Skip to main content

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').

97 questions with no upvoted or accepted answers
Filter by
Sorted by
Tagged with
4 votes
0 answers
81 views

Joint significance test in a difference-in-differences setting

I ran the following difference-in-differences regression in software and have some questions about the interpretation of the resulting coefficients and their (joint) significance: $$ P_{it} = \gamma_i ...
Fabian Axer's user avatar
4 votes
0 answers
239 views

Explanation of paper's econometric assumptions

The authors of this paper (http://andrewleigh.org/pdf/GunBuyback_Panel.pdf) appear to be essentially regressing the change in the death rate to the change in guns from a gun buy back in Australia, at ...
B_Miner's user avatar
  • 141
3 votes
0 answers
42 views

Intuition Behind Difference-in-Differences with Continuous Treatment?

It's very clear to me how a difference-in-difference model works when there is a binary treatment. If the model is $y_{i,t}=\beta_{0}+\beta_{1}P_{t}+\beta_{2}T_{i}+\beta_{3}(P_{t}*T_{t})+u_{i,t}$ ...
econogist's user avatar
3 votes
0 answers
157 views

How to visualize first-stage in IV regression?

I know what matters is the F-Statistic, but for a presentation it would also be nice to add a plot that visually shows the first stage. How to best visualize that? Say you have an outcome $Y$, ...
Papayapap's user avatar
  • 1,843
3 votes
0 answers
69 views

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 ...
Quinoba's user avatar
  • 31
3 votes
0 answers
115 views

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 ...
jotheta's user avatar
  • 31
3 votes
0 answers
411 views

How to estimate an SUR model in R with fixed effects and clustered standard errors?

I want to estimate an SUR (Seemingly Unrelated Regressions) model. I tried using systemfit and its wrapper Zelig. But I am not ...
Anisha Garg's user avatar
3 votes
0 answers
61 views

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}...
Papayapap's user avatar
  • 1,843
3 votes
0 answers
68 views

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 ...
Steve's user avatar
  • 125
3 votes
0 answers
297 views

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 ...
Wadim iLchuk's user avatar
2 votes
1 answer
292 views

How to read this regression table?

The image is from Abhijit Banerjee's Legacy of Colonial Land Tenure Systems
Nemi's user avatar
  • 21
2 votes
0 answers
56 views

In Panel Data models, could we apply the existing Unit Root Tests (i.e. IPS) to the residuals in order to test for Cointegration?

The Engle Granger approach suggests that we check the regression residuals stationarity with ADF test and if the residuals are stationary, even if not all other model variables are, we can say there ...
Econom0nster's user avatar
2 votes
1 answer
58 views

How is the standard error of the discontinuity calculated when using local regression in a discontinuous regression?

In a typical regression discontinuity design, the standard error of the discontinuity is $se(\beta_2)$ in the following model: $$Y = \beta_0 + \beta_1 X_1 + \beta_2 D + \beta_3 (D X_1) + U$$ However, ...
Arturo Sbr's user avatar
2 votes
0 answers
51 views

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 ...
Papayapap's user avatar
  • 1,843
2 votes
0 answers
35 views

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 ...
leecarvallo's user avatar
2 votes
0 answers
69 views

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 ...
garej's user avatar
  • 648
2 votes
0 answers
63 views

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 ...
kurofune's user avatar
2 votes
0 answers
40 views

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 ...
Maybeline Lee's user avatar
2 votes
0 answers
113 views

Event study by Kleven

I was reading the following paper by Henrik Kleven et al. https://www.henrikkleven.com/uploads/3/7/3/1/37310663/kleven-landais-sogaard_nber-w24219_jan2018.pdf The estimate the child penalty on wage ...
hbkn's user avatar
  • 165
2 votes
0 answers
25 views

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. ...
mugdi's user avatar
  • 121
2 votes
0 answers
860 views

Negative elasticity of substitution in a CES production function

I have empirically estimated the elasticity of substitution parameter in the following model: $$Y_t=[(A_1L_tK_{t})^{\rho} +(A_2M_{t})^{\rho}]^\frac{1}{\rho} $$ here, $Y_t$ is output, $A_i$ is a ...
london's user avatar
  • 2,010
2 votes
0 answers
12 views

Measuring time discount in scheduled services: is there a literature in empirical economics?

