Questions tagged [statistics]

Statistics is a branch of mathematics dealing with the collection, analysis, interpretation, presentation, and organization of data. For data requests, use the [data-request] tag instead, or consider our sister site Open Data Stack Exchange.

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Interpretation of regression output for different models

I am quite new to econometrics, hence, not very familiar with interpreting regression outputs. To me, the resources I've found online are quite confusing and cannot give me some practical guidance in ...
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Adding a subscripts for P (price) in equation

I made the following equation for a hedonic model. When I sent it to my teacher to check if it was fine, she told me that I should add subscripts for P so that we know by what it varies. I don't get ...
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Sample size invariance of inequality measures

I am not an expert on inequality, so decided to drop this question. Suppose I analyze inequality of an outcome among different groups with Gini coefficient, I know that the scale of the outcome wouldn'...
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1 vote
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WLS or Feasible GLS?

For a question like this, would I use WLS or Feasible GLS? I am leaning towards WLS but my lecture slides tell me GLS is used when there is more than one variable that drives the residual variance.
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2 votes
1 answer
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Functional form for regression in a hedonic pricing model

I am doing a regression where I use the hedonic pricing model. Hedonic pricing treats a marketed good, usually a house, as a sum of individual goods (characteristics or attributes) that cannot be sold ...
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-3 votes
1 answer
60 views

consistency and unbiasedness of ols estimator

Please explain why the OLS estimator is consistent and unbiased withregard to the equation below \begin{equation} \label{eq:1} C_{t} = \beta_{1} + \lambda C_{t-1} + \epsilon_{t} \end{equation}
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error specification of OLS regression models

Consider the following regression equation * \begin{equation} \label{eq:1} C_{t} = \beta_{1} + \lambda C_{t-1} + \epsilon_{t} \end{equation} and let \begin{equation} \label{eq:3} \epsilon_{t} = \rho\...
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1 answer
45 views

lagged regression equation properties

consider this equation 1: \begin{equation} \label{eq:1} C_{t} = \beta_{1} + \lambda C_{t-1} + \epsilon_{t} \end{equation} If the error term is independently and identically distributed (iid) with ...
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3 votes
1 answer
32 views

Difference between M-estimators and Minimum Distance estimators

I was reading Chapter 22 of Hansen's Econometrics on M-estimators and he lists OLS, Non-linear LS and Maximum Likelihood as examples of M estimators. After a few paragraphs, he also writes "[...] ...
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0 answers
27 views

Wald Statistic with heteroskedasticity on asymptotic inference vs exact inference

I was working on the following proof but I got stuck. I'm trying to show that the next equality holds: $$(X'X)^{-1}X'\mathbb{E}_n[\varepsilon\varepsilon']X(X'X)^{-1} = \mathbb{E}_n[XX']^{-1}\mathbb{E}...
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calculating a marginal effect for logit model

For the logit estimate of the slope parameter,I would like to obtain the marginal effect of the regressor ndisease evaluated at $\Lambda (x'\beta)=\bar{y}$, where $\bar{y}$ is mean of $y$. I obtain ...
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Should I do Chi-square or T-test before running a regression?

In many articles before running a regression authors do T-test or Chi-square test to check if there’s a significant difference between the variables in 2 subsamples. In my case variable of interest - ...
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Did Russia's GDP per capita really fall 38% between 2013 and 2020?

GPD per capita usually goes up over time due to improvements in technology, but Russia's fell dramatically from \$16,000 to \$10,000 in the 7 years from 20131. There was little change in Russia's ...
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Have I completed all the appropriate statistical analysis for my Behavioural Economics Experiment and have I done it correctly?

I have conducted a Behavioural Economics Experiment as part of my Undergraduate degree which I now need to compile an academic paper on. The research questions I am looking to answer are: Does fake ...
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Cross validation as a means of validating fixed effects?

To test whether it is appropriate to even use certain types of fixed effects, would it ever be appropriate to use a cross-validation methodology? Let's say that I have this type of mental model: $$\...
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A Gamma-Weibull distribution for empirical auction model

I am reading Comparing Open and Sealed Bid Auctions: Evidence From Timber Auctions (working paper version) and struggling with getting a log likelihood function about a Gamma-Weibull distribution. In ...
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How to deal with multiplicatively constant and additively constant fixed effects?

From Nick Huntington-Klein, The Effect: Fixed effects is a method of controlling for all variables, whether they’re observed or not, as long as they stay constant within some larger category. How can ...
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Discrepancies of average/median net worth versus home values in USA?

