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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7 views

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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37 views

Logistic regression: Equation for marginal effect at the mean

I am estimating the following logistic regression (binomial family) by maximum likelihood: $$ \ln\left(\frac{Y}{1-Y}\right) = \beta_{0} + \beta_{1}D + \beta_{2}X + \epsilon$$ where D is a dummy. ...
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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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41 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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44 views

Higher interest rates and default probabilities for longer loan term

I am analyzing LendingClub data with two available loan terms: 36 and 60 months. In the course of my analysis I have spotted that both the interest rates associated with each loan and the default ...
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46 views

How to properly interpret logged interaction variables

I have the following regression to interpret elasticity of demand: $$\ln(demand) = const - 0.6*\ln(fare)$$ I understand that a 1% increase in fare results in a 0.6% decrease in demand I want to add ...
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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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64 views

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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50 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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47 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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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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44 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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23 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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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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54 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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19 views

How can you find all parameter estimates are statistically significant but without performing any sophisticated calculations?

I have a question that contains a list of parameter estimates and their related standard errors. It then goes on to ask that I explain how I know all parameter estimates are statistically significant ...
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What happens when I leave out empty cells in regression?

I'm using Stata 14.1 to do a regression, and I got a matsize too small error. It gave some more output to tell me possible reasons for this problem, and I think ...
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48 views

How to interpret this regression coefficient?

I am performing a simple single variate regression on the variables crime rate (denoted by crrate) and the probability of getting arrested (denoted by prarrest). To be precise, the variables are ...
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1answer
47 views

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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55 views

regression method for data that contain a number of observation for several years

I have a data set about 125 companies. For each company I have the salary and some other variables about the top 5 managers in each company. One observation contains the top 5 managers in each one of ...
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Outputting Regressions as Table in Python (similar to outreg in stata)?

Anyone know of a way to get multiple regression outputs (not multivariate regression, literally multiple regressions) in a table indicating which different independent variables were used and what the ...
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40 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 ...
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Using margins after probit estimation to equal probabilities between almost identical individuals

I'm considering a Probit model for the probability that a student will finish the course based on their hours of study, age, sex, origin, how they passed the previous course and labor market situation ...
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Linear Regressions: When to expect the residuals to NOT have conditional mean 0?

Suppose that $Y, X,$ and $U$ are random variables such that the regression $$Y=\beta_0+\beta_1X+U$$ is the best linear predictor of $Y$ given $X$. My question is, when can we expect $E(U|X)=0$? I ...
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Controls for a GDP per capita model

I'm constructing a model to test the relationship of some different factors on GDP per capita in a single year using simple OLS regression. Most studies I've found on economic growth simply use the ...
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21 views

Demand-side effects meaning

I found the term of demand-side effects in the abstract of the following paper: journals-sagepub-com/ DOI/abs/10.1177/0974930619872083 . What does that mean? Can you explain it to me please? I need ...
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Social-Network Peer Effect Regression Analysis

I have locally transformed model from Bramoullé 2009 to be estimated for regression estimation $\begin{equation} ( \mathrm{{I}} - {G}_{l}^{*}){y}_{l} = \beta_2( \mathrm{{I}} - {G}_{l}^{*}) {G}_{l}^...
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30 views

diff and diff with multiple time periods - test parallel trend assumption

I am performing this resgression: $$ y_{it} = \beta_{0} + \beta_{1}\text{Treat}_{i} + \sum_{j \neq k} \lambda_{j} \text{Year}_{t=j} + \sum_{j \neq k} \delta_j \left( \text{Treat}_i \cdot \text{Year}_{...
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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 ...
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49 views

model design - fixed effects model for paired differences

I have two panels. One panel that consists of an economic indicator variable across firms and years. The second panel consists of the same economic indicator variable across the same firms and years. ...
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How to determine intergenerational income elasticity over more than two generations?