Prices might be different, for the same service at some date, if you try to acquire the service two weeks in advance and again at a closer date (e.g. two days prior to the scheduled date), such as ...
John Doe's user avatar
  • 423
2 votes
0 answers
38 views

Regression analysis with interaction and decomposed main effect

I'm trying to figure out if I need to include the main effect in a regression analysis with an interaction if I am already including a decomposed version of the main effect. For example, let: ...
elci's user avatar
  • 21
2 votes
0 answers
38 views

Demand equation with demographics

I am trying to reconcile the derivation of a demand equation with what I actually run in an OLS model. After solving $$max_{x_1,x_2}U(x_1,x_2)= \alpha ln(x_1) + \beta ln(x_2)$$ subject to $$p_1x_1+...
soccer_stats's user avatar
2 votes
0 answers
25 views

Relationship between parameters estimates of continuous variables and dummy variables

I had asked this question on cross validated before, and have deleted it. Suppose we have a standard wage equation: $$w_{i}=β+β_{1}educ_{i}+x_{i}'\gamma+ϵ_{i}$$ where educ corresponds to education ...
ChinG's user avatar
  • 1,633
2 votes
0 answers
74 views

Professors Salary vs Alumni Earning: is the relation causal?

Elyase İskender posted in his blog an interesting plot correlating Professors Salary and Alumni Earnings Relation in US Universities. Is there a good way to establish causality here? Did the highest ...
emeryville's user avatar
  • 6,975
2 votes
1 answer
78 views

Why don't Time Series books talk about exogeneity like in classical linear regression models?

Consider the following linear regression: $$y_t = \beta_0 + \beta_1 x_{t} + u_t$$ Typically, we need to assume (assuming a random sample): \begin{equation}\label{I}\tag{I} E[u_t]=0, \quad cov(u_t ,x_t)...
André Goulart's user avatar
2 votes
1 answer
28 views

Independent variables that don't vary much but are essential for the theoretical framework, what to do?

I'm working on finding out the impact of Covid.19 on commuting so income and distance will be relevant variables to include. However, these variables dont change from period to period, so it's ...
Shushue's user avatar
  • 37
1 vote
0 answers
32 views

Log-Log Regression versus Delta-Delta Regression

I am trying to estimate the self- and cross-price elasticities of demand for Alaska (AS) and Southwest (WN) on a given route. I have price in quantity data that varies over time. Which of the ...
Nathan Evans's user avatar
1 vote
1 answer
36 views

Difference between country-fixed and region-fixed effects

I struggle a lot with econometrics and interpretation. I would highly appreciate if someone here can help me... I am writing a paper about the effect of childcare on maternal employment and I use an ...
anonymousx3's user avatar
1 vote
0 answers
22 views

Kernel Density Estimation and Nadaraya Watson Estimator reference

I am looking for a reference that is on kernel density estimators with the following results: Let $(X_1,Y_1),\ldots,(X_n,Y_n) \in \mathbb{R}^{p} \times \mathbb{R}$ are i.i.d. and $\mathbb{E}(Y|X=x)=m(...
mich95's user avatar
  • 141
1 vote
0 answers
18 views

What's a classic (paper) example in which OLS gives unreasonable result, but IV estimate gives reasonable result?

