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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Fixed time and individual effects

I have the following, small question. I have panel data and have played around with it a bit. In my first estimation (1) I assumed that the coefficient of union is biased and therefore wanted to ...
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Test for Multicolinearity

i recently ran a regression with fixed effects. As expected, STATA removed one of the dummy-variables, as well as every time-invariant variable (educ). My question is now. Why does STATA also removes ...
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How to control an international but obmitted variable?

In my case, I deal with the firm-level data. I have a variable called X, which is an international index. I am using the standard two-way fixed effects regression. When controlling for year fixed ...
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Fixed time effects or fixed individual effects?

I have the following question or problem. I am currently using panel data to predict the hourly wage. I have only used the variable "union" as an influence variable from the initial model, ...
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1 answer
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What does E[XY]=0 mean?

Where X is a regressor and Y is the dependent variable. I know that if E[XY]=E[X]E[Y] then X and Y are independent, hence uncorrelated but I don’t get what E[XY]=0 means.
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How to estimate a subclass effect of fixed effect model?

i need help with an econometric question. I have a panel data of stock analysts and their associated investment returns by following their investment recommendations of buy/hold/sell. The data is at ...
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Non-symmetric RD bandwidth?

Consider a regression discontinuity setting in which $x_2=1$ if and only if $x_1 \ge D$ and $x_2 = 0$ otherwise. The baseline regression discontinuity regression for some outcome, $y$, is: $$y_i =\...
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Interpretation of regression output for different models

I am quite new to econometrics, hence, not very familiar with interpreting regression outputs. To me, the resources I've found online are quite confusing and cannot give me some practical guidance in ...
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Adding a subscripts for P (price) in equation

I made the following equation for a hedonic model. When I sent it to my teacher to check if it was fine, she told me that I should add subscripts for P so that we know by what it varies. I don't get ...
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The correct way for log wage and long difference of wage

Good afternoon, I'm starting to study econometrics and I have a doubt: I want to study the relationship between ICT exposure and changes in wages over the period of 2003 to 2021 $$\Delta y_{o} =\...
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Difference in differences with one post and two treatment variables

I want to test the following hypotheses with a difference in differences (DiD) OLS model: 1. The post grant effect on the dependent variable is stronger for patents with at least one rejection than ...
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2 votes
1 answer
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Functional form for regression in a hedonic pricing model

I am doing a regression where I use the hedonic pricing model. Hedonic pricing treats a marketed good, usually a house, as a sum of individual goods (characteristics or attributes) that cannot be sold ...
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Are these regression equations consistently estimated, and which ones are over/under/exactly identified?

Consider the structural system of simultational equations where the where Y variables are endogenous, and the X variables are exogenous. The errors may be correlated contemporaneously between ...
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Do dummy variables remove the need for covariates?

This may sound like a rudimentary question, but I am curious if dummy variables reduce or eliminate the need for certain other controls. For instance, if I am looking at the impact of some variable ...
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What (and how) to control for in adjusted wage-gap regressions?

Background: The unconditional wage gap between some group and the rest is often estimated using a regression of the form $$ w_{it} = \alpha + g_{it}'\theta +\epsilon_{it} $$ where $w_{it}$ is log of ...
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Best way to fix the assumptions in linear regression with cryptocurrency data?

Hi I'm doing my undergraduate thesis, I want to predict closing price of Bitcoin using linear regression model, So i check the assumption using R then It is all not satisfied, so I want to fix It but ...
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Suitable econometric specification for my data

I'm playing around with my dataset and as a start, I want to understand whether the absenteeism and vaccination rates for employees across a large number of factories with separate units is dependent ...
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consistency and unbiasedness of ols estimator

Please explain why the OLS estimator is consistent and unbiased withregard to the equation below \begin{equation} \label{eq:1} C_{t} = \beta_{1} + \lambda C_{t-1} + \epsilon_{t} \end{equation}
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calculating the LM test statistic and P value

Include the LM test, Questions: 1. What regression would be needed to test the null hypothesis of no autocorrelation in the residuals against the alternative of order 1 autocorrelation by the Breusch-...
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error specification of OLS regression models

Consider the following regression equation * \begin{equation} \label{eq:1} C_{t} = \beta_{1} + \lambda C_{t-1} + \epsilon_{t} \end{equation} and let \begin{equation} \label{eq:3} \epsilon_{t} = \rho\...
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lagged regression equation properties

consider this equation 1: \begin{equation} \label{eq:1} C_{t} = \beta_{1} + \lambda C_{t-1} + \epsilon_{t} \end{equation} If the error term is independently and identically distributed (iid) with ...
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calculating a marginal effect for logit model

For the logit estimate of the slope parameter,I would like to obtain the marginal effect of the regressor ndisease evaluated at $\Lambda (x'\beta)=\bar{y}$, where $\bar{y}$ is mean of $y$. I obtain ...
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Why does the variable become more significant after I add mediators?

I have 2 models: without mediators and with them. In the second model the variable of interest becomes more significant (the level of significance in model 1 is 5% and in model 2 is 1%). What is a ...
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Should I do Chi-square or T-test before running a regression?

In many articles before running a regression authors do T-test or Chi-square test to check if there’s a significant difference between the variables in 2 subsamples. In my case variable of interest - ...
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Can I run regression on uneven subsample?

I study the influence of long working hours on health. In my sample 40% of people work more than 40 hours and other 60% don’t. I want to look at the effect of working exactly more than 50 hours ...
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Regression and Kuznets curve

The dependent variable, Gini (C) has the coefficient and probability value of $(38.934, 0.0000)$. The independent variables: GDP,...
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National consumption regression with inflation and interest rate controls

I'm trying to test the relationship (only in cross-section - not with time series data) between national consumption and the fragile state index and my project advisor suggested I include inflation ...
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How can I add yearly control variables on daily Panel data?

