with my study?

my dear fellows. I mainly do experimental research, so I run experiments in which participants play a game repeatedly (for 20 periods for example). The dataset I get after the experiments would be ...
3
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61 views

Question about using elasticities to compare difference rates but with different normalization

Lets say I am estimating a regression of a death rate per 100k people on an economic shock, so: $y = \beta_o + \beta_1 * X+ error$ where the dependent variable is the death rate, and x is the measure ...
3
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26 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 ...
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21 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 ...
3
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85 views

What is the observable definition of “preference” by Frisch?

To make things weird, although Frisch was fully aware of the importance of random distribution in economics relations, he never mention the randomness in binary preference relations! How to define ...
3
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68 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) ...
3
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17 views

How reliable is ECB's financial derivatives data?

I am trying to use QSA financial derivatives data retrieved from the ECB's database (this is actually compiled by ECB and Eurostat). To be more specific, the data is: Financial derivatives held as ...
3
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242 views

Combining Difference-in-Differences with Matching Methods When Parallel Trends Are Met in Unmatched Data

I'm running a difference-in-differences (DID) regression on panel data as follows: $$ Y_{it} = \beta_{0} + \beta_{1}Treat_{i}\times Post_{t} + \mathbf{\Pi}\mathbf{X}_{it} + \tau_{i} + \gamma_{t} +\...
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22 views

Random effect Vs Fixed effect with the 10 CAN provs as cross sections

Im working on a model examining the effect of minimum wages on employment over the 10 provinces using a panel data set. I have used the Hausman test to decide to use RE or FE, in which it recommended ...
3
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68 views

What type of biases arise from DID estimation using aggregate data?

I'm considering using difference in difference techniques to write my last two undergraduate papers relating minimum wages and employment/poverty. I've been told issues arise with using aggregate data ...
3
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1answer
394 views

Serial correlation and clustered correlation in FE and FD estimators

I'm running a regression on panel data, one time with Fixed Effects and one time with First Differences. The estimators are really different (the FE estimator is statistically significant and the FD ...
3
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0answers
331 views

Recursive assumption - Identifying exogenous monetary policy shocks

I am reading through "Monetary Policy Shocks: What Have we Learned and to What End?" and am hoping someone here can offer a bit of clarity about a claim made within about how measurement error in data ...
3
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345 views

A theoretical/mathematical approach to cost-benefit analysis and cost-utility analysis in health economics

I am looking to get some resources looking at health economics from a pure mathematical point of view, ie developing models using partial differential equations or complex analysis. In particular, I ...
3
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50 views

GMM: Under What Conditions Does Adding a Seemingly Unrelated Moment Condition Increase Efficiency?

For simplicity, I'll offer the simplest of endogenous models. Suppose we have the following scalar model: $y=\beta x+u$ where $E[ux]\neq 0,\;E[uz]=0\; \text{and}\;E[u^2|z]=\sigma^2$ Clearly we can ...
3
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0answers
79 views

One-Step estimators for non-linear regression

Let's suppose I have $\sqrt{N}$-consistent estimate, $\beta^{*}$(vector, but couldn't put it in bold), then doing the Gauss-Newton Regression, i.e. $\mathbf{y}-\mathbf{x}(\beta^{*})=D_\mathbf{x}(\beta^...
3
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0answers
17 views

Help Finding Information on “Power Trends” or “Polynomial Trends”

I need to prove some facts about the asymptotic OLS estimator, $\hat{\delta}$ in model: $ y_t = \alpha_t + \delta \cdot t^b + \epsilon_t $ where $\epsilon_t \sim iid(0,\sigma^2)$. I've looked at ...
3
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0answers
220 views

Systematic measurement error in explanatory variable

In the classical errors-in-variables problem, we are looking at the effect of $x^*_i$ on $y$, but $x^*_i$ is misreported. We have observations $x_i = x^*_i +u_i$, where $u_i$ has zero mean mean, ...
3
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0answers
204 views

SAS: How to do ARIMA procedure with structural break?

