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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Handling large percentage of zero-valued observations in the dependent variable in a panel dataset

I am writing a paper using a panel dataset in which my depepent variable has an large percentage amount of zero values observations. Those zero values are real zeros, I mean they are not missing data ...
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32 views

calculate magnitude of a recession

I'm doing an exercise from Blanchard Macroeconomics where I'm, apart from other things, asked to calculate the severity of recessions in the US since 1960. The data on the webpage that's referenced is ...
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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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10 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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38 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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28 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 is affecting its partners, for instance France, Spain and Italy. More specifically, if it goes mainly through Germany's ...
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1answer
35 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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25 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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12 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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49 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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21 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 ...
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2answers
42 views

regression method for data that contain a number of observation for several years

I have a data set about 125 companies. For each company I have the salary and some other variables about the top 5 managers in each company. One observation contains the top 5 managers in each one of ...
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1answer
63 views

Mathematical framework for modelling the relationship between price and sales of a product

In my job as a data scientist, I am required to model the relationship between the price of a product and the sales or number of unit sold. I am trying to build a simplistic model, the assumptions of ...
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16 views

The Econometrics of Pay-To-Play In Youth Sports

Question: Are there any econometric theories that are applicable in studying what is commonly referred to as Pay-To-Play, in the world of youth sports. I want to preface by stating that I am not an ...
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26 views

Should I care about stationarity when dealing with cyclical components?

I have downloaded time series data from the IMF-IFS website for 31 different countries. The time series are about GDP, constant prices, national currency (yearly); lending interest rate (monthly); ...
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39 views

Rate of convergence and asymptotic dominance in $\Vert x \Vert \gg \Vert(\hat\beta-\beta)\cdot u\Vert $

Let $\Vert A \Vert$ denote the spectral norm of a random matrix. Let $x$ and $u_k$ be N$\times$T matrices. Denote $\beta \cdot u = \sum_{k=1}^K\beta_ku_k $, where $\beta$ is a K-vector and $\beta_k$ a ...
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1answer
20 views

Is it reasonable, in panel data, to use past values of explanatory variables as instruments to deal with simultaneous causality?

I am trying to examine the determinants of economic growth, essentially regressing a number of variables upon economic growth. I face a problem that there is likely simultaneous causality between many ...
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7 views

Components of matching estimator for ATT

Blundell and Costa Dias (2000) (https://onlinelibrary.wiley.com/doi/pdf/10.1111/j.1475-5890.2000.tb00031.x) present in page 448 a generic matching estimator for the average treatment effect on the ...
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30 views

Should I include lags in an LLC unit root test?

I have panel data (N = 10, T = 20), which I intend to run a series of regressions on. I first want to see if my data are stationary in levels or in differences. To do this, I have been performing ...
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40 views

Minimum observations for an econometric SEM

Good day for all: I have an econometric SEM with three equations similar to: $$ A = \beta_0 + \beta_1 B + \beta_2 G + \beta_3 H + u_1 \\ B = \beta_4 + \beta_5 C_{-1} + \beta_6 D_{-1} + \beta_7 E_{-1}...
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9 views

Relation between variation of the drift and insurance fee?

what is the relation between insurance fee and the variation of the drift of the underlying asset? I've created a simulation code, and changing those two values does not change the result. As I assume ...
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1answer
87 views

Regarding some econometric problems

How do I know the specification in (3.2) is a chi-square distribution with df k-1? and why is it the case that the asymptotic variance of $\hat{\beta}_{FD}- \hat{\beta}_{OLS}$ is simply the ...
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47 views

Immigration supply shocks, fixed effects and model interpretation

I'm new to this and I've been racking my brains for a couple days trying to understand this model and how to run it in Stata. More than programming help, I think I just don't understand the model well ...
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23 views

Using Propensity Score Matching to evaluate non randomized and fully implemented village fund program

So i want to make a research about the impact of this program to community empowerment and infrastructure in villages. But the problem is the program itself (at the first year) implemented to almost ...
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24 views

Stationarity of log industrial index and log CPI

I'm looking to estimate a VAR, one of the variables in this VAR is the log of industrial production, and another is the log of the consumer price index. Will I need to difference these to get ...
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25 views

Econometrics: Is it feasible to use the “effect of the treatment” estimations from a diff-in-diff as dependent variable?

Basically I have many treated units and I would like to estimate (by applying the Diff-in-Diff methodology) the effect of the treatment. In my particular case it's very likely to observe certain ...
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30 views

Feature Scaling before applying Cubic Splines?

Should I standardize my features before applying Splines? More specifically, I am running the following code to transform my features: ...
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21 views

If all of LATE (Local Average Treatment Effect) assumptions is satisfied?

