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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Econometrics - Simultaneous Equations and Perfect Inelasticity in the Context of Regression

Assume a certain market can be described by Demand Function: $$Q_{d, t} = \alpha_0 + \alpha_1 P_t + \mu_{1, t}$$ Supply Function: $$Q_{s, t} = \beta_0 P_t + \mu_{2, t}$$ The price in this market is ...
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1answer
99 views

DSGE Model Solutions as a Vector Time-Series process. Examples?

I'm trying to understand how the solutions of a DSGE model can be seen as VAR or VARMA. Can you give examples of DSGE model solutions which can be seen as such? Also, does this only happen when we ...
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16 views

*Within-country* Fertility vs. income

Any pointers to reviews or data-sets or meta-analyses looking at the relationship between household fertility rate and family income/wealth (possibly with other factors like education and geographical ...
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192 views

Dynamic factor model for inflation (UIG)

I'm trying to replicate some results of Fed Underlying Inflation Gauge (UIG) model, which is a dynamic factor model to capture inflation trend. https://www.newyorkfed.org/research/policy/underlying-...
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40 views

Data request: guidance to find football betting data

Can someone please guide me to find data which fulfills following requests: It should be from one of the major leagues: Premier League, Bundesliga, La liga or Serie A. From a given betting company, I ...
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23 views

Approximate factor model: Weakly correlated and eigenvalue

To my best knowledge, in Ross's APT, it is assumed that the pricing model is the exact factor model. Chamberlain (1983 ECTA) expanded it into the approximate factor model. In the exact factor ...
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388 views

What does Sims' critique of economics models actually say?

I've been searching for answer, but I can't find a clear cut one. From what I understand it says that, in the realistic model there are no exogenous variables? Or does it say that there can be no ...
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41 views

Econometric Filter Evaluation

My undergraduate Thesis includes mainly filtering process evaluation. Due to the word limit (low limit), I just realised I have to include more filters than Christiano Fitzgerald (CF) and wavelets. I ...
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93 views

VAR/VECM Fitted/Predicted values (BEER model)

I am running a BEER model (Behavioral Equilibrium Exchange Rate Model) and using VAR/VECM and Johansen method to estimate the equation. For context, I am looking at the XR of Czech crown and the euro. ...
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141 views

Difference in Regression Discontinuity Estimates

Suppose I run a regression discontinuity design (RDD) for two different samples - say, separately for regions A and B of the same country. I get RDD estimates that are statistically significant in ...
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86 views

Evaluating the return of a trading strategy on forex markets

Which measure should I use to evaluate the returns generated with a trading strategy based on announcements of macro-economic news on forex markets. I thought about the Sharpe-ratio, however I do not ...
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331 views

How to test if variables are jointly determined?

If I wanted to test, for example, if consumption growth and credit growth are jointly determined, and therefore justifying the use of instrumental variables, how would I go about this? Would running a ...
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64 views

Bootstrapping from CPS with weights

I'm using CPS monthly individual data which comes with wtfinl as a float weight. I'm computing some annual statistic for unemployed. I do that by Sum up ...
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26 views

How to compute standard errors for Blanchard-Quah-restricted SVAR?

People tell me that the way of bootstrapping standard errors in the original paper is incorrect, but then how should I do it? Is there a convention of how to compute standard errors for Blanchard-...
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131 views

Interpreting multiple interaction terms

I'm running the following regression on panel data: $ %Translator MathMagic Pro for InDesign Mac v9.14, LaTeX converter, 2016.9.11 22:27 \begin{array}{l} {{\mathrm{tscorek}}_{\mathrm{i}}\mathrm{{=}}{\...
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79 views

Motivation for use of GLS instead of System OLS

In Wooldridge's graduate book, 2nd edition, page 174, he states «The usual motivation for the GLS estimator is to transform a system of equations where the error has a nonscalar variance-covariance ...
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36 views

What are the currently accepted methods to estimate a firm's productivity?

While there are a lot of methods one can think of, like computing the ratio of profits to assets or profits to sales, apparently it is a difficult problem. It would be useful to know how effectively ...
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18 views

A game plan for Cross-Section modelling

Imagine we have already built our linear regression model, with a certain dataset. Which order of tests would you follow to be sure that whatever conclusions you may want to extract are correct. For ...
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20 views

How can i find the best GARCH (p,q) in this serie?

Of course the first step would be to make the first difference of the series, because there's obviusly a unit root. Can someone offer a solution to find the best Garch? I would be pleased to send the ...
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341 views

SVAR Historical decomposition

Does anyone know how to do VAR historical decomposition of a series in R?
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36 views

Recommendations for ways to address gaps in GDP data?

I am a biologist that is using GDP data as part of my next research project and I am finding large gaps in the data, both in terms of years and countries. I am wondering what the best practice is for ...
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309 views

Help with regressing GDP and independent variables

Background: I working on how GDP is affected by CPI, investment,consumption and commodity price. I am working with time-series Problem: I tried to regress based on log values of all but this resulted ...
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32 views

Interaction dummies estimates influence other estimates?

