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.

282 questions with no upvoted or accepted answers
Filter by
Sorted by
Tagged with
1
vote
0answers
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. ...
1
vote
0answers
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 ...
1
vote
0answers
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 ...
1
vote
0answers
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 #...
1
vote
0answers
25 views

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 ...
1
vote
0answers
29 views

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 ...
1
vote
0answers
20 views

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 ...
1
vote
0answers
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 ...
1
vote
0answers
43 views

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 ...
1
vote
0answers
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: ...
1
vote
0answers
24 views

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 ...
1
vote
0answers
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:...
1
vote
0answers
15 views

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 ...
1
vote
0answers
10 views

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 ...
1
vote
0answers
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 ...
1
vote
0answers
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: ...
1
vote
1answer
46 views

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: ...
1
vote
2answers
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 ...
1
vote
0answers
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 (...
1
vote
0answers
51 views

How can I prove that the following estimator is biased?

I'm trying to prove that $e^{x\hat{\beta}}-1$ is a biased estimator for $e^{x \beta}-1$. I know that this involves taking the expected value of the estimator and showing that it is not equal to $e^{x ...
1
vote
0answers
51 views

Minimizing the error: Transforming dependent variable

As given in the picture, question ask us to transform dependent variable, by premultiplying with a weighting matrix W, (which will change the regression coefficient into C'β) such that the expression (...
1
vote
0answers
17 views

GARCH data modeling

I am analyzing three time series returns for stocks, bonds and real estate, and have done prelimanary tests including Engle's ARCH test which came back as not rejecting the null hypothesis. IF there ...
1
vote
0answers
16 views

One Treated Unit That Becomes Untreated

Suppose I have a set of units $n_i, i = 1,...,N$. One unit was receiving a treatment $n_j = 1$ at times $t=1$ to $t=\tau$. All other units never received the treatment so $\forall t, n_i=0,i\neq j$. ...
1
vote
0answers
58 views

Any function of jointly iid pair is iid (WLLN)?

In Hansen (2019) p.221, I don't understand "Specifically, the fact that $(y_i, x_i)$ are mutually independent and identically distributed implies that any function of $(y_i, x_i)$ is iid, including $...
1
vote
0answers
58 views

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, ...
1
vote
0answers
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 ...
1
vote
0answers
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 \ ...
1
vote
0answers
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 ...
1
vote
0answers
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 ...
1
vote
0answers
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 ...
1
vote
0answers
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 ...
1
vote
0answers
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 ...
1
vote
0answers
208 views

Profit maximization problem using linear regression (pooled OLS)

I'm currently on a university assignment where I'm stuck more or less in the middle. I have to answer the following problem: Suppose you are interested in estimating the production function for ...
1
vote
0answers
16 views

Expectation conditional on a sum of random variables

The setting is a simple OLS regression where the true model has regressor $x$ and error term $u$, but we can only measure $\bar{x}=x+v$ where $v$ is iid with mean 0. According to the textbook: $\...
1
vote
0answers
18 views

How do I measure effects over years in panel data with individuals?

I'm working with a longitudinal panel dataset that surveys the same few thousand individuals biennially and I have six years of this data. My dependent variable would be how much individuals spend on ...
1
vote
0answers
54 views

study methods for first year phd courses in econ

I'd really like some tips on how to master the material for first year phd econometrics (texts: hayashi chap 1 -3, - econometrics, casella and berger 5 - 8th chapter - statistical inference) apart ...
1
vote
0answers
537 views

Turning points in a regression STATA

What is the Stata command for calculating a turning point in a regression and analyzing how the data is distributed on each side of the turning point?
1
vote
0answers
11 views

Can A/B be a better variable than separate A, B in linear regression?

While learning Econometrics, I got curious to know whether A/B can make a better variable than separate A and ...
1
vote
0answers
532 views

How to interpret Mincer equation coefficients

Consider the Mincer model: $\log(y)=b_0 + b_1S + b_2E + b_3E^2+u$ where S is schooling, Y is salary (monthly) and E is experience. I want to verify the following statements: The return for 1 extra ...
1
vote
0answers
41 views

Any examples of non-parallelism making Diff-in-Diff estimation biased?

The key assumption in a Differences in Differences design is that both the control and the treatment group have parallel tendencies, that is, they'd follow similar paths over time if there was no ...
1
vote
0answers
22 views

Using capacity share instead of quantity market share in demand estimation (BLP)

If I were to use capacity share (as a proxy of quantity market share) in a demand estimation setup (such as BLP), are there ways to deal or interpret the measurement error? I would consider this ...
1
vote
0answers
70 views

How are rotation matrices used in structural VAR identification through sign restrictions?

I saw this identification method is used in several working papers but to me it is impossible to understand how it works by simply reading them. I have searched many books and lecture notes in order ...
1
vote
0answers
25 views

Group-level random effect correlated with within-group independent variable

Dear StackExchange community, Question: According to, e.g., Wikipedia, random effects models assume "that the individual specific effects are uncorrelated with the independent variables." I ...
1
vote
0answers
44 views

Would it be appropriate to include state level variable with MSA model?

Greetings I am running a time series which will use vector error correction model. My dependent variable is economic base which is comprised of manufacturing, mining and construction sectors. I have a ...
1
vote
0answers
244 views

How can I determine if a token economic is viable?

Given a system where you incentivize people to do actions in a system, we might have good and bad actors. I would like to know if there is a software or framework where I could put the different <...
1
vote
0answers
60 views

Is there an easy way to create academic looking tables in LaTeX from R econometric tests and models

I have tried using the obvious choice - the Stargazer package in R. But, as far as I know, Stargazer does not support packages like 'vars' (for VAR and VECM models, the Johansen procedure, etc...) and ...
1
vote
0answers
62 views

Interpretation of R result, the mlogit

The following is my R code. I do not understand why for the same variable I have two estimated coefficient. How do I interpret Wife_age variable especially after exponentiate them? I believe it ...
1
vote
0answers
25 views

Markov switching

I want to build some kind of two-stage Markov switching model but with two time-series. My general idea was to calculate some kind of dependence between two time-series in two different periods of ...
1
vote
0answers
74 views

To obtain the distribution/variance of two random coefficients

I want to estimate the distribution/variance of the ratio $WTP=\frac{\gamma}{\alpha}$. The problem is, both $\gamma$ and $\alpha$ are random coefficients. In other words, both are random to begin ...
1
vote
0answers
368 views

Why use geometric mean for GDP when calculating the credit-to-gdp ratio?

I have a question regarding the difference between stock and flow variables. I know that a stock variable is measured at a specific point in time $t$ and the flow of this variable is measured over ...