I would like to know intuitive and specific interpretation of LATE. If all the assumptions for LATE is satisfied, we can say that the Instrument Variable (IV) has an effect to estimate X on Y. Also, ...
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14 views

Using Gretl for ARCH model

How to forecast of volatility with use ARCH model in gretl? Because if I use function "gig" I get non positive coefficients for ARCH(2), ARCH(3),...
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1answer
42 views

Possible regression biases with GDP [x] vs Health expenditure [y] (both per capita)

I am regressing per capita health expenditure on per capita GDP. I have 3 data columns (health expenditure, gdp, population) So my regression function is healthexpenditure/population = b0 + b1.(gdp/...
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12 views

Generating Variable frequency

I three variables, zipcode, date (month_year) and name of an installer. I need to generate: 1- a new var that is equal to the number of repetitions the installer name is repeated in month_year and in ...
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21 views

Mankiw, Romer & Weil: Estimating Implied Alpha & Beta

I am replicating Mankiw, Romer & Weil (1992) with data from 1995 through 2015, and I wondering how they estimated the implied alpha and beta. Thank you, For those curious, the paper can be found....
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15 views

GARCH(10,10) model

I try to find an easy and understandable description of How to calculate a short-term variance in garch model, when p and q are not equal 1. Let's have a look at this video: https://www.youtube.com/...
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15 views

Do all parameters have to have the same nature in a structural change test?

Lets say I am building a market model to estimate the beta of a stock with respect to a index of stocks. The beta maybe Constant / Autoregressive of order 1 / doing a random walk. I realize there are ...
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24 views

VAR model OLS line by line

I am estimating a VAR model line by line. Lets say the conditional variances are correlated. We would expect size distortion. So we would use another method, perhaps a HAC standard error to account ...
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29 views

instrumental variables

I have a question related to IV methods. Suppose I have a regression $Y = a + b_1 X_1 + b_2 X_2 + \epsilon$, where $Y$ is a dependent variable and $X_1$ is an endogenous independent variable and $...
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11 views

Transformation of cutpoints in Ordinal Probit/Logit regression

The likelihood for an ordinal probit/logit regression model is given as - $f(y|\beta ,\gamma ,z ) = \prod_{1}^{n} \left [ \Phi (\gamma _{j} - x_{i}'\beta ) - \Phi (\gamma _{j-1} - x_{i}'\beta ) \...
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20 views

Can I draw a smaller sample from one treatment group?

in an RCT, I have 3 different treatment groups and one control group. The size of the control group is around 1000 while the size of other groups are just above 300. To test balance I used ANOVA and ...
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13 views

covariance of autocorrelated time series

When we calculate the variance of a time series with autocorrelation, we need to do some shrinkage to get the correct value. What about say we have two time series, X, Y. both have autocorrelations. ...
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20 views

Disaggregated price index

im trying to make my own consumer price index using the laspeyres index methology. However im having problems finding the individual prices. However i have the disaggregated cpi components. For ...
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10 views

Multiple regulatory changes at the cutoff

Consider a running variable $a$, and a cutoff $a_0$. There are two regulatory variables, $x$ and $z$. Both variables jump around $a_0$, in the sense of fuzzy regression discontinuity design (RDD) ...
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42 views

How to do test statistic on difference in two independent variables?

If i have time series regression $R_{i,t} = \alpha + \beta x_1 + \gamma x_2 + \delta x_3 + \varepsilon_i$ In this case, how can I conduct test statistic of $\beta - \gamma$? Is it to use unpaired two ...
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17 views

Are there phi2 phi3 statistics for the DF-GLS unit root test?

It's known that there are phi 2 and phi 3 statistics when performing ADF unit root tests. These statistics tell us the correct specification of the model (Trend, constant, or none). When running ADF ...
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44 views

Estimation of a Non-linear production function with Non-linear least squares

Suppose that you have to estimate a Non-linear production function (for instance a Cobb-Douglas or a CES) by using Non-linear LS (and hence without log-linearization). You have just aggregate time ...
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35 views

Error Correction Model with more than one independent variables

I was wondering if it is possible to set up an Error Correction Model with two independent variables (one dep var, and two indep vars)? If yes, what are assumptions/conditions to be met? In the ...
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1answer
63 views

Can central bank interest rate hikes lead to a price gain in equities?

I ran an empirical analysis on recent interest rate changes of European central banks on Swiss equity prices and found statistically significant results. A 1 percentage point increase in interest ...
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1answer
72 views

Fixed Effects Estimation and Inconsistency

Consider estimation of the following population regression function: $G{Y_{it}} = {\beta _0} + {\beta _1}IN{F_{it}} + {\beta _2}DE{M_i} + {\beta _3}POI{L_t} + {\varepsilon _{it}}$ Where: $GY_{it}$ = ...