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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1answer
17 views

Interpretation of dummy variable : Random Effects Model

I am running a RE regression and I have export similarity index between two countries as the dependent variable and have a dummy variable such as share a border(=1 if countries share border, 0 ...
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3answers
134 views

Which think-tanks on economics do you use to keep up with the news?

Whenever I have spare time, I like to go to Bruegel site and check their section on publications in macroeconomics. Here I usually find small publications of 20 something pages. The size is just about ...
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1answer
39 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 ...
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1answer
2k views

Quarterly GDP growth: YoY vs QoQ / terminology

Quarterly GDP growth can be calculated either in terms of YoY change or - in the case of seasonally adjusted data - in terms of QoQ change. (A third option would be to annualize the QoQ rate.) To ...
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1answer
22 views

Detecting Multicolinearity

Are high R square and low t-stats a signal for multicollinearity? What is the nature of this problem and correction? Also, how do you generally decide if the problem is high enough to be corrected?
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3answers
139 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 ...
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0answers
10 views

Diff in diff on model generated data

I have a structural model calibrated to N different locations and am running a series of counterfactual experiments. When I present the results for each experiment for each of N locations in tables, ...
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1answer
284 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 ...
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1answer
25 views

Are CPI stats weighed based on population size

Generally inflation and CPI are reported on a national level. If a country for example has 10 cities, after surveying prices in each individual city, how is the total CPI number determined for the ...
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2answers
169 views

Re-evaluation of Consumer Price Index (C.P.I.) weights

How are the weights of the various household items in the Consumer Price Index (C.P.I.) basket decided, i.e., how are they re-evaluated every year? Is it done manually or automatically? If its done ...
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0answers
23 views

Correlation between perfect strategy and market

What is the correlation between a perfect market-timing strategy (it always goes short/long one unit the day before the market goes down/up) and the market itself, assuming the market has a symmetric ...
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9 views

Data Set Request Wage and Factors Effecting Wage ( Education, Disability e.tc.)

I am looking to an Econometrics study. Where can I get wage data and factors affecting wage for the United States state by state?
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1answer
18 views

How do I run a regression with the restriction that one set of parameters are proportional to another?

I'm running a regression with a set of 3 dummy variables (for four categories of a variable) and these 3 dummies interacted with a continuous variable. I want to impose the restriction that the vector ...
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1answer
29 views

Dimensional analysis of GDP

The GDP is sometimes given by $$ GDP=P\cdot h\cdot e \cdot F $$ Where $P$ is the Productivity, $h$ is the number of hours worked, $e$ is the employment rate and $F$ is the size of the labor force. ...
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2answers
36 views

How to use an instrumental variable to estimate the parameter?

I have the following linear model of log wages (w) explained using years of schooling (S), years of experience and its square $(E,E^2)$ and 3 dummy variables indicating whether the individual was ...
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1answer
17 views

ragged edge concept

I'm confused by the concept of the ragged edge in real-time data analyses. I understand that data for $x_t$ comes in various forms: a first estimate, a series of additional estimates and, after some ...
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1answer
34 views

Linear Probability Model Instead of Logit in Fixed Effects Regression

In our panel data analysis we estimated a fixed effects linear probability model (LPM) instead of a fixed effects logit regression because our sample size was quite small (600 individuals) and the ...
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1answer
54 views

Derive the asymptotic distribution

Let $x_1, ..., x_n$ and $y_1, ..., y_n$ be two independent random samples from $X$ and $Y$. We have $µ_X = E (X ) > 0, µ_Y = E (Y ) > 0$ and $σ^2_X = Var (X )$ and $σ^2_Y = Var (Y )$. Derive ...
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1answer
41 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 ...
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2answers
4k views

Difference-in-differences in 2SLS regression

Usually when we do a difference-in-differences estimation, we do it in a OLS reduced form as follows: $$ Y_{it}=\alpha After_t+\gamma Treatment_i+\delta After*Treatment_{i,t}+X_{it}\beta+\epsilon_{i,...
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14 views

Does income equality correlate with less fraud?

If a population of people have less disparate income levels among themselves, are we able to predict anything about the level of phone scams, phishing emails, etc. perpetrated by members of that ...
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1answer
33 views

How to show that the estimator is consistent?

$Y_i=\beta_0+\beta_1X_i+U_i$ is my regression model for an I.I.D. sample with N=1000 observations. Suppose $U_i\sim I.I.D.(0,\sigma^2)$ and Xi are also I.I.D for i=1,2,3......1000. Xi is independent ...
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2answers
43 views

Perfect multicollinearity when estimating a gravity model

everyone! I am estimating a gravity model in order to analyze the impacts of tighter environmental regulations on international trade. More specifically, I am analyzing Brazil's trade flow. My (...
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2answers
20 views

Difference between no perfect multicollinearity and no multicollinearity

Some textbooks (for example, Introductory Econometrics: A Modern Approach by Jeffrey Wooldridge) assume that no perfect multicollinearity for the OLS regression, while others (for example, ...
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2answers
30 views

Uniqueness of OLS estimates

Wooldrige says that ‘intuitively, to estimate k+1 parameters, we need at least k+1 observations’. Why is this the case?
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1answer
36 views

Does it matter which is the dependent variable in regression of time series data?

I am testing for cointegration between the Real GDP per capita of England and France. I use a Dickey-Fuller test to test for stationarity and concluded that both of my series are non-stationary. So I ...
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0answers
14 views

Regression design, difference in differences

I plan to look at the regional differences of a policy effect. I would like to use the difference in differences approach however I am not sure how to assign a control group. I have data for time ...
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0answers
38 views

How can I prove that the following estimator is biased?

