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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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 ...
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2answers
2k views

Regression on a constant

If I have observations of $y_{i}$ and $x_{i}$ which are i.i.d. I also have OLS assumptions such as $E(\epsilon_{i} \mid X_{i})= 0$, my qustion is: If I project $y_{i}$ onto a constant $\mu$, that is, ...
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0answers
141 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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1answer
250 views

Appropriate estimator for FDI “gravity” model

I am trying to model Foreign Direct Investment (FDI) flows and am facing several issues; There is the well-known condition that under heteroskedasticity log-linearized OLS models are biased and ...
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1answer
46 views

Statistics: Understanding confidence interval [closed]

In R I have used lm()to fit a model. Then I use the confint() function to learn more about the slope. How to I understand the ...
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2answers
120 views

interpretation: linear regressions with both unit dummies and time dummies

Suppose I have a panel data with N units and T time periods. For model 1 with only unit dummies: $$y_{it} = \text{intercept} + \beta_1 x_{it} + \sum_{j = 2}^{N}\delta_j I\left(i = j\right) + \text{...
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1answer
77 views

How do I calculate the impact of an independent variable on a dependent var. when the independent var. changes from 0 to some positive value?

I will try to explain my question using two production functions here. Let $Y$ = Yield of a certain crop (tons/hectare) Assume yield (output) is a function of two inputs, $Y = f(N,I)$, where $N$ = ...
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3answers
5k views

What is the difference between a transitory and a permanent shock?

In my study of time series regression models in econometrics, we are discussing basic time series regressions and interpreting the effects of shocks in finite distributed lag models. I was wondering ...
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1answer
169 views

How to specify a Diff-In-Diff Regression with multiple time periods?

I'm working on analysing experimental data for a thesis project. The data consists of subjects performing the same task over five rounds, and I'm interested in the difference in trends between ...
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31 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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1answer
60 views

Regression of first differenced log-transformed model

I am cosidering to transform a regression equation applying logarithms to the dependent and some of the independent variables (the ones I am actually interested in while leaving unchanged the others ...
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134 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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Taking logarithms of variables [closed]

It is common to taking logs of variables when perform a regression analysis. But the observations will become negative after logs transformation when it is less than 1. Is this the possible concerns? (...
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130 views

Calculate coefficient estimates [closed]

I am studying computer science and enrolled in an econometrics class. As of this I have very basic understanding of the subject. I am trying to figure out the following question but don't know where ...
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3answers
174 views

Can I use calculated data for regression

Can I use calculated data for regression analysis. case 1: first run OLS $y = \alpha+\beta x$, and get $\hat\beta$, then calculate $z = h^\hat\beta$, at last run $m = \gamma + \mu z$. case 2: follow ...
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1answer
68 views

price elasticity of output, makes sense?

I was wondering, in a log-log model of output, labour and commodity price where output is the depedent variable, does it make sense if the coefficient on the price variable is interpreted as the "...
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14k views

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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1answer
2k views

Oaxaca decomposition - Interpretation Interaction

I am running a Oaxaca decomposition on trends in paid work (similar to this paper) The estimates are expressed in minutes. The total change shows an increase in about 30 minutes between Period 0 and ...
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32 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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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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566 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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2answers
1k views

Why isn't the “annihilator” matrix a zero matrix?

I am struggling to understand why M is not null since: $$\mathbf M=I−X(X′X){^-}^1X′=I−XX{^-}^1X'{^-}^1X′=I-I=[0] $$ What's wrong with that reasonning?
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1answer
5k views

How do I calculate price elasticity of demand using historical price and quantity data?

I work for a company that produces retail items and I am tasked with calculating the price elasticity of demand for a subcategory that shall remain unnamed. I have 5 years of monthly market data that ...
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0answers
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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3answers
294 views

Intuition behind fixed effects estimator

I understand that the fixed effects estimator in a panel model (say, individuals, $i$ across years, $t$) can be understood either as a including a dummy for each $i$ or running OLS on the time demean-...
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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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1answer
191 views

Is a hedonic regression a reduced-form?