I do have income data for individuals from different families over three generations (y, yparents, ygrandparents). To determine the two-generational social mobility, I run a simple linear regression: ...
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21 views

Understanding General Least Squares

From what I understand, we have our OLS estimator in matrix form which is, $$\beta_{OLS} = (X'X)^{-1}X'Y$$ What we want to do is transform this, as the assumption that we have constant variance is ...
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How do I convert change over a ten-year period into annual growth rate?

I am working on an econometrics project where I need to find the impact of climate change on agriculture in India. The project requires me to use an existing econometric model from some peer reviewed ...
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52 views

Difference between a multiple regression and several linear regressions?

Context: I'm an undergrad who took Intermediate Econometrics more than a year ago and I'm trying to brush up on some of the skills. As I was reviewing multiple regression, I realized I didn't quite ...
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148 views

Sample used in calculating the sample regression function

Does the OLS (ordinary least squares) method of regression consider only one sample value in calculating the sample regression function (SRF)? If not, then how is the SRF created when there is more ...
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1answer
2k views

In panel data application, when using Fama and MacBeth regression is preferable over the fixed or random effect model? thought

When discussing panel data, many econometric books, usually, focus just on fixed or random effect model as means of estimating regression for panel data. Despite this tendency, I have seen many papers ...
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233 views

What's the use of '% to GDP' type of variables?

In my study I will look for the relationship between the Gini coefficient and trade, FDI and other variables. However, as I was regressing it... the result turn out to be insignificant. My data that I ...
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51 views

Hedonic regression and attribute-shares in house prices

Given a house with price $P$ and attributes $h_1,\dots,h_n$, I want to estimate how much each attribute costs as a percentage of house price $P$. In other words, if we express house price as the sum ...
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Does anyone recognize the shape of this residuals vs. fitted plot?

Hello Stack Exchange community, I'm running a regression on a survey dataset which consists of 45,381 individuals in 36 countries using Stata. My model is specified as: ...
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25 views

Value relevance, informative information, Financial statements, IFRS 9

What are the theories that say that the disclosures in the annexes of the report and accounts are less relevant than the figures in the financial statements, is there anything? I've been looking for ...
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1answer
54 views

Possible regression biases with GDP [x] vs Health expenditure [y] (both per capita)

I am regressing per capita health expenditure on per capita GDP. I have 3 data columns (health expenditure, gdp, population) So my regression function is healthexpenditure/population = b0 + b1.(gdp/...
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35 views

Meaning of regression coefficients

I am having some trouble understanding exactly what is meant by the "true" Regression coefficients. Let's say it is stated that "the true regression coefficients are given as $y=a+bx+e$ where the ...
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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 ...
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Can you take the moving average of quarterly data of an explanatory variable in a regression to smoothen noise and get more accurate coefficients?

I'm trying to use acceleration of quarterly data on household debt (the difference in the difference in debt) in a regression on unemployment (only concerned with correlation) but quarterly data is ...
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33 views

Forecasting quarterly EUR/USD exchange rate

My aim is to forecast the one-quarter ahead EUR/USD exchange rate. I have constructed a regression model with the following as explanatory variables: exchange rate in the previous quarter, EUR/USD ...
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How to use schooling years information to better identify the returns to education

Assume that you have the dates of birth of the individuals in the dataset. Imagine that in 1985, the Ghanaian government has decided to raise the school leaving age from 10 to 15 years old. How would ...
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36 views

Detecting Multicolinearity

Are high R square and low t-stats a signal for multicollinearity? What is the nature of this problem and correction? Also, how do you generally decide if the problem is high enough to be corrected?
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How do I run a regression with the restriction that one set of parameters are proportional to another?

I'm running a regression with a set of 3 dummy variables (for four categories of a variable) and these 3 dummies interacted with a continuous variable. I want to impose the restriction that the vector ...
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34 views

Moderation effect of a variable [closed]

Should we include some control variables in regressions when we test a moderation effect of a variable?