In page 311 of Gujarati Basic Econometrics, there's the following example for use of dummy variables, when we're interested in the interaction between two qualitative terms. Shouldn't we have ...
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21 views

equivalence in hypothesis testing

I have the following unrestricted model $y_i=\beta_1+\beta_2x_{2i}+\beta_3x_{3i}+u$ and the restriction $\beta_2+\beta_3=1$ I need to give an equivalent unrestricted model such that if one of its ...
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73 views

Abnormal Return - Event Study

I am looking to calculate and explain abnormal returns (AR) on dividend announcement events: Regression: R = a + B(MarktReturn) + e E(R) = a + BMktReturn Therefore AR = R-ER To explain the AR, I ...
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72 views

What's an end effect?

Maybe it's just my english... In reading some notes on the estimations of parameters for stationary models like AR, MA, and ARMA, the author states that when we apply OLS to a simple AR(1) $\{Y_t\}$ ...
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30 views

Attribution Modeling

My problem involves measuring the impact of four activities undertaken by a population of 1,000 individuals that is attempting to lose weight. The four activities are: (a) Eating healthy food; (b) ...
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34 views

Partial least square structural equation modeling

The Partial least square structural equation modeling (PLS-PM, PLS-SEM) method to structural equation modeling allows estimating complex cause-effect relationship models with latent variables. This ...
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122 views

Using an interaction term as the instrument (as in Barro QJE (2011))

I recently came across Barro and Redlick QJE (2011) paper, "Macroeconomic Effects from Government Purchases and Taxes", in which the authors instrument for defense spending with an interaction term ...
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40 views

Using variance-ratios as moment conditions in a GMM estimation

I have a few time-series, say ${X, Y, Z}$ at a given frequency, say, yearly. Now I compute the yearly growth rates (ie log-differences): $dx = log(X_{t}/X_{t-1}), dy = ..., dz = ...$ and I compute ...
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115 views

steady point for impulse response function

I read several papers talking about the so called dust settling period for a impulse response function (IRF) derived from VAR. e.g., Nijs, Vincent R., et al. "The category-demand effects of price ...
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39 views

How to know if I've done the necessary corrections to my data so that the regression is valid?

Obviously the data can't be changed to fit a regression, it should be (kind of) the other way around. But, sometimes the data has stuff going on that needs correction. For example, I got raw data ...
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74 views

A Specialized Guide for Deflating Variables: does it exist?

I have done this very frequently in this year, deflating variables, specially for the purpose of demand estimation. I also asked a relevant question on the subject previously (here: Heuristics with ...
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64 views

OLS estimator panel data

I need to show that the residuals from the regression of $x_{it} - \bar x_i $ on a constant and $\bar x_i $ is just $x_{it} - \bar x_i $ itself. By stnadard OLS regression results, in the simple ...
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97 views

Johansen cointegration analysis, cointegrating vectors and identification

I want to analyse the long run relation between, let's say 5 variables. Scenario 1. Below is the output from a Johansen test on the five variables: ...
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2k views

Variance of a dummy variable

I have always thought that variation in regressors are a good thing. In fact, one can show that the precision of the estimated coefficients is increasing in the variance of the regessors. I have also ...
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49 views

Macroeconometric models with wrong input but better fit/forecast

Could you give an example of the situation when if you input wrong (economic-wise, but not mathematically) parameters the model could fit/forecast better?
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177 views

Are there good step by step math intense books substitute for greene's and woolridge Econometric Analysis

Greene's book is a drudgery to read book since it is theoretically based however does not provide what a theoretical book should provide especially on poorly explained the statistics definition both ...
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61 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 ...
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1answer
122 views

Panel Data and Forecasting

I have balanced panel data for around 130 countries, over three years. I ran a fixed effects regression using 'country' as my panel variable, and adding dummies for 'year'. I want to forecast the ...
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1answer
464 views

Should I deflate a nominal variable when forecasting it?

Say I have a structural equation that is forecasting Y. Y is a nominal financial variable that grows with time due to inflation. I have an economic determinant that is a rate and therefore does not ...
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11 views

Where to find a list of U.S. policy changes for causal studies?

I'm currently trying to figure how the topic of my paper, which is supposed to be related to policy evaluation (causal inference). I thought it would be great if I could first obtain a list of recent ...
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32 views

Simultaneous Equations Models in R

I use the systemfit package to evaluate Simultaneous Equations Models (for example 2SLS). But I do not understand how to predict endogenous variables using the new ...
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12 views

What's the difference between true simultaneity and apparent simultaneity?

The definitions I find were: True simultaneity: Decisions can be made simultaneously by agents. Apparent simultaneity: Aggregation of causal relationship over agents over time. But I don't ...
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12 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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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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15 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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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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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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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 ...