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.
405
questions with no upvoted or accepted answers
12
votes
0
answers
490
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 ...
- 296
5
votes
0
answers
65
views
p-hacking vs. parameter calibration?
I'm currently tasked in my job to design a Prospect Theory (here CPT-)index as mentioned in Barberis, Mukherjee and Wang (2016): "Prospect Theory and Stock Returns: An Empirical Test", see ...
- 303
4
votes
0
answers
57
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:
$$\log \left(q_{j m t}\right)=\alpha_{t}...
- 41
4
votes
0
answers
48
views
comparison of micro production functions
There are many different production function estimation methods, relevant for micro and firm data. For example Olley-Pakes, Levinsohn-Petrin, Ackerberg et al., Wooldridge etc.
But does anyone know of ...
- 41
4
votes
0
answers
37
views
Max Likelihood Estimators of a stable Gaussian VAR$(p)$ process. Are the Lutkepohl formulas correct?
In «New Introduction to Multiple Time Series», page 90, we have the following formulas for the ML estimators of a stable Gaussian VAR$(p)$ process:
where $\tilde \alpha = vec(\tilde A_1,...,\tilde ...
- 5,061
4
votes
0
answers
80
views
R reproducible example, restrictions on cointegrating equations
The code given below estimates a VEC model with 4 cointegrating vectors. It is a reproducible code, so just copy and paste into your R console (or script editor).
...
- 1,990
4
votes
0
answers
237
views
Explanation of paper's econometric assumptions
The authors of this paper (http://andrewleigh.org/pdf/GunBuyback_Panel.pdf) appear to be essentially regressing the change in the death rate to the change in guns from a gun buy back in Australia, at ...
- 141
4
votes
0
answers
181
views
Econometrics: Weights in regression that contains averages
Let's say I have a regression of the form:
$$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 ...
- 118
4
votes
0
answers
60
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 ...
- 1,453
3
votes
0
answers
33
views
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 ...
- 2,196
3
votes
0
answers
78
views
Orthogonality of two Subspaces
Note: This is a Linear Algebra Question. I'm posting here because I find this community more helpful than maths stack! And ofc linear algebra is fundamental to econometrics, as well!
Martin Anthony ...
- 897
3
votes
0
answers
17
views
Is it possible to run a regression discontinuity design (RDD) with different treatment intensities?
My question arises from an arbitrary assignment rule which gives monetary transfers to cities in Colombia with a population of less than 25,000 inhabitants. However, the transfer varies between cities ...
3
votes
0
answers
38
views
Do t-stats created with robust standard errors follow a t-distribution in finite samples?
I am creating econometrics notes and proved that, with normally distributed errors, homoskedasticity, and no serial correlation, t-stats based on baseline OLS standard errors do in fact follow a t-...
- 3,458
3
votes
0
answers
86
views
How did econometricians justify the use of $EU$ instead of $EU^2$?
Consider the following two utility functions:
$EU(p)=\sum_i u_ip_i$
$EU^2(p)=(\sum_i u_ip_i)^2$.
In preference theory, $EU$ and $EU^2$ are equivalent because they represent the same preference. A ...
- 259
3
votes
0
answers
52
views
Structural Estimation, Simulations, and Initial Values
I want to estimate model parameters and fear about the impact of initial values of simulations.
Short model overview
Consider a firm producing a homogeneous output good whose output price, $P_t$, is $...
- 313
3
votes
0
answers
38
views
How to measure mental accounts of an individual?
I wonder whether its possible to identify mental accounts as defined by Richard Thaler https://www.jstor.org/stable/183904 given i observe consumption and/ or investment behavior of an individual? I ...
- 303
3
votes
0
answers
17
views
How to combine labor market time series when there is a methodological change that creates a break?
Any suggestions on how to combine time series of labor market variables (such as, for example, labor force participation) when there is a methodological change in the way the variable is calculated by ...
- 396
3
votes
0
answers
63
views
At what level should I cluster my standard errors and why?
I have a yearly panel data in which each observation is a pair of monitoring stations (stations measuring water quality in rivers) one located upstream and the other downstream, each station in the ...
- 31
3
votes
0
answers
94
views
GMM Estimation with HAC Weight Matrix in R
I am currently working on my econometrics assignment regarding a seminal paper of John Taylor (1993) and really got stuck during the last days with one specific question. I am supposed to set up a GMM ...
- 31
3
votes
0
answers
110
views
Weighted OLS with weights as a regressor
Suppose one estimates:
$$y_i =\beta_0 +\beta_1 x_i +\varepsilon_i$$
with weighted least squares using $w_i$ as weights. If one were instead to estimate
$$y_i =\beta_0 +\beta_1 x_i +\beta_2 w_i +\...
- 3,458
3
votes
0
answers
767
views
Kleibergen Paap F-statistic
I have commonly seen references to a Kleibergen and Paap F-statistic. In their paper, I see a derivation of a chi-squared statistic, but don't see any references to the F-distribution or F-stat. In ...
- 3,458
3
votes
0
answers
317
views
How to estimate an SUR model in R with fixed effects and clustered standard errors?
I want to estimate an SUR (Seemingly Unrelated Regressions) model.
I tried using systemfit and its wrapper Zelig. But I am not ...
- 33
3
votes
0
answers
57
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 ...
- 3,458
3
votes
0
answers
41
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 ...
- 821
3
votes
0
answers
151
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$$...
- 1,090
3
votes
0
answers
53
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 ...
- 309
3
votes
0
answers
67
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 ...
- 125
3
votes
0
answers
27
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 ...
3
votes
0
answers
30
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 ...
- 31
3
votes
0
answers
101
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 ...
- 1,866
3
votes
0
answers
82
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) ...
- 121
3
votes
0
answers
38
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 ...
- 51
3
votes
1
answer
191
views
How to test if the effect of one regressor entirely comes from other regressors?
I have a regression model that includes IQ test scores as the dependent variable; my own education, my father's education and my mother's education as independent variables. Suppose I want to know ...
- 340
3
votes
0
answers
312
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} +\...
- 31
3
votes
0
answers
31
views
Resources on the Rotterdam demand system
I've been doing some self study on the Almost Ideal Demand System, and have been hearing a lot about the Rotterdam demand system developed by Henri Theil.
I've been looking for resources on google ...
- 8,295
3
votes
0
answers
23
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 ...
- 73
3
votes
0
answers
89
views
Econometrically estimating the Leontief cost function
in general the Leontief cost function is represented as:
$$c(w,y)=y\sum_{i=1}^kw_ix_i$$
where:
$$y=\min\left[{\frac{x_1}{\alpha_1},...,\frac{x_n}{\alpha_n}}\right]$$
How does one go about ...
- 8,295
3
votes
0
answers
75
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 ...
- 73
3
votes
1
answer
494
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 ...
- 333
3
votes
0
answers
462
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 ...
- 2,911
3
votes
0
answers
359
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 ...
- 131
3
votes
0
answers
57
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 ...
- 1,558
3
votes
0
answers
80
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^...
- 5,061
3
votes
0
answers
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
votes
0
answers
239
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, ...
- 83
3
votes
0
answers
248
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 ...
- 31
3
votes
0
answers
264
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-...
- 31
3
votes
0
answers
141
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 ...
- 380
3
votes
0
answers
224
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-...
- 171
3
votes
0
answers
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 ...
- 661