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.

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391 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 ...
4
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28 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 ...
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71 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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230 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 ...
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148 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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53 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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1answer
34 views

Existing metric for personal productivity hours needed per life hour?

With about 50 hours of productivity a week, including work, cooking, etc. I can complete the tasks and pay the expenses necessary to live about a week. Subtract maybe 5 hours of labor that goes into ...
3
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62 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} +\...
3
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2answers
71 views

Translog cost function

Can anyone help to estimate total cost under Translog cost function. I have input output and input cost data. It would be highly appreciated if software demo to estimate the same is given.
3
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21 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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65 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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305 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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42 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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72 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^...
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15 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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202 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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172 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
200 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
111 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
207 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-...
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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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107 views

Difference-in-Difference 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-difference on state sales tax rates before and after they ...
3
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0answers
116 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
117 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
101 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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1answer
27 views

Data analysis with GARCH modeling

I'm currently analyzing the relationship between stock, bonds, and real estate returns in Germany. I've gathered my data and am planning on estimating this equation: $\sigma_t = \beta_0 + \beta_1 R_{...
2
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0answers
42 views

If an endogenous explanatory variable is serially correlated does it mean that its lags are also endogenous?

in panel data when examining economic growth determinants lags are often used to account for endogeneity of explanatory variables. However if the explanatory variable is serially correlated, does it ...
2
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0answers
28 views

Regression analysis with interaction and decomposed main effect

I'm trying to figure out if I need to include the main effect in a regression analysis with an interaction if I am already including a decomposed version of the main effect. For example, let: ...
2
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0answers
24 views

Estimating CES utility (not production) function parameters

The CES utility function has the form \begin{equation} u(x_1,\dots,x_n)=\left[\sum_{i=1}^n\alpha_ix_i^\rho\right]^{1/\rho}, \end{equation} where $\alpha_i$ is the consumption share parameter and $\...
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0answers
26 views

How to know when survivorship bias is a problem

I have panel data where firms disappear from failure and mergers. Conditional on existing as a stand alone firm, I observe all firms. However, I am differencing two periods (Late - Early), and the ...
2
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0answers
30 views

How to control for population in Difference-in-Difference?

Random example, but let's say I'm examining the effect of a health program on influenza cases in India. They just randomly start the program in 7 of the 29 states. I have data on the number of flu ...
2
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0answers
74 views

Helping in understaing new Pesaran and Timmermann test (and R code validation)

I am currently working with Pesaran & Timmermann test version from year 2009. Since I could not find any R package that contains function to calculate it (...
2
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0answers
37 views

Any examples of non-parallelism making Diff-in-Diff estimation biased?

The key assumption in a Differences in Differences design is that both the control and the treatment group have parallel tendencies, that is, they'd follow similar paths over time if there was no ...
2
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0answers
65 views

Simultaneous Equation Models for Estimating Demand for a Good

Suppose in an economy there are $G$ available goods $X_1,...,X_G$. We can formulate a system of $3G+1$ equations as below: $$Q^d_g = A_{g1}+A_{g2}P_g+\mathbf{A}_g\mathbf{Z}^d_g+u_g\quad(g = 1,...,G)\...
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0answers
63 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 ...
2
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3answers
135 views

Sample used in calculating the sample regression function

Does the OLS (ordinary least squares) method of regression consider only one sample value in calculating the sample regression function (SRF)? If not, then how is the SRF created when there is more ...
2
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0answers
25 views

Panel data: When can I used random effects instead of fixed effects? Are control variables necessary?

I have panel data for individuals in an economy that experienced fluctuations in employment levels. I also have some health information for these individuals, BMI, self-rated health etc., My ...
2
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0answers
72 views

Simulating the economy - is it an active field of research?

The question revolves around another motivating question: How does economics become more effective at predicting the behavior of the macro economy? For example, how does economics develop methods that ...
2
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1answer
275 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 ...
2
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0answers
111 views

Framing effects and the use of subjective wellbeing measures in behavioural

In my first foray into behavioural economics I have encountered two themes; - Self-reported subjective wellbeing (SWB) is commonly used as a measure of wellbeing. Survey based SWB measures are ...
2
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0answers
173 views

Difference between Value-Added TFP and Gross-Output TFP?

I am working with EU-KLEMS data, and I am using TFP growth as a proxy for technological change. However, there are 2 variables for TFP - TFP based on Gross Output and TFP based on Value Added. I ...
2
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0answers
268 views

Christiano Fitzgerald filtering process

I'm trying to compare the results of Christiano Fitzgerald bandpass filter with wavelets. I'm familiar with wavelet decompositions in general, but I'm rather new with Christiano Fitzgerald (CF). So ...
2
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0answers
57 views

Addressing endogenity in price elasticity and the Promotion Optimization Problem

I have data on purchases gross prices discounts (like coupons) net prices (i.e. gross price - discounts) number of leads (potential customers at any given time) conversion rates (# purchases / # ...
2
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0answers
150 views

Fixed vs Random effects in panel data

I am an economist interested in looking at panel data on mothers, their husbands and their grandparents to determine the effect of the economic shock of the recession on their self-reported health ...
2
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0answers
224 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
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0answers
104 views

Accounting for Fixed Effects

I am an undergraduate student working on environmental economics research. The econometric specification I am using is the following: ln(Per.Capita.Dollars) = ln(Per.Capita.Dollars.lag) + Average....
2
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0answers
48 views

Econometrics-using log-log or continuously compounded annual rate of change

I am trying to run an econometric model, where I want to estimate the effect of credit growth on consumption growth, among other variables. Using data from Fred, I have the option of getting my ...
2
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0answers
59 views

Econometric model of government interest rates and abnormal returns

My question is one which model I should use to examine the relationship between interest rate movements of government bonds (DV), and an IV of abnormal returns I have generated following specific ...
2
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0answers
223 views

STATA: Estimation of Own-Price and Cross-Price Elasticities for Logit, Nested Logit, and BLP Models

I am working with some data on automobile sales and characteristics in a small country. It is an unbalanced panel dataset taken over 6 years and over 5 market segments. I am trying to construct some ...
2
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0answers
52 views

What are some impressive economics models with very high explained variance?

I'll start with some examples. State-level analysis of variation in infant mortality rate: A socio-ecological approach 73% of infant mortality explained in the US by just a few variables. ...