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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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? ...
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0answers
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What we should do when the result is only significant to one country but the whole sample?

In a staggered Difference-in-Differences setting, Dasgupta, 2019 has a formula for such a static setting is $Y_{it}$ = $\alpha$ + $\beta$ $pt_{kt}$ + $\delta$$X_{ikt}$ + $\theta$$_t$ + $\gamma$$_i$ +$\...
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835 views

Question on Fama-French Three Factor model

I am currently taking an econometrics course, and the final assignment in that course is to write a research paper using econometric ideas. I have read Fama and French paper on the three-factor model ...
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PMI - Purhasing Managers Index

I need the PMI time series for an econometic project but it seems I can't get it for free on the internet. Does anyone know where can I download it for free? Also a proxy for this series would be ...
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5answers
137 views

Which measure to check in analysis (p-values or $R^2$)?

In an analysis e.g. OLS regression which measure would you look at? $R^2$, $adjusted-R^2$ or $p-value$? How would you consider a regression with p-values >0.15 but with an $R^2$ of 40%? In general ...
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Short textbook of econometrics?

I'm looking for a textbook about econometrics, but I'd like to find one with the following features : Short (350 pag. max) Introductory Clear on the math and stats used With exercises Do you know a ...
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1answer
36 views

Limit of random walk auto correlation function

Given the random walk process $y_{t}=y_{t-1}+e_{t}$, the auto correlation function is given by $corr(y_{t}, y_{t-h})=(\frac{t-h}{t})^{1/2}=(1-\frac{h}{t})^{1/2}$, which tends to 0 as t tends to ...

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