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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1answer
44 views

Multivariate linear regression: how to test for whether the slopes are the same?

If I regress wages on education and the dummy variable gender using a linear conditional expectation function (wage = a + b(education) + c(gender)), how can I test that the slope b is the same for ...
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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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34 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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2answers
237 views

Unbiased but inconsistent estimator [closed]

Assume a random sample X1, ..., Xn with a normal distribution with mean μ and variance σ2. How do we know the following estimator is unbiased, but inconsistent?
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1answer
44 views

Justification for my Random Effects estimation

I need to defend my use of the Random Effects (RE) estimator in my economics project. I've been told in cross validated that the proper place for the question is here. The causal effect of the ...
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18 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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0answers
123 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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18 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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11 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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1answer
84 views

Linear Regression Assumptions of Homoskedasticity

When I studied linear regression analysis, one of the assumptions taught was that of homoskedatiscity. I understood that homoskedasticity was required for significance testing on the coefficients. ...
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1answer
91 views

Why does instrument exogeneity imply conditional mean zero?

In the following slide ECON4150 - Introductory Econometrics Lecture 16: Instrumental variables, Monique de Haan it says that "instrument exogeneity implies $E[u_i \mid Z_i]=0$" where instrument ...
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1answer
51 views

Dummy variable regressor OLS coefficient formula

Consider the standard linear regression model: $y_i = \alpha + \beta D_i + e_i$ where the coefficients are defined by linear projections and $D_i$ is a dummy variable. In the population, the ...
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2answers
58 views

When is an OLS parameter unchanged on a subsample?

There is a sample of $n$ observations, each element has a numeric $Y$ and $X$ characteristic. There is an OLS regression over the sample $$ Y = b_0 + b_1 X + \textbf{u}, $$ $\textbf{u}$ being the ...
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26 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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1answer
26 views

Is there any specific distribution that is recommended for modelling individual income?

I'm a statistician and my colleagues work with income data every now and then, but they usually apply some arbitrary cut-off and go with logistic regression. I know there's an infinite range of ...
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2answers
81 views

Does the linear probability model require the regressand to be zero/one-valued?

Typically, the dependent variable in a linear probability model (LPM) is a 0/1-valued binary variable. What if the dependent variable $y_i$ is still binary but take on general values $a$ and $b$ ...
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1answer
33 views

Subset of Data in a gravity model

In my last subject of studies I am analyzing trade costs in a gravity model, e.g. multilateral trade resistance and bilateral trade resistance terms. The gravity model assumes world trade. However, I ...
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1answer
523 views

Confounding versus endogenous variables. What is their relative hierarchical position?

There are valuable resources on the lexicon of types of variables quickly accessible, such as here. However, some of these concepts appear side-by-side often enough to make them confusing. For ...
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0answers
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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1answer
34 views

Multiple regression

How can I test in a multiple regression model whether a drop of 1% in $x_1$ will cause a larger effect than a 1% drop in $x_2$, given that I used the growth rates of my dependent and independent ...
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2answers
440 views

conditional mean and conditional median

In Wooldridge's book (Page 452), it says When linear absolute deviation (LAD) methods are applied alongside OLS, thre are often reasons to think a priori that OLS and LAD will not produce similar ...
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1answer
71 views

Controlling for interaction effects

In a recent paper, Edelman et al. examine (amongst other things) how discrimination on AirBnB varies with the characteristics of hosts. First, they conduct a field experiment which involves sending a ...
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1answer
55 views

Constant Regressor in GLS

Consider the following regression model: $y_{i1}=\beta_1 +u_{i1}$ $y_{i2}=\beta_{21}+\beta_{22}x_i+u_{i2}$. If $E(x_i' u_{i1})\neq 0$ and $E(x_i' u_{i2})=0$, will we get consistent estimators ...
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1answer
52 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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1answer
27 views

How to get the effect of one dummy variable against many others?

