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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4
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1answer
111 views

VAR inversion - looking for a good resource

I am having trouble with something that should be pretty basic. I need to invert a VAR (vector autoregression). Everything I have read just brushes past the actual inversion process, taking for ...
5
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1answer
341 views

Housing Supply Elasticity: Proxy for Exogenous House Price Movements

Mian and Sufi (2014) say We use individual and zip code level data, and exploit cross-sectional variation in house price growth to estimate the impact of rising home values on borrowing and ...
5
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1answer
466 views

Missing values in economic time series

I am trying to run a time series analysis on some variables - GDP being my dependent variable, and my independent variables are oil revenues, government expenditure, exports and FDI inflows. My data ...
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3answers
31k views

Prove the sample variance is an unbiased estimator

I have to prove that the sample variance is an unbiased estimator. What is is asked exactly is to show that following estimator of the sample variance is unbiased: $s^2=\frac{1}{n-1}\sum\limits_{i=1}^...
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2answers
1k views

Does concavity of the utility function has any bite?

A utility function in general has only ordinal meaning, any monotone transformation preserves the order isomorphism of the underlying preference ordering. However, there are several econometrics ...
2
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1answer
4k views

Negative Gini Coefficiente?

Is it possible to have a negative gini coefficient? In which situations is it possible? Any help would be appreciated.
2
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1answer
76 views

Fixed effects in treatment model

Hello in a simple treatment model $$y=\beta_0+\beta_1w+e$$ where $w$ is unity for treatment by group. Should you add dummies for the groups to control for differences. I read somewhere that you ...
3
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0answers
124 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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1answer
512 views

Wage regressions: Nominal versus real wage

I'm wondering do I need to convert nominal wages to real wages when running wage equations using panel data sets? My dependent variable is log of wage and I'm looking at returns to education across ...
2
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1answer
80 views

A doubt on FIML assumptions

In Hayashi's Econometrics, page 529, he states one of the assumptions we need for the FIML estimator. My doubt is in the third line of point 1). He says that the vector $(y_{t1},...,y_{tM},\mathbf{z}...
0
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1answer
62 views

Isolating single campaign effects over a sales series

I'm trying to wrap my head around the concept of advertising effectiveness and hit a wall when I tried to measure the quantitative effect of an advertising campaign on the sales tendency of a business....
2
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1answer
67 views

Standard Deviations and Elasticities

I am interested in two variables $x, y$. Their (observed empirical) standard deviations are $\sigma_x$, $\sigma_y$. I know the elasticity of $x$ w.r.t. $y$ is $\eta_{x,y}$. Let $x$ be fully ...
1
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1answer
33 views

US Bequest Taxation

Is there some summary article on using variation in US bequest taxation as natural experiments? Has there been variation over time or over different states? Is there perhaps a paper that already has ...
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2answers
1k views

Reduced Form of an econometric model, identification problem and test

Looking for some help to understand the following problem and how to use the reduced form in econometrics Consider a model for the health of an individual: $$health = b_0 + (b_1)age + (b_2)weight + (...
2
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0answers
40 views

Latent Variable Models such as Harrison and Rutstrom (2008)

I'm working with some experimental data on choice under uncertainty and trying to use a method similar to RISK AVERSION IN THE LABORATORY (Harrison and Rutstrom, 2008). I am pretty sure that one of ...
7
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1answer
245 views

Regression discontinuity questions

I am considering a regression discontinuity design (RD) where the "treatment" has a definite sorting rule (below the threshold, you are not fined - above the threshold, you are fined). The outcome I ...
2
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1answer
2k views

Is there any standard measure of economic significance?

One measure is to look at standard deviations. If a one standard deviation increase in X leads to a more than a 0.5 (or 1, or ⅓, or whatever) standard deviation increase in Y, then we say that X has a ...
0
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0answers
179 views

Data Reduction using Principal Component Analysis

I have performed PCA over a data set containing 25 items (variables). PCA was performed in a view to reduce the number of items (variables) from the data set, so as to move forward with analysis. ...
3
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2answers
116 views

Are Parameter Estimates Unbiased If the Dependent Variable is a Per Capita Rate Based on Approximate Population Data?

Suppose we want to estimate a model: $Y_i = \beta_0 + \beta_1X_i + \epsilon_i\tag{1}$ where the $Y_i$ are averages or rates per capita for geographical regions or zones, so that if $Z_i$ is the ...
3
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1answer
95 views

Consequences of a particular loss function

So I was reading about the consequences of various loss functions on what regressions result in, i.e. the L1 norm giving conditional median estimation and L2 giving conditional mean, etc. What ...
1
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1answer
93 views

Why is the martingale factor a martingale in Hansen's 2012 Dynamic Valuation Decomposition?

In this question, I'm continuing to explore the tools used/presented in Lars Hansen's Econometrica paper "Dynamic Valuation Decomposition within Stochastic Economies" (2012). This might be an easy ...
4
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1answer
294 views

How to approximate stochastic volatility model with finite-state Markov chain?

