# 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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38 views

### Imputing # of unemployed from Labor Force Survey

I am working on state-level data, where one state has recently stopped publishing the absolute figures for the number of the unemployed. Instead, it currently only releases U and LFP rates. ...
13 views

### Is unobserved heterogenity in mixed logit models variable specific?

I have a mixed logit model with travel cost, travel time, and mode constants. If I only randomize travel cost and keep fixed coefficients for travel time and mode constants, will the model capture ...
16 views

### Measure of urban-ness or city density

I have a dependent variable I want to examine in relation to a measure of city density. This means city population as well as geographical spread. Ideally, it would also include a measure of ...
37 views

### How can I add a multidimensional panel to estimate TFP (year, id, region) in R?

I'm not sure about adding fixed effects for the variables year,id,region (using the estprod library) as in this paper using LP stimator. In the STATA forum ( #18 #...
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### Use MLE to calculate exponential distribution parameter

The question is from A Guide to Econometrics by Peter Kennedy (5th edition, page 504.) Suppose you have a random sample of workers, from several localities, who have recently suffered, or are ...
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### Multiple binary instruments

Suppose we use instrumental variables with a single binary instrument $Z$. Let $Y$ denote the (continuous) outcome and $X$ denote the single explanatory variable of interest. If I understand matters ...
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### IRFs for time-varying VAR models

I want to fit a time-varying VAR model to my data because of a structural break occurring midway in the sample. But I want to plot IRFs, not for the entire dataset, but for the pre-structural-break ...
21 views

### Is this weighted least squares or just weighting the dependent variable

I am a little confused as to what the following line means. Do the authors mean they run a weighted least squares using the sample size as weights, or just weight the dependent variable using the ...
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### Estimating $\tau$ (cognitive hierarchy)

I am a little confused about how the parameter $\tau$ is usually estimated in a cognitive hierarchy model (recall that $\tau$ is the mean number of 'thinking steps'). For example, suppose that ...
260 views

### Error in cbind(yX1[[i]], V1) : number of rows of matrices must match (see arg 2) in r

I estimated a gmm model using pgmm() of the plm package, but received the following error term: ...
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### Intuitive/Practical meaning of non-stationarity of GDP Data

As i just read in a time series book that a particular GDP data under consideration is non-stationary verified through various tests. From non-stationarity definition this means that the process has ...
17 views

### OLS vs WLS in misspecified model

I'm thinking whether there exists cases where OLS estimator is closer to the true coefficient than WLS estimator in probability limit in a misspecified model. Specifically, I'm working on a case where:...
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### What quasi-experimental/econometric technique can I use to measure the impact of a policy using longtitudinal tax data?

I have two cohorts of workers with very similar characteristics (e.g. same demographic profile, skill level, industry) that were laid off at different points in time. Say one group was laid off ...
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### Correcting high AR(1) coefficients in dynamic Gordon model

I have just finished my thesis on a heterogeneous dividend expectations model applied to the COVID-19 crisis. However after receiving some feedback there is one last issue I want to resolve. I'm using ...
20 views

### Missing trade and FDI data in Time Series

I want to run a panel VARX and some of my variables are bilateral trade and between countries in sub-Saharan Africa and China as well as FDI. Unfortunately the data I could find from official Chinese ...
212 views

### Somers’D and Gini coefficient: differences

I would like to know what are the differences between somers’d value and the Gini coefficient. I have the following values for factors: ...
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### Walk through for calculating impulse response function, given VAR equation & coefficients

Can someone walk me through how to manually calculate the IRF values that Eviews outputs for the effect of a nonfactorized one unit innovation. I have my VAR equation and coefficients: ...
61 views

### Why must the lag length of the autoregressive term in an ARDL model be determined separately?

I am estimating an autoregressive distributed lag model, and I've read that I must determine the lag length of my autoregressive term separately from the lag length of the other regressors in the ...
14 views

### Cagan Model of Hyper Inflation: Zimbabwe Data Request

Cagan Model of Hyperinflation Could anyone guide me where I could find the data for Zimbabwe that would allow me to estimate the Beta parameters. Also, what regression method would be most suitable (...
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### The rationale for using a lagged variable to address endogeneity arising from simultaneous causation?

when there is simultaneous causation between dependent and independent variables often in papers we see a lagged variable being used in place of contemporaneous variable. For example, Clemens, ...
30 views

### Assessing the ability of dividend yields to predict stock returns using out-of-sample forecast errors

In Introduction to Econometrics, 3rd Edition, by Stock and Watson, there is a short example about evaluating the ability of using dividend yields (current dividends over price) to predict future stock ...
80 views

### Dynamic model and serial correlation

I'm interested in estimating the effect of the $event_t$ variable in the price volatility of a financial instrument with the following model V_t = \beta_0 + \beta_1 \ |\Delta p_t| + \beta_2 \ ...
363 views

### How do we calculate Beta in a OLS regression of the mean of y on the mean of lag of y?

In a simple OLS regression we calculate the estimator Beta by dividing the covariance of x and y by the variance of x. How do we calculate the estimator Beta if we regress the mean of a variable (at ...
31 views

### Decomposition of interest rate risk

Hi I needed some clarification on something. I have three variables: $V_1$ which is an indicator of an interest rate risk premia $V_2$ which is an indicator of a credit risk premia $V_3$ which is ...
27 views

### Does the European Central Bank still conduct monetary policy under the assumption of NAIRU?

My question is about NAIRU (Non-Accelerating Inflation Rate of Unemployment) and its relevance with respect to the European Central Bank's monetary policy. I have read somewhere that Philips Curve ...
24 views

### Calculating volatility forecast errors - how to obtain "actual volatility" for comparison?

I have to replicate Liu & Morley (2009) on Polish data. They compare different methods of forecasting volatility in terms of Mean Absolute Error and other metrics. They use Hang Seng Index. What ...
19 views

### matching methods from multiple entities

Say I would like to investigate whether a particular product feature affects its sales. We would like to match products based on feature vs non-feature. But the sales also depends on the retailers who ...