I am working on a dataset where I have to regress daily stock return on daily ESG momentum scores, including some control variables. For market based measure of risk factors, I have added Fama-French ...
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1 answer
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Estimating parameters when introducing IV Instrument

Say, you have a model $$ y_{it} = \beta_1 a_{it} + \beta_2 b_{it} $$ And you find that $a_{it}$ is endogenous, therefore, you need to find an instrument for it. Say you find an instrument $z_{it} = \...
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2 votes
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What level should I cluster my standard errors at?

I want to estimate the following model: $Y_{ismr} = \alpha + \gamma O_{sm}+\beta X_{smr} + \epsilon_{ismr}$ , where $Y_{ismr}$ is customer $i$'s reported level of satisfaction at store $s$ in market $...
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Location changes in panel data

I have a yearly panel data in which each observation is a pair of monitoring stations (stations measuring water quality in rivers) one located upstream and the other downstream, each station in the ...
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How to visualize when the signs of two subsamples are opposite and example? (Simpson Paradox)

In some studies, when we do subsample and if it is nice, we may see the signs of coefficients of variables of interests are consistent among the whole sample and subsamples. However, it is not always ...
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Is it okay to combine two control variables into one in order to get a more precise estimate of the coefficient on the main explanatory variable?

I am studying a natural experiment that resulted in some cities randomly receiving different numbers of competitors in a certain sector. (Stores applied for licenses in a government-run lottery.) In ...
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How do I build a synthetic measure of economic activity for linear regression?

I'm trying to estimate the effects of WW2 on the economy using historical data for cities. The regression is pretty simple: ...
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6 votes
2 answers
293 views

Infinite Variance Regressors

Many presentations of OLS have a condition, $E(X'X)<\infty$ and is invertible. My question is, why is $< \infty$ critical? Consider, $$y_i =\beta_0 +\beta_1 x_{1i} +\varepsilon_i $$ The ...
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2 votes
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Natural regression to study rate of convergence from MRW (1992)

In the paper of Mankiw, Romer and Weil (1992: 422-423) aka MRW there is a transfer from theoretical dynamical model to empirical regression approach as follows. The model suggest a natural regression ...
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Probit and DiD - Finance

I have been working on a project for a good long time. I am relatively new to finance and regressions in R, so I would be extremely grateful for every response I get. My goal with this task is to ...
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Multicollinearity problem

I am trying to model contract outcomes, let's say for car sales and I am interested if a certain group of people is better in negotiating better deals (e.g. women). The dependent variable is price, ...
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Interpretation of possible paradoxical negative correlation between variables

I am working on an assignment which asks to do an ordinal regression with the aim to identify significant contributors of the 13 independent variables on the dependent variable, and to determine if ...
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2 votes
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Clustering Standard Errors for Panel Data with multiple clusters

I have a Group-Firm-Year panel data set (i.e., multiple firms make up a group). Suppose I have exogenous variation at the group level over time. In a panel regression with firm and time fixed effects ...
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2 votes
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Identification strategy

I am trying to find the relationship between one independent variable with two dependent ones. I was doing some reading, and I can use MANOVA to regress this. However, my original ID strategy was to ...
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3 votes
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At what level should I cluster my standard errors and why?

I have a yearly panel data in which each observation is a pair of monitoring stations (stations measuring water quality in rivers) one located upstream and the other downstream, each station in the ...
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4 votes
1 answer
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Test which functional form that best explains data

Tried asking this on Math Stack Exchange. Got no answer after a week, so trying here. I had this question in an exam lately and I was not sure how to answer it. Now the exam is done, and I can't go ...
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1 answer
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What are the values in brackets under the estimators value representing?

Please, can you explain me what are these values in red circles representing?
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What is difference between Interrupted Time Series (ITS) and Regression Discontinuity in Time(RDiT) analysis?

Can anyone give some details on the difference between Interrupted Time Series (ITS) and Regression Discontinuity in Time(RDiT) analysis? How to choose between them? which one is more robust? Or some ...
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2 answers
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intuitively explain the equation of $Var(b_1)$ in OLS model

Above is the capture from the Econometrics slide from "Hill,Griths and Lim (2018) Principles of Econometrics". I have no problem the see the blue font sentence separately, it's all about the ...
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3 votes
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GMM Estimation with HAC Weight Matrix in R

I am currently working on my econometrics assignment regarding a seminal paper of John Taylor (1993) and really got stuck during the last days with one specific question. I am supposed to set up a GMM ...
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2 votes
1 answer
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Regarding the starting point and assumptions of linear regression model

Here is my understanding of the linear regression model with single regressor: We suppose that the population regression function takes the form of $Y_i=\beta_0+\beta_1X_i+u_i$. Furthermore, for the ...
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How to test parameter restriction in seemingly unrelated regression using STATA?

Given constrain 1: [w1]ln_p2 = [w2]ln_p1 I estimate an Ideal Demand System using surge command in STATA w1 = a1 + g11 (ln_p1) + g12 (ln_p2) + b1(real_income) w2 = a2 + g21 (ln_p1) + g22 (ln_p2) + b2(...
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3 votes
1 answer
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What is being meant by "cohort-specific fixed effect for each state of birth" in Card&Krueger(1992)? What does the following equation mean?

I am referring to this paper on school quality and returns to schooling. The econometric specification has been described by eqn (1) on page 4. The authors have taken "cohort specific fixed ...
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