A common practice when computing solutions to stochastic dynamic optimization problems is to approximate an exogenous forcing process $z_{t+1} = \rho z_t + \sigma \epsilon_{t+1}$ with a finite-state ...
4
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1answer
92 views

Multiplicative factorization of stochastic growth time series--solving for an eigenfunction/eigenvector

I'm trying to understand the tools used/presented in Lars Hansen's Econometrica paper "Dynamic Valuation Decomposition within Stochastic Economies." In a part in the paper, Hansen introduces a long-...
3
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1answer
59 views

How can I write a conditional expectation of finite state markov process in matrix notation

NOTE: This question is related to the econometric method explored in the following two questions: Multiplicative factorization of stochastic growth time series--solving for an eigenfunction/...
2
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2answers
231 views

What is the relation beween Granger causality and Rubin's causality?

Granger proposed a test for causality based on time series, is there any relation with the notion of causality by Rubin that seems prevalent on applied micro work. The latter deals with the notion of ...
2
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0answers
55 views

Test Series for Stationary Process

I want to apply grangers' Test between GSDP and Electricity production in the state. The state is a newly formed in the year 2000 and hence I have only 13 data points, as mentioned below Year | ...
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0answers
64 views

Example of the change of measure proposed in Hansen (2012)

In this question, I'm continuing to explore the tools used/presented in Lars Hansen's Econometrica paper "Dynamic Valuation Decomposition within Stochastic Economies" (2012). I'm trying to compute an ...
1
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2answers
1k views

Formula for the unconditional variance of the sum of observations from an autoregressive time series

I have notes that say that we can make the following calculations. I'm a little confused about some of the calculations that are being made. What assumptions would I need to get the following results? ...
2
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1answer
200 views

What is "Observed realized measure"?

I am working with a Realized GARCH model. I have am having some trouble understanding a concept: Paper: Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility, Hansen & ...
5
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1answer
118 views

The $\sqrt{N}$ convergence of semiparametric estimators of Newey 94, why does it converges to a normal distribution?

The famous Newey 94 paper on the asymptotic convergence of semiparametric estimators with a first non parametric step and a second parametric one, http://www.jstor.org/stable/2951752, establishes that ...
11
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3answers
396 views

Can econometrics test for correlation or causality between prices and corruption?

This week there was news that some prices are rising. I heard that in some countries where corruption is high the prices are also higher. I wonder if there is causaility or just both at same. It would ...
6
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1answer
106 views

Showing that a transformation is measure preserving

Note: This question is related to this question about the construction of stochastic processes. Specifically, it relates to the transformation $\mathbb S: \Omega \rightarrow \Omega$ that is mentioned. ...
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: ...
5
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1answer
1k views

What is the significance of the Hansen-Jagannathan bound?

The Wikipedia article on the Hansen-Jagannathan bound is short, giving only the following: Hansen–Jagannathan bound is a theorem in financial economics that says that the ratio of the standard ...
2
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1answer
52 views

Would it be correct to use exchange rates of the biggest trading partners to the dollar as an explanatory variable?

I'm trying to study the relationship of general macro factors and their effect on credit in the private sector. The country in question has a fixed exchange regime with the dollar, would it be ...
4
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2answers
349 views

Black-Litterman---in what way are expected returns hard to estimate?

In the Wikipedia article about the Black-Litterman model, it states that the motivation behind model is that "it is difficult to come up with reasonable estimates of expected returns." Why is it that ...
4
votes
1answer
219 views

What does one-sided polynomial on lag operator $L$ mean?

In some time series texts, there are some talks about one-sided polynomial on lag operator $L$. I tried looking up what this means, but I cannot find one. So what does one-sided polynomial on lag ...
6
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1answer
1k views

What statistics and linear algebra book do i need before reading Hayashi's econometrics

What statistics and linear algebra book do I need before reading Hayashi's Econometrics? Basics linear algebra book seems too simple for the linear algebra part, and Casealla's statistical inference ...
5
votes
2answers
907 views

Dealing with Missing Data when Testing the CAPM

Question How should I deal with missing data when trying to test the CAPM? Specifically, there are some stocks that are newly listed and/or delisted at any time. I don't want to exclude assets for ...
9
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5answers
867 views

What is the evidence that econometrics has empirical value?

Economies are extremely complex systems with many variables, not to mention the fact that they emerge from the interactions of complex beings. I agree that economies have certain underlying principles,...
6
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2answers
164 views

How Do Economists Quantify Contagion?

In the context of international financial crises, what mathematical methods have Economists employed in order to quantify financial contagion? Note: For a working definition of contagion I'll use the ...
7
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2answers
232 views

Independence of latent price and market microstructure noise

When examining how Market Microstructure works and affects price formation, there is talked about the: "Assumed independence of of latent price and microstructure noise" From "On the Correlation ...
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 ...
6
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1answer
148 views

Comparative Methods of Econometric Analysis

While RIMS II, IMPLAN, and other methods regularly deviate substantially from each other in the answers they yield to analytical questions, is there a "band" within results should be considered "more ...
4
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1answer
108 views

In econometrics what are induced jobs?

Specifically, in the RIMS II model espoused by the BEA, capital spending in a region induces job creation therin, based off of specific multipliers. Where do these multipliers come from, and what do ...

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