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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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Multi-way clustering

I want to understand when and why multi-way clustering is necessary. Could anyone give a good example that provides intuition of when and why to use multi-way clustering that also illustrates why ...
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97 views

Interpretation of Incidence Rate Ratio for a Poisson Regression With a Non-Binomial Dependent Variable

Well, the name pretty much says it all. I have searched high and low, but I cannot find a concrete answer to the following question(s): How would one interpret the incidence rate ratio for a poisson ...
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248 views

Advice on upper and lower hemicontinuity?

Consider the correspondence f: $\mathbb{R}$ -> $\mathbb{R}$ defined by: f(a) = {x $\in$ $\mathbb{R}$:x2 + x $\leq$ a2} for all a $\in$ $\mathbb{R}$. Find the points where the correspondence is uhc ...
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156 views

Data Reduction using Principal Component Analysis

I have performed PCA over a data set containing 25 items (variables). PCA was performed in a view to reduce the number of items (variables) from the data set, so as to move forward with analysis. ...
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1answer
44 views

MLE estimation with serially correlated errors

I want to estimate the parameters of $a_t = a_{t-1}+\theta+\epsilon_t$ using MLE. Assume errors $\epsilon_t$ are serially correlated, then how would I choose the likelihood function?
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Derive the asymptotic distribution

Let $x_1, ..., x_n$ and $y_1, ..., y_n$ be two independent random samples from $X$ and $Y$. We have $µ_X = E (X ) > 0, µ_Y = E (Y ) > 0$ and $σ^2_X = Var (X )$ and $σ^2_Y = Var (Y )$. Derive ...
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2answers
42 views

How to derive the asymptotic variance from the sampling distribution of the OLS estimator?

The asymptotic sampling distribution, after taking plim, of the OLS estimator is given by $\sqrt{N}(\hat{\beta}-\beta) = E[X_iX_i^T]^{-1} \left(1/\sqrt{N} \sum_{I=1}^NX_ie_i \right) $ It must be ...
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1answer
95 views

Stochastic process difference equation: stationary distribution

How can I find the stationary distribution (as t goes to infinity) of stochastic difference equations in the form: $x_{t+1} = a*x_t + b*N(0,1)$ where N(0,1) is a standard normal pdf I have ...
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1answer
49 views

Including variable with causation problem for estimating from LISS

I am using panel data from the LISS to estimate the effect of whether a person practices sport or not on appreciation of leisure time (scale 0-10). My partner insists on using a variable that ...
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1answer
221 views

Price Optimization from Data

How can I find the optimal price that maximizes profits, given past sales data? I thought I could do this, but I've been running into problems. Data: ...