# 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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28 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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### 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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### is there a difference between E[e|x]=0 and E[e|d=1]-E[e|d=0] in continuous vs discrete case in regressions?

in the discrete case, if assignemt is random, then i can express E[y|d=1]-E[y|d=0] = B + E[e|d=1]-E[e|d=0], where the expectation of the errors are the same for both groups and become zero. Where I am ...
178 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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### 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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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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### 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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### not following a step in a paper on rational expectations

Hi: I'm reading a paper by Broze and Szafarz titled "On Econometric Models with Rational Expectations and I don't follow a step in section 3.2 which discusses the method of undetermined coefficients. ...
51 views

### AR(p) with white noise error term -- always covariance stationary?

Is it always true that an AR(p) process with a white noise error will be covariance stationary?
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### AR 1 Process simulation

I wanted to use STATA for a kalman filter simulation and wanted to go about it the following way 1. Generate iid error terms $${e_t}, {n_t}, {u_t}$$ ...
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### Ttest and heteroscedasticity problem in no intercept model

I was running a t test over two regression betas with the assumption of equal variance. I know that if the condition of homoscedasticity do not hold then there are chances to have type 2 error but ...
535 views

### What determines if a variable is exogenous or endogenous in a model? [duplicate]

Question above, I have a very rudimentary understanding of econometrics.
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### Vector Autoregression - Resource request

I am looking for resources that give a self-contained introduction to vector autoregression. To be a bit more specific, I am interested in VAR models and their application to isolating and ...
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### Studying growth in US and Sweden, what variables should I watch out for in a regression? [closed]

I've be assigned a project on growth paradigms in US vs Sweden as part of my introductory course in econ. Can somebody please help me out with regression ideas?
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### Relationship between elasticity and interpretation of approximate percentage change

Let's define elasticity, in a regression setting, as $\frac{\partial \log E(y|u)}{\partial \log x_j }$. How do we relate this definition to the percentage change interpretation, i.e., seeing this ...
28 views

### 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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### 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 ...
301 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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### Isolating single campaign effects over a sales series

I'm trying to wrap my head around the concept of advertising effectiveness and hit a wall when I tried to measure the quantitative effect of an advertising campaign on the sales tendency of a business....
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### 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. ...
398 views

### How to incorporate I parameter in GRETL application for ARIMA model? [closed]

How to incorporate I parameter in GRETL application for ARIMA model? Able to incorporate parameter AR and MA but not sure how to incoporate the I parameter?
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### What is the "dummy variable trap"?

I saw an interesting Economics post yesterday with the long comment. I post the regression result of the OP here I saw @chan1142 stated that Thanks. I see the _cons row. That's the intercept; the ...
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### What does data at individual and aggregate mean? [closed]

When registering an datasource account, I saw the response as below "Will your research present data individually or in aggregate? I am wondering what does "data individually or in aggregate&...
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### how to find the elasticity of log(y) =β0+β1log(x) [closed]

I'm struggling with this question. Please help out with the correct formula. how to find the elasticity of log(y) =β0+β1log(x).
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### Multinomial logit with an rct [closed]

If I'm running a randomized control trial, and the regression model I'm looking at is a multinomial logit, what would my specification be? I.e. what would the equation look like? Some dumbed-down ...
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### Integer values in difference equations

In difference equations, the time variable $t$ can only take integer values. Does this imply that the variable $y_t$ must be considered a discrete variable?
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### Finding an instrumental variable for unemployment

I have the following regression model: Marijuana Usei = β0 + β1Unemployedi + β2Personal Incomei + β3Educational Attainmenti+ β4Sexi + β5Agei + β6Racei + εi The model is a probit model I need to ...
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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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### 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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### 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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### 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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### Categorical variable as explanatory variable (right hand side)

In a linear probability model, or any sort of regression, one can use fixed effect estimation by simply adding in a STATA code i.something. This "something" can be either a village, a county or a ...
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### 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 ...
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 ...
250 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: ...
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### Why does econometric models usually have higher accuracy than using other method, show one example with references that shows this [closed]

Why does econometric models usually have higher accuracy than using other method, show one example with references that shows this? Why this is happening while all these economics method is using ...
Firms Alpha and Beta serve the same market. They have constant average costs of $2 per unit. The firms can choose either a high price ($10) or a low price (5) for their output. When both firms set a ...