So it seems like my data has a structural break in it, using Box-Jenkins methodology and evaluation such as ADF test wont give appropriate forecasts/results if I do not correct for the structural ...
3
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0answers
232 views

Forecast of ARMA-GARCH model in R

I managed to forecast a GARCH model yesterday and run a Monte Carlo simulation on R. Nevertheless, I can't do the same with an ARMA-GARCH. I tested 4 different method but without achieving an ARMA-...
3
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0answers
135 views

Appropriate economic/econometric tools to analyze segmented promotion optimization problem

I'm trying to determine which micro-economic/econometrics concepts, models, and/or tools are appropriate for an analysis of promotions. Below I Describe the problem in general terms Give ...
3
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0answers
212 views

Estimation technique: Independent variable (taxation) unknown

I am trying to estimate $\lambda$ from this equation: $(1+ t_t) = \left(\dfrac{C_t}{Y_t}\right)^{\frac{1-\lambda}{\lambda}}$ After taking logs and approximations, I get: $t_t \approx \left( \frac{1-...
3
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0answers
1k views

How do I convert real gdp into chained-dollar real GDP?

I have quarterly data for real GDP from 1981-2015. I also have quarterly chained-dollar real GDP from 61-2012. I need to have them converted into one series. I've looked up several different formulas ...
3
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1answer
126 views

Difference-in-Differences on State Sales Tax Rates

In an attempt to evaluate a potential U.S. National Sales tax rate, it was suggested on this forum before that I consider a difference-in-differences on state sales tax rates before and after they ...
3
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0answers
123 views

Wold Decomposition and autocorrelations of AR

Is it possible to retrieve Autocorrelations ( value or any other info) up to a certain lag for an AR(2) stationary model using the Wold decomposition? Example: $$X_t=0.32X_{t-1}+0.51X_{t-2}+ \...
3
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0answers
141 views

Applying the Martingale central limit theorem to the score process of an autoregressive model

This question is a natural continuation of the following question: How do I construct the score process of a Markov model and verify that it is a Martingale? In this problem, we set up as follows: ...
3
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0answers
105 views

Differences between LATE and Heckman Selection

I have heard that a paper by Heckman and Vytlacil demonstrate comparisons between nonparametric Heckman selection (NP Heckit) and the LATE (local average treatment effect) framework. Could someone ...
2
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0answers
12 views

Difference between AR confidence intervals reported in weakiv versus twostepweakiv

Should the Anderson-Rubin confidence intervals reported in weakiv and twostepweakiv be equal to each other? Sun (2018) does not ...
2
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0answers
39 views

Sample size and statistical significance dicussion

As we know, sample size can play a role in reaching statistical significance, provided that splitting the quant world in what is and what is not statistically significant is probably an overestimated/...
2
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0answers
33 views

How to explain the meaning of coefficients standing for ATT by words in DID setting?

In a generalized DID setting, we have the equation (I copy from a hot discussion that triggered my interest) $Margin_{ikjt}$ = $\alpha$ + $\beta$ $(Leniency Law)_{kt}$ + $\delta$$X_{ikt}$ + $\theta$$_{...
2
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0answers
29 views

Asking for the exception of unparallel trend in DID testing

When reading this paper, The Common Trends Assuption section, p.457, I saw a paragraph: Researchers, however, must also think carefully about the conceptual reasons for which the common trends ...
2
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0answers
29 views

Do you know how to compute the IRF of a GARCH (1,1)

We have the following model (GARCH (1,1) ) $y_t=\sigma_t\epsilon_t$ $\sigma_t^2 = \omega + \beta*\sigma_{t-1}^2 + \gamma*y_{t-1}^2$ Note that we can rewrite the latter as: $\sigma_t^2=\frac{\omega}{1-\...
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0answers
25 views

Econometrics - Panel Data: Relationship between total, within and between

I need to prove the following statement, which is $\hat{\beta}_{total} = W(x)\hat{\beta}_{within} + (I-W(x))\hat{\beta}_{between}$, where $\hat{\beta}_{within}$ is the fixed effect estimator(i.e. the ...
2
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0answers
16 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 ...
2
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0answers
25 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 ...
2
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0answers
52 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 $$\frac{b_j-\beta_j}{s\sqrt{a_{jj}}}$$ ...
2
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0answers
25 views

Is a spatial effect a random or a fixed effect?

Below is the definition taken from Wikipedia(with some minor alterations) Consider the linear unobserved effects model for N observations and $T$ time periods: :$y_{it} = X_{it}\mathbf{\beta}+\alpha_{...
2
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0answers
25 views

How to choose information criterion?

In time series analysis, it is often important to determine the optimum number of lags in order to remove serial correlation. For example, in VAR, Dickey-Fuller unit-root test or Granger causality ...
2
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0answers
32 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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