I'm wondering are there are any classic papers, especially in the field of labor economics or development economics, that include regression tables showing OLS gives unreasonable result(like ...
ExcitedSnail's user avatar
1 vote
0 answers
27 views

Regression coefficients interpretation

Can anyone help me with finding out the computations for reaching this conclusion? "In terms of magnitude, the point estimate implies that going from the average of 8% blacks in the same-gender ...
userF's user avatar
  • 79
1 vote
0 answers
66 views

Controlling for Log population with Log GDP per Capita outcome in OLS

Bartlett and Partnoy (BP) (2020) show that OLS with natural log dependent variables that are ratios must include the ln(denominator) on the RHS or they must assume that the numerator and denominator ...
dcoy's user avatar
  • 111
1 vote
0 answers
76 views

Variance of OLS Error Variance Estimator

Consider a model $Y=X\beta+e$ and define the OLS error variance estimator as $\hat{\sigma^2}=1/n\sum_{i=1}^n \hat{e}_i^2$, assuming that $ E[e_i^2]=\sigma^2 $ More precisely I want to derive the ...
Paul Huang's user avatar
1 vote
0 answers
17 views

Difference between Quantile Regression and Endogenous Stratification

I have a question that stems from an ongoing experiment I'm conducting, focusing on treatment heterogeneity. Initially, my approach involved considering a beyond-mean analysis utilizing quantile ...
Nacho's user avatar
  • 35
1 vote
0 answers
154 views

Regression Discontinuity in Time (RDiT)

Is it correct to specify an RD model where time is the running variable but the data is not measured at the time the running variable is referencing to? Let's say I want to estimate the impact of a ...
GuestUser's user avatar
1 vote
0 answers
74 views

Testing Kaldor's Second Law

According to Kaldor's second law, as manufacturing industry grows, the productivity in manufacturing will increase: $$p_i=f(g_m)$$ And, from the article of Heather Wells and A.P. Thirlwall (Testing ...
Tunay Sabri Yüksel's user avatar
1 vote
0 answers
59 views

Understanding how to estimate the model of Fung and Hsieh (2001) for the hedge funds risk factors

There is an old paper about the risk of hedge fund strategies that it gathers its focus in the trend followers. This is the Fung and Hsieh (2001) paper. $\textbf{Definition of Trend Followers (TFs):}$ ...
Oliver Queen's user avatar
1 vote
0 answers
25 views

The dependent variable of one equation could be a regressor in another

I am estimating two different regression equations with two separate dependent variables. Each dependent variable has its own unique control variables, but they also share a similar regressor Ht. ...
Matthew Farquhar's user avatar
1 vote
0 answers
30 views

How to calculate the correlation of yield curve extrema?

The goal is to reproduce this chart: I first looked at the legend. It reads: "Correlation of Front and Back Fed Funds curve, Pivoted Around Peak Rate (Rolling 250 Day). Then I noticed that the Y-...
Arash Howaida's user avatar
1 vote
0 answers
55 views

Deriving ADF unit root test form for the time series with quadratic deterministic trend

I have the following time series process $y_t $ $$\Delta y_t = \delta + \gamma t + \epsilon_t$$ where $e_t$ is white noise process with the variance of $\sigma^2$. I guess that whereas $\Delta y_t$ is ...
studentp's user avatar
  • 172
1 vote
0 answers
180 views

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-...
John Williams's user avatar
1 vote
0 answers
46 views

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, ...
stats_noop's user avatar
1 vote
0 answers
107 views

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 ...
Afrouz Hojati's user avatar
1 vote
0 answers
27 views

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,...
Ryan da Silva's user avatar
1 vote
0 answers
11 views

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, ...
Konstantina 's user avatar
1 vote
0 answers
26 views

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 ...
slingblade8129's user avatar
1 vote
0 answers
56 views

Analytical approach to estimate equilibrium price for Real Estate Property

I am looking to calculate the equilibrium price, i.e an optimal price that I can set without affecting demand and maximize revenue. I've gathered historical data: occupancy rates, asking rents for ...
kms's user avatar
  • 131
1 vote
0 answers
56 views

Minimizing the error: Transforming dependent variable

As given in the picture, question ask us to transform dependent variable, by premultiplying with a weighting matrix W, (which will change the regression coefficient into C'β) such that the expression (...
Elina Gilbert's user avatar