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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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39 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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81 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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137 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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85 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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316 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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25 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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127 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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75 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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17 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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332 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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307 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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72 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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70 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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39 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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113 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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73 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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319 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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63 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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94 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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175 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
115 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
449 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

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 ...
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5 views

What is the savings rate formula in a generic OLG economy with a Pay As You Go pension system?

What is the savings rate formula in a generic OLG economy with a Pay As You Go pension system?
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7 views

Overlapping Generations Model Pension System Question

Part 1 Pension System OLG Model with pension system: Each individual lives up to two periods. The surviving probability at period 2 is p. At period 1, the young household consumes c1, saves s1, and ...
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14 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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1answer
26 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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14 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 affects its partners, for instance France, Spain and Italy. More specifically, if it goes mainly through Germany's ...
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1answer
25 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
24 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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22 views

Where can I find an endogeneity proof for bias by LLN?

It is intuitive that E[xe] is non-zero but the result E[xe]=sigma(x)*sigma(e)*corr(xe) seems odd. Please help point me in the right direction.
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10 views

Volatility measure in Diebold-Yilmaz connectedness approach

I am trying to create Diebold-Yilmaz connectedness table for returns and volatilities. When I do it for returns everything works properly (I can reproduce their work actually) but for volatilities I ...
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15 views

How to I find some of the most basic US State-level economics (survey) data for each year?

Some of the variables that I am interested are the state-level GDP, population, income, saving, consumer spending, employment, investment, industry share, RD investment, etc. I've tried the US census ...
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44 views

Covariance between regression coefficient and residual

Given regression equation Y=Xβ + ε which satisfies all classical assumptions including those of homoscadasticity Estimated regression equation using OLS is the following - Y=Xb + e Where, b is ...
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20 views

How to run Panel data analysis when data on the dependent variable is on a 5 year interval basis and that on independent variable is on yearly basis?

I am reading a paper which empirically tests if primary exports affect education attainment in LAC countries over the period 1965 to 2010. It uses percentage of secondary school enrollment as ...
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17 views

What are the statistical tests I need to perform before I regress GDP on multiple variables?

I'm using data over 10 countries for the period 1975 to 2010. My objective is to check if the chosen regressors have significant effect on GDP. I have very basic knowledge of econometrics which I ...
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10 views

what is the methods to check the impact of regulation on gender pay gap

i have a data for for the top 5 manager of 100 companies from 2010-2018 and i want to check the impact of a regulation that limits the max salary of managers in the financial sector on the gender pay ...