I have the following regression: wage = constant + (beta1)*michigan+ (beta2)*california+...+(beta49)florida+(beta50)education + u where michigan is equal to one if the person is from michigan and ...
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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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3answers
143 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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3answers
98 views

Does endogeneity matter when neither independent variable nor error term are correlated with dependent variable?

if the double arrows show that X and the error term are correlated, but that neither variable affects Y, is endogeneity a problem in this scenario? Why or why not?
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1answer
189 views

Proving consistency of quantile regression estimators

I have asked the question on the statistic section on stack exchange, but no one was able to give me an answer. I think this is actually is a question that touches econometrics so I am going to ask it ...
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1answer
101 views

Regression - Testing for autocorrelation in the presence of heteroscedasticity

I have constructed a linear time series regression model and estimated the parameters by applying OLS. I now want to test wether the assumptions for proper large sample inference (asymptotic Gauß ...
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1answer
28 views

Ttest and heteroscedasticity problem in no intercept model

I was running a t test over two regression betas with the assumption of equal variance. I know that if the condition of homoscedasticity do not hold then there are chances to have type 2 error but ...
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1answer
1k 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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1answer
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Multiple regression.

How do I plot a multiple regression graph? Shall it be a many dimensional plane(equals to number of explanatory variable)? Or will be the line for each beta, since the slope or beta is the partial ...
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2answers
405 views

Testing for Endogeneity

I apologize if this question is very basic. I have the following plain vanilla Instrumental Variable model. $Y=\alpha+X\beta+\varepsilon$ $X=\delta+Z\gamma+\eta$ $\varepsilon\perp\eta,\quad Z\perp\...
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4answers
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Alternative to linear regression

I'm third year economics student and all econometrics we had so far and basically all empirical studies in economic subjects we had so far are linear regression. Is there any alternative, can anyone ...
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1answer
251 views

Equilibrium Price - OLS Regression

I have asked another question related to price elasticity, which pretty much left me with this problem: I want to analyze the factors influencing the price of a product. The underlying assumption is ...
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2answers
669 views

Including (demand) price elasticity in a price regression model

I am wondering how to include price elasticity (demand side) in a linear price regression model that is based on asuming price is the result of demand=supply. Constructing a price regression under ...
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2answers
58 views

Conditional independence and no correlation

I have a question regarding basic econometrics. Consider the model $$y_i=\alpha +\beta x_i +u_i$$ I understand that assumption 4 of the linear regression model states $$[1] \quad E(u|x)=0$$ ...
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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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2answers
501 views

Regression over the whole population

What's the meaning of the standard error of a coefficient in a regression when the whole population is included? I've been so puzzled by this question. Because it seems to me, standard errors make no ...
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2answers
212 views

Monthly average rate of discount, 3 month Treasury bills, Sterling Vs 1 Month

I have been advised by one of my professors to use UK treasury bills for a risk free rate when calculating expected returns for stocks. I wanted to know whether I should be using 1 month T-Bills or 3 ...
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1answer
102 views

Regression with Dummy Variables

When I analyzed a data set with two categories, I used a dummy variable $z=1$ for category 1, and 0 otherwise, and added the extra term $\beta z$ to the regression model. Suppose the least squares ...
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1answer
358 views

Independent identically distributed

When we are talking about the least squares assumptions, one of the assumpions is that (X,Y) are i.i.d. What bothers me is that if we take an example population and research distributions of age and ...
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1answer
739 views

price elasticity: Linear regression low r square

I faced an interview question for a job where interviewer asked me suppose your r square is very low (between 5 to 10%) for a price elasticity model. How would you solve this question? Anything that ...
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1answer
434 views

Fama Macbeth and double clustering presents inconsistent results

I have a large unbalanced panel data with 460 firms and 1259 days. The model I would like to run is below $$ Y_{it} = \beta X_{it} + \alpha Z_{t} + \epsilon_{it} $$ where $Y_{it}$ is stock return, ...
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1answer
127 views

RDD with multiple cutoffs

I am trying to study the effects of a policy on educational attainment of individuals (years of schooling, primary/secondary school completion, literacy). Since the policy starts in a specific year I ...
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0answers
157 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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1answer
63 views

Positive interaction term with one negative component?

Say I have an augmented growth regression, where my Y is GDP growth, and my Xs are the classical MRW variables, + international aid + corruption + the interaction term between the two. Basically, I'm ...
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1answer
233 views

Problem of generated regressors [closed]

I use data (adv. labor and wage) through a nonlinear model to recover the unobserved data (use fsolve in Matlab to solve this system of equations) and run a regression of labor (or wage) on these ...
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2answers
55 views

what mathematical function we can use to show house price changes in time? [closed]

I want to know if I have data of house prices of an area in time, what mathematical function will best fit it's graph? Or in other word, what function I could use that in time $t$, $f(t)$ will be a ...