Questions tagged [regression]

In statistics, regression analysis is a statistical process for estimating the relationships among variables. It includes many techniques for modeling and analyzing several variables, when the focus is on the relationship between a dependent variable and one or more independent variables (or 'predictors').

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Stationarity of variables for Local Projections

Should we care about the stationarity of the time series when doing Local Projections? In his website Jorda (the author of Local Projections method) provides a code for doing local projections : https:...
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Regression Between Two Sequences of Labels [closed]

Now I am trying to deal with a regression between two sequences of labels. One label (independent variable, x) is where this guy from, like US, UK,..., I can give one country a number. And the other ...
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Predicting covariates into “observed” and “unobserved” part

I recently saw a paper where they run a regression of the covariate of interest $X_{1}$ on the outcome $Y\in\{0,1\}$ without further controls $$ Y = \alpha_{1} + \beta_{1} X_{1} + \epsilon_{1} \tag{1}...
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Joint significance test in a difference-in-difference setting

I ran following difference-in-difference regression in software and have some questions about the interpretation of the resulting coefficients and their (joint) significance: $$ P_{it} = \gamma_i + \...
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49 views

How should I regress income inequality on economic growth?

I would like to know which variables to use to regress income inequality on economic growth. For income inequality, I am thinking of using the Gini index, but don't know what measurement exactly. For ...
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Question about using elasticities to compare difference rates but with different normalization

Lets say I am estimating a regression of a death rate per 100k people on an economic shock, so: $y = \beta_o + \beta_1 * X+ error$ where the dependent variable is the death rate, and x is the measure ...
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45 views

How to interpret fixed effects?

I want to interpret the output of a fixed effects regression and need help with interpreting the country-fixed effects. The regression is the following: ...
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65 views

How to explain negative correlation between quantity sold and expenditure on advertisement?

I have received the following dataset from our economics Professor. It has 15 observations and 4 variables - 'qsold' (quantity sold of product X), psn (price of X), ...
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1answer
71 views

Does random sampling cause zero conditional mean?

In the lecture notes of my development economics class, it says that " In the regression model : Yi = β0 + β1Xi + ui, if Xi is randomly assigned, then Xi is independent of ui, i.e., E(ui|Xi) = 0, ...
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61 views

Why is it assumed that covariance equal to $0$ or independence between $y$'s in the simple linear regression model?

I have started a book of econometrics and in the first pages are stated the assumption used in the linear regression model, which are : The third one is the one I don't understand, why it has to be ...
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32 views

Regressing (Very) Smooth Time Series

What are the possible problems/issues of regressing smooth time series with almost no fluctuation? Here is a specific example. Is there anything I have to pay attention to when interpreting ...
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Is this an an endogeneity/simultaneity problem?

I would like to know if the logic in these two situations is correct. Situation 1: Let's say we have a continuous dependent variable, $y_1$, that then has a causal impact on an unobserved variable, $\...
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Is this an endogeneity problem?

Let's say we want to determine the impact of $y_2$ on $y_1$, which are related as follows: $$y_1 = f(y_2, x_1,e)$$ where $$e = g(y_3,x_2, u_1), \space y_2 = h(y_4,x_3, u_2), \space y_3 = m(y_4, x_4,...
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Verification of logic behind instrumental variable approach

I would like to know whether the following reasoning regarding the instrumental variable approach is acceptable. I understand there are case-by-case factors that affect the applicability of ...
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1answer
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What's the minimum number of datapoints in order to run a diff-in-diff?

I was thinking about running a diff-in-diff with fixed effect in order to deal with a panel data experiment. The problem is that I don't know how many datapoints I need in order to the experiment be ...
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Choice between dummy variables and Likert scale in Linear Regression

I want to run a linear regression based on the data gathered using a questionnaire. Several of the questions have the following form: How much do you spend on xyz in a month? a. Less than \$50 b. \$50 ...
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1answer
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Making sure the p-values of my OLS estimates are correct

I have learned the basics of the Classical Linear Regression Model and also various diagnostic tests to check if the assumptions of the CLRM are met, such as homoskedadticity, absence of near perfect ...
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Why don't economists do regression diagnostics?

