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
436 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
160 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
34 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
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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27 views

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
490 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
5k views

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
362 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
1k 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
64 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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36 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
864 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
259 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
113 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
389 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
1k 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
564 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
139 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
183 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
66 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
258 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
115 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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153 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
276 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
50 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
135 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
86 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
7k 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
277 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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0answers
37 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
88 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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0answers
153 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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2answers
78 views

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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0answers
141 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
210 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
94 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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3answers
27k 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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0answers
34 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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0answers
659 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
2k 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
6k 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
52 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 ...
3
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3answers
397 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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0answers
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 ...
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1answer
231 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
422 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
775 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 ...