I'm trying to prove that $e^{x\hat{\beta}}-1$ is a biased estimator for $e^{x \beta}-1$. I know that this involves taking the expected value of the estimator and showing that it is not equal to $e^{x ...
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1answer
35 views

Running a regression to avoid multicollinearity

I have the following regression (pooled OLS; panel data): Y Treated Shock Shock*Treated {with industry and year fixed effects} Y is a continuous variable, “...
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1answer
349 views

Principal Components Analysis in Economic analysis

I have a data set of annual prices of various energy carriers over several decades. I want to estimate a model of output using these price series - I guess, I will do a co-integration analysis. There ...
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0answers
18 views

Order of Marginal Effects in Ordered Regression Model

I'm looking to validate my understanding of marginal effects on the probability of an ordered probit model. I don't understand how ME is calculated in respect to some alternatives. For example if I ...
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2answers
41 views

Nash Equilibrium and SPNE [closed]

Firms Alpha and Beta serve the same market. They have constant average costs of $2 per unit. The firms can choose either a high price ($10) or a low price (5) for their output. When both firms set a ...
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1answer
34 views

Why are the same set of controls used for both OLS and 2SLS?

I have been reading several papers that use 2SLS. These papers usually also show the OLS regression results. I noticed that when authors report results for 2SLS, they also include control variables ...
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0answers
11 views

Simple question on interpretation of elasticity

I am doing a multivariable calculus course and found elasticity interesting. The formula for percentage change with elasticity is $\LARGE\frac{\frac{\Delta y}{y}\large\cdot100}{\frac{\Delta x}{x}\...
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6answers
756 views

What are some further readings in Econometrics you recommend?

I've reached the end of my Econometrics courses for the undegraduate level at my university, but I would like to continue learning. I hope I could get some recommendations for further reading. I ...
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20 views

A question about independence of LATE framework (IV)

I came across the assumption of independence of the LATE in 2SLS: My first reaction is, why D1i and D0i are independent of the instrument Zi? Shouldn't the treatment and IV be correlated for the IV ...
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1answer
26 views

Negative correlation conditional variance and return

I've estimated a GARCH for S&P 500, Nikkei and DAX index. The model for the return of S&P 500, the results indicate the return of DAX has an negative effect on the S&P 500 conditional ...
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4answers
2k views

What are some good graduate-level econometrics books for someone with a strong mathematics background?

Related: Book recommendations on empirical methods in economic research and econometrics? I would like to focus mainly on graduate texts in Econometrics. From the question above, I gather that ...
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1answer
62 views

Can central bank interest rate hikes lead to a price gain in equities?

I ran an empirical analysis on recent interest rate changes of European central banks on Swiss equity prices and found statistically significant results. A 1 percentage point increase in interest ...
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1answer
36 views

How to predict income n years after graduation using income dataset with age, but not graduation year?

I'm trying to predict the income of graduates of certain Master's programs n years after graduation, using the American Community Survey individual level dataset to calibrate my equation. It gives me ...
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0answers
8 views

Is there a specific test for this procedure? (NKPC and coefficient stability)

I'm running a GMM regression in order to estimate a New Keynesian Phillips Curve, with forecasting purpose, and i want to know if there is a testing procedure for the following problem: (i) First i ...
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1answer
87 views

Regarding some econometric problems

How do I know the specification in (3.2) is a chi-square distribution with df k-1? and why is it the case that the asymptotic variance of $\hat{\beta}_{FD}- \hat{\beta}_{OLS}$ is simply the ...
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0answers
14 views

Handling large percentage of zero-valued observations in the dependent variable in a panel dataset

I am writing a paper using a panel dataset in which my depepent variable has an large percentage amount of zero values observations. Those zero values are real zeros, I mean they are not missing data ...
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2answers
34 views

Name of robustness check where you exclude individuals?

I have a panel dataset and to check the robustness of the results, I'm re-estimating the models with each panel unit excluded once. Does this robustness check habe a particular name?
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1answer
68 views

Econometrics: why the i.i.d assumption and weak exogeneity assumption imply strict exogeneity?

The proposition is from lecture notes of advanced econometrics of Yongmiao Hong: A1: $\{Y_t,X_t'\}_{t=1}^n$ is an i.i.d. random sample. A2: $E(\varepsilon_t|X_t)=0$ almost surely with $E(\...
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0answers
27 views

Analyse the influence of interior demand and trade on exports

I would like to have a primer on how the current slowdown of the German economy is affecting its partners, for instance France, Spain and Italy. More specifically, if it goes mainly through Germany's ...
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1answer
41 views

How to change the observation for the first lag in an AR(1) model?

I run a simple AR(1) model in my analysis using ols: ar.ols(df$y, order.max = 1)) However, I work with generations as my unit of analysis. Therefore, the first ...
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17 views

calculate magnitude of a recession

I'm doing an exercise from Blanchard Macroeconomics where I'm, apart from other things, asked to calculate the severity of recessions in the US since 1960. The data on the webpage that's referenced is ...
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36 views

Interpretation of coefficients in ECM for consumption

Say that we are regressing consumption $C_t$ on time $Y_t$. Furthermore, suppose that both series are $I(1)$ and are co-integrated. Given this, we set up the error correction model (ECM) as follows: $...
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0answers
18 views

Effect of Agricultural products on GDP/capita

What is the best way to regress this effect. I would like to show the effect of the production of different agricultural products (Rice, maize, wheat etc..) have on the gdp of a country (India in this ...