There is a lot of talk about regression diagnostics in tutorials on the web, but then in economics research papers nobody actually reports residual plots, collinearity checks etc. Is there any reason ...
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Arellano and Bond (1991) GMM estimation in R by using plm package

I am a last-year student at university, currently working on my Bachelor's (so still learning R), and I really hope that you would suggest a potential solution (even if to use Python). So, the main ...
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Questions regarding ordered probit model

I am currently working on a hypothetical research proposal for a course at my university. I am using data from three Afrobarometer surveys conducted in 34 African countries in the years 2011-2013, ...
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How do I work with the growth accounting framework in a regression?

I am currently writing my master's thesis with the topic "The impact of digitalization on economic growth in China and Germany". My idea is to take a technology such as Industry 4.0, IoT or ...
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Diff-in-Diff framework where treatment time is not fixed and multiple treatment group with sub level of treatment

The study is analyze a data for 30 yrs time period with two treatment group denoted T_1 & T_2 and a control group. Treatment ...
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How to calculate semi elasticity in fixed effect model with interaction

Given the model specification $$Y_{it} = \beta_1 X_{it} + \beta_2 D*X_{it} + FE_{i} + e_{it}$$ The above model specification is a Fixed effect model with interaction term ($X_{it}$ interacting with D- ...
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Regression based on the Solow Model

If we have the following regression based on the Solow model: log(yi) = β0 + β1 * log(si) + β2 * log(ni + gi + δi ) + ei And we know that based on: y* = 〖(s/(n + δ + g))〗^(α/(1-α)) log(y*) = α/(1-α) * ...
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The instrument in “The Colonial Origins of Comparative Development”

I am hoping to understand when an instrument is appropriate. For the purposes of this question, I'm considering a simplied version of the model in AJR (2000): $$\begin{aligned}\text{GDP} &\sim \...
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22 views

Which values to assign to a quantified dummy variable

I am working on a data set from kaggle (https://www.kaggle.com/spscientist/students-performance-in-exams) about how student performance relates to some explanatory variables, such as if the school ...
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80 views

How to find $\phi$, that denotes the correlation of signals among informed traders?

Since I do not have an answer on Quantitative Finance in my question I cross-post here the problem to tag some other categories The following assumptions are part of the paper of Back, Chao and ...
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22 views

Log-Linear Model

I know that the log-linear model shows the percent change in y if there is a one-unit change in x but how would you solve for it the other way to show a percent change in x if there is a one-unit ...
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1answer
97 views

R's felm() fixed effects vs. factor() within lm()

I am wondering why using felm's fixed effect option versus using the factor() function is different? I was under the impression they were one in the same? I am running a panel regression where i is ...
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Difference in interpretation of log-lin coefficients with binary variable

Consider the model: $$y_i=\beta_0+\beta_1D_1+\beta_2D_2+u_i$$ Where $D_1=\{0,1\}$ and $D_2=\{0,1\}$ are binary (dummy) variables, and $y_i$ is a continuos variable in levels. In this model, for ...
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graph of dependent variable after years of restructuring in panel data

i'm not very able to use stata. For my thesis, I have a panel data(1970-2017) for different countries and a lot of variables. In this dataset, there is a dummy (dhairendH) that is equal to one in the ...
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34 views

Age effect when controling for individual fixed effects and time fixed effects

I have a individual-by-year panel. Although age is varying within an individual, its variation is fully absorbed when I include individual fixed effects and time fixed effects. This is because each ...
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47 views

Logit/Probit with numbers different than 0 or 1?

I am trying to find an econometric model that helps me to answer the following. I would like to measure how much the increase in the cost of a production factor (my X) shifts the supply curve of a ...
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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 ...
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93 views

Why would regression coefficients be different on a subsample?

