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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230 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 ...
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141 views

Partial R2 and contribution of Regressors

I asked a similar question on Cross Validated, but got no answer. The following question is sufficiently different. Consider the following deterministic relationship:$$Y_{t}=C_{t}+I_{t}+G_{t}+(X_{t}-...
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1answer
613 views

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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28 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: ...
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0answers
31 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+...
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3answers
135 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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0answers
22 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 ...
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66 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 ...
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43 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 (...
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0answers
43 views

How do we calculate Beta in a OLS regression of the mean of y on the mean of lag of y?

In a simple OLS regression we calculate the estimator Beta by dividing the covariance of x and y by the variance of x. How do we calculate the estimator Beta if we regress the mean of a variable (at ...
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17 views

Estimation of investment adjustment costs

Hi I am working on a problem set in my macroeconomics course. I have a hard time figuring out how to get started on one of the problems. The set-up is the following. A price-taking firm maximizes: $\...
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17 views

Controlling for a variable in OLS - Stratification and Reaggregation. Simple Example

In his engrossing book "Naked Statistics" Charles Wheelan begins to explain how controlling for variables works by stratifying the sample. However, he stops short of explaining the reaggregation, ...
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82 views

Profit maximization problem using linear regression (pooled OLS)

I'm currently on a university assignment where I'm stuck more or less in the middle. I have to answer the following problem: Suppose you are interested in estimating the production function for ...
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17 views

How do I measure effects over years in panel data with individuals?

I'm working with a longitudinal panel dataset that surveys the same few thousand individuals biennially and I have six years of this data. My dependent variable would be how much individuals spend on ...
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0answers
10 views

Can A/B be a better variable than separate A, B in linear regression?

While learning Econometrics, I got curious to know whether A/B can make a better variable than separate A and ...
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0answers
25 views

Regression on derived consumer preference

I have a data set with some demographics of consumers who bought a product that can be used to imply their preference (beta) using Cobb-Douglas (see comments of original question). I’d like to check ...
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29 views

Indicator variables over unequal periods?

I'm comparing the volatility of capital flows using a panel data regression. I would like to examine changes in volatility over different periods (e.g. before financial crisis, financial crisis, ...
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50 views

Econometrics - Simultaneous Equations and Perfect Inelasticity in the Context of Regression

Assume a certain market can be described by Demand Function: $$Q_{d, t} = \alpha_0 + \alpha_1 P_t + \mu_{1, t}$$ Supply Function: $$Q_{s, t} = \beta_0 P_t + \mu_{2, t}$$ The price in this market is ...
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0answers
35 views

Marital status determinants

I am looking for the researches that have studied factors influencing marital status probability. I need them for citation purposes. After looking for a long time I have not found anything. So I need ...
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0answers
147 views

Relationship Input Distance Function and Output Distance Function

I was wondering if anybody knows how input distance functions (IDF) and output distance functions (ODF) relate to each other. One of the advantages of distance functions over cost and revenue ...
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0answers
133 views

Difference in Regression Discontinuity Estimates

Suppose I run a regression discontinuity design (RDD) for two different samples - say, separately for regions A and B of the same country. I get RDD estimates that are statistically significant in ...
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0answers
28 views

Cannot reproduce paper result on Boston Housing

I have been trying to reproduce the results for "Hedonic Housing Prices and the Demand for Clean Air" but to no avail thus far. In table 7 there are three regressions mentioned using the Boston data ...
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123 views

Interpreting multiple interaction terms

I'm running the following regression on panel data: $ %Translator MathMagic Pro for InDesign Mac v9.14, LaTeX converter, 2016.9.11 22:27 \begin{array}{l} {{\mathrm{tscorek}}_{\mathrm{i}}\mathrm{{=}}{\...
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31 views

Interaction dummies estimates influence other estimates?

In page 311 of Gujarati Basic Econometrics, there's the following example for use of dummy variables, when we're interested in the interaction between two qualitative terms. Shouldn't we have ...
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0answers
21 views

equivalence in hypothesis testing

I have the following unrestricted model $y_i=\beta_1+\beta_2x_{2i}+\beta_3x_{3i}+u$ and the restriction $\beta_2+\beta_3=1$ I need to give an equivalent unrestricted model such that if one of its ...
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510 views

How Does Adding Regressors Affect Standard Errors and Existing Coefficients?

(First off, bonus points if you can write my question title more clearly) My project right now is to research citizenship status and income. At first my regression was like this: $$ INCOME = \beta0 ...
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50 views

Coalitional games and Shapley value used for assessing explanatory variable contribution

I have a problem that at the first sight seems not as coalitional game, but rather could be described as logistic regression with all dichotomous variables: 1 response variable Y (I would call it ...
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0answers
310 views

Principal Components Analysis in Economic analysis

I have a data set of annual prices of various energy carriers over several decades. I want to estimate a model of output using these price series - I guess, I will do a co-integration analysis. There ...
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42 views

Covariance between regression coefficient and residual

Given regression equation Y=Xβ + ε which satisfies all classical assumptions including those of homoscadasticity Estimated regression equation using OLS is the following - Y=Xb + e Where, b is ...
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20 views

How to run Panel data analysis when data on the dependent variable is on a 5 year interval basis and that on independent variable is on yearly basis?

I am reading a paper which empirically tests if primary exports affect education attainment in LAC countries over the period 1965 to 2010. It uses percentage of secondary school enrollment as ...
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17 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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2answers
36 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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20 views

Interpreting regressions results: different scales and variables interaction

I want kindly ask if someone can help me interpreting the results of regression that I need for my master thesis. The model is this : countries are indexed by i and time by t. Dependent variable ...
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0answers
32 views

Should a Price Elasticity of Demand model exclude items that sold out or marked down from the original price

Consider a Price Elasticity of Demand model built with linear regression to estimate the Percent Change in Quantity Demanded given a Percent Change in Price specifically for specialty items which have ...
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1answer
30 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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12 views

Generating Variable frequency

I three variables, zipcode, date (month_year) and name of an installer. I need to generate: 1- a new var that is equal to the number of repetitions the installer name is repeated in month_year and in ...
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28 views

How should I rebase my GDP?

I have a constant GDP data from 1988 to 2009 in constant 1985 prices and GDP data from 2009 to 2017 in constant 2000 prices. My question is how should I rebase my GDP? Upon searching the web, i don'...
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10 views

Transformation of cutpoints in Ordinal Probit/Logit regression

The likelihood for an ordinal probit/logit regression model is given as - $f(y|\beta ,\gamma ,z ) = \prod_{1}^{n} \left [ \Phi (\gamma _{j} - x_{i}'\beta ) - \Phi (\gamma _{j-1} - x_{i}'\beta ) \...
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16 views

How to do elasticity modeling for products where there is slab pricing like electricity?

I have few product categories eg prod1 prod2. Each category have similar products. So prod1 has 3 similar products with slight difference in features and prod2 has 5 products with slight differences. ...
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1answer
47 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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67 views

Regression on default rates and backward extrapolation

Suppose that we have bankruptcy data representative for Small and Medium-sized enterprises in a country. We can therefore calculate default rates. Furthermore suppose that we found that GDP, ...
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6 views

How to use CPI to create Real Prices (Currency) on DAILY frequency data?

I'm working with a dataset and need to devalue nominal currency in dollars to adjust for inflation. The only indices I've been able to find however, have been monthly or quarterly. The range of data ...