# 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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### 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 ...
35 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 ...
36 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 ...
238 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 ...
903 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 ...
513 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, ...
67 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 ...
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 ...
391 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 ...
708 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 ...
20 views

### Is this weighted least squares or just weighting the dependent variable

I am a little confused as to what the following line means. Do the authors mean they run a weighted least squares using the sample size as weights, or just weight the dependent variable using the ...
31 views

### How to design / interpret a difference in differences regression [closed]

I have a set of active scientists and editors. I want to study the effect that becoming an editor has on the different outcomes of a scientist (such as citation count and publication rate). I decided ...
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 ...
65 views

### 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 ...
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 ...
38 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. ...
46 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'Ī²) such that the expression (...
96 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 ...
18 views

137 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 ...
33 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 ...
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 ...