If house prices are a function of location, physical characteristics and an error term i.e. house_price = f (location, physical, e) And I estimate a regression with the log of house price as my ...
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1answer
362 views

Which regression technique is used for calculating price elasticity in practice

Since we need to consider 'Endogeneity' between price and quantity while calculating price elasticity and since linear regression cannot handle the phenomenon of endogeneity if objective of the model ...
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1answer
681 views

Price elasticity when relationship between sales, price and other factors is not linear

For commercial deployment, price elasticity is calculated through linear regression which assumes that there is a linear relationship between price and sales. I have a)price and b)social media ratings ...
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144 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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2answers
47 views

Conditional Mean and Linearity

The conditional mean of $Y$ given $X$ is:$$E[Y|X]=\int yf(y|x)dy$$ What is the relation to the linear model? I have read somewhere that when X and $Y$ are normal (their marginal ...
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1answer
78 views

RDD, wages, and day of birth

What I am doing: I use the regression discontinuity design (henceforth RDD) to study differences in wages received by people born at the end of the year and by those people born at the beginning of ...
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69 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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2answers
733 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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1answer
74 views

Stata code for linear regression that controls for state effects

Someone told me I should put a variable in my regression to see the state effects. (States in the United States) So he wrote this code and said to put in my variables where the ... is. ...
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1answer
372 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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1answer
699 views

Regression with weights

I have a question regarding weighing observations by importance. Suppose I am running the following regression:$$log(y_{it}/y_{it-1})=\alpha+\sum_{i=1}^{N}\gamma_{i}Country_{i}+u_{i}$$ where ...
2
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0answers
70 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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1answer
42 views

Alternative normalisation to triangular restriction on cointegrating vectors

Johansen recommends that cointegrating vectors must be normalised for inference making purposes. All software packages use triangular normalisation of the cointegrating vectors i.e. the top $r$ by $r$ ...
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3answers
6k views

Robust Standard Errors in Fixed Effects Model (using Stata)

I'm trying to figure out the commands necessary to replicate the following table in Stata. This table is taken from Chapter 11, p. 357 of Econometric Analysis of Cross Section and Panel Data, Second ...
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0answers
231 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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3answers
123 views

More complex than simple and multiple regressions?

I am currently in an Econometrics class that requires us to write a research paper that showcases our skills in regression/ modeling. What is slightly more complex than simple and multiple ...
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2answers
546 views

Estimating price elasticity of demand

I have 25 quarterly observations and I want to estimate price elasticity of demand. I intented to use GMM-IV estimator. However, I read that it is not good for small samples. What can you suggest me? ...
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1answer
44 views

Longitudinal microdata on house migration patterns

I am looking for a database that has longitudinal microdata for housing migration patterns. Optimistically, the data would look something like: In 2006, Person #2341 made $X, was Y years old, and ...
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1answer
161 views

Literature on factors affecting number of houses built

Is there any existing literature on the various factors affecting the number of houses constructed in a particular city over, say, a given month? Factors might include: quality of housing stock, a ...
3
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1answer
434 views

Does it make sense to 'deflate' a sectoral price index in a regression analysis?

For instance, if one is running a regression with deflated prices for a given year and one of the independent variables is a price index for a given sector, does it make any sense to 'deflate' this ...
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2answers
237 views

How do I choose the correct model for a regression?

So the central question of my project is to what extent does a country's level of export contibution towards GDP (i.e. exports as a % of total GDP) affect its GDP growth. I'm comparing this ...
3
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1answer
97 views

How to find the long-run relationship using this regression (3rd time posted)

This is an old exam question I can't figure out. I thought to find the relationship you would sum the coefficients on the Ys, so it would be 0.80 + 0.70 - 0.10, giving you C = 1.4Y, but this isn't ...
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1answer
40 views

rotating and exchanging x for y's in regression

I was just wondering what happens generally if i send all my x points to y's and y's to x's (i.e reflect along the y=x line) - if I change the x's and y's will my old error minimizing line still be ...
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1answer
320 views

Alternative way of deriving OLS coefficients

In another question of mine, an answerer used the following derivation of OLS coefficient: We have a model: $$ Y = X_1 \beta + X_2 \beta_2 + Z \gamma + \varepsilon, $$ where $Z$ is unobserved. Then ...