If I'm running a linear regression for example, and I take out some points, wouldn't the same line/plane still fit the data? If not, wouldn't that show that the data doesn't have a linear relationship?...
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1answer
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How to design / interpret a difference in differences regression [closed]

I have a set of active scientists and editors. I want to study the effect that becoming an editor has on the different outcomes of a scientist (such as citation count and publication rate). I decided ...
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32 views

Obtain the OLS estimators of the simple model from the multiple model

I'm looking for the answer to this question: In the context of the simple regression model (two variables) we know that the estimators of OLS are given from: $\hat{\beta}_{1}=\frac{Cov(x_i.y_i)}{Var(...
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1answer
120 views

Calculating natural rate of unemployment

I have sample data on unemployment rate in a market and am looking to calculate the natural unemployment rate. The natural unemployment rate I obtained is constant over a time period, which is not a ...
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Non Linear regression to obtain diminishing marginal effect / elasticity

I am working with some real estate data on housing units. For a given market, I have data on occupied units, rents, and control variables such as population, demographics, income levels etc. I'd like ...
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Question on estimating elasticity and cross elasticity with log-log regression model

For a regression model: Y = B0 + B1.X + B2.X2 + U, B1 and B2 is the marginal effect on ...
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Compute the inverse of a conditional quantile regression output

Short Clarification : This question was asked at the Cross Validated SE (Question at CV) but one highlighted in the comments, that this might be more applicable to this SE due to its economic topic. ...
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Using Ordinal (Star Rating) variables to predict outcomes in Log lin regressions + Taking Median significant coefficients of multiple regressions

Framing the regression I am attempting to analyze the effects of several variables on clicks for Google My Business listings. Currently I'm using a Log-Lin regression model to predict the % increase ...
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1answer
112 views

Log log regression with fixed effects and cross elasticity of demand

I have a time series of units sold, and price. I'd like to calculate elasticity of demand wrt to price and a few other variables, some of them are fixed effects. ...
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19 views

Determining a variable from empirical results obtained from regression analysis

For context, I am trying to estimate the excess supply and demand in the Commercial Real Estate market and the rental price adjustment mechanism following the change in vacancy. I found a paper titled ...
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1answer
121 views

How to interpret coefficients in a dynamic OLS model?

I am trying to understand how to interpret the dynamic and static effect from coefficients in regression models. $GDP\_growth\_rate_{t,i} = \beta_1GCF_{t,i} +\beta_2GCF_{t-1,i}+\beta_3GCF_{t-2,i} +\...
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50 views

Regression approximation for the rate of change in occupancy rate of residential market with respect to price

I have historical data on occupancy rates for a given neighborhood, along with characteristics and other local economic variables. I am looking to estimate the regression equation with occupancy rates ...
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1answer
27 views

How do 'econometric' explanations differ from 'economic' ones?

I am interpreting some coefficients of a regression model and have been asked to, first, give an 'economic' explanation and then an 'econometric' explanation as to why coefficients differ as more ...
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1answer
81 views

How do I obtain a correlation between two variables?

Can I differentiate a quadratic regression model formula with the form $$Y_i=\beta_0+\beta_1 X_{1i} +\beta_2 X_{1i}^2+\epsilon_i$$ (added to this formula would be other control variables e.g dummy ...
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683 views

Interpretation of Difference-in-Differences Regression Results when Only the DID Coefficient is Significant

I have a standard DID regression of the form: Y= β0 + β1*[Time] + β2*[Treatment] + β3*[Time*Treatment] + ε where Time is a dummy equal to 1 for period after policy change and Treatment is a dummy for ...
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1answer
58 views

Difference-in-Difference (DID) Regression with Non-Stationary (but Cointegrated) Treatment and Control Groups

I would like to run a DID regression between two periods where each period spans multiple years. For example: Period 1: 1970Q1-1990Q4 Period 2: 1991Q1-2010Q4. My treatment and control variables are ...

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