I got a semi-interesting question, I think. Why are there big discrepancies between the average vs median net worth (USA), 746,820 vs 121,760, and the average vs median home values, 453,300 vs 404,...
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How to find the probability that the sample variance (given in the question below) is this low/lower when given the true population variance?

I'm not sure how to answer the question below. I have gone through worked examples and I have the answer for this question as well. However, the answer doesn't really provide any working. There are ...
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1 vote
0 answers
58 views

Utility of both players in St. Petersbourg paradox - behavioural economics

Im reading a paper by Karl Menger [1] about the St. Peterbourg paradox : In the theory of probability, the "Petersburg Game" designates the follow- ing gamei between two persons, A and B. ...
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0 answers
44 views

Computing an Exponential Moving Average

According to the Wikipedia page on moving averages, "This is also why sometimes an EMA is referred to as an $N$-day EMA. Despite the name suggesting there are $N$ periods, the terminology only ...
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0 votes
1 answer
36 views

How to determine ADF test criterion?

I tried ADF test and there are 3 criterions. intercept intercept and trend none I usually decide the criterion after looking at the graph. (For example, if the data is around 0 then choose intercept,...
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2 votes
0 answers
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Clustering Standard Errors for Panel Data with multiple clusters

I have a Group-Firm-Year panel data set (i.e., multiple firms make up a group). Suppose I have exogenous variation at the group level over time. In a panel regression with firm and time fixed effects ...
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1 vote
1 answer
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Unemployment data - registered unemployed > ILO defined unemplyment

I have noticed that in Poland the rate of registered unemployed is higher than the "unemployement" rate. Here are the stats from the Polish regime (by month): Source: https://stat.gov.pl/en/...
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full rank left annihilator matrix

Suppose I have a matrix A= g=[Vfc/(x1Cdc),x4/(x1Cdc),-x3/Cdc;0 0 0;0 0 x1/Lcpl;0 -1/Cb 0] and I want to find the full rank left annihilator matrix B such that B*A=0. I am using MATLAB.
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1 vote
1 answer
111 views

What's the highest percentage of output any country spent on its military?

I was surprised that in 1941: American military spending accounted for 2 per cent of it's national output. Compared to Japan's 70 per cent. 70% seems incredibly high, especially given people still ...
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1 answer
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What are the values in brackets under the estimators value representing?

Please, can you explain me what are these values in red circles representing?
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2 votes
0 answers
71 views

The quadratic form of variance and covariance components

I am reading Kline, Saggio, Solvsten 2020 and am confused about some basic econometric stuffs in this paper. They begin their introduction as below: """ Consider the linear model $$y_{i}...
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1 vote
1 answer
29 views

Filling gap in data with correlated series

I have two time series, of different length. A time series is GDP growth. The gdp growth is the series I need, and it is also the longer series, but it has two gaps in two periods one after the other. ...
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0 answers
15 views

Statistics on Mexican illicit drug exports by country?

Estimates of the size of the total Mexican illicit drug export markets are somewhere around USD 200-650 billion per annum, depending on the source: \$426-652 billion per year \$500 billion \$200-300 ...
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4 votes
1 answer
777 views

Where can I find lorenz curve of countries?

I have been able to find values of Gini coefficient but have not been able to find their corresponding lorenz curves.
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3 votes
1 answer
73 views

Need Clarification of Terms: Innovation v.s. Disturbance

I have been reading some econometrics paper and came across terms "innovation" and "disturbance" of regression models. Can someone please explain to me what they are? I have ...
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0 votes
1 answer
18 views

Theoretical equivalence, experimental distinction between GDI and GDP

Forgive me if this is a naïve or redundant question, I'm about 24h into my study of economics--but I've been trying to research this question and can't figure it out. Why does the national spending ...
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0 votes
2 answers
86 views

Is there any restriction for numerator of variance calculation for population?

When reading things relating to the degree of freedom, I face this document. In this document, there is one part: Standard deviation in a population is: I understand that when we estimate the ...
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2 votes
0 answers
37 views

In economics, what variables do we usually assume to follow an exponential distribution?

In economics, what variables do we usually assume to follow an exponential distribution? I would like as many examples as possible, and it would be great if you have a rationale(economic reason or ...
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6 votes
1 answer
64 views

Precision of language regarding "statistical significance" in Wooldridge's *Introductory Econometrics* (7th ed)

I've been reading Jeffrey Wooldridge's textbook Introductory Econometrics: A Modern Approach (7th edition) in preparation for a class I will be teaching. I've appreciated the precise language he uses, ...
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1 vote
0 answers
12 views

what is 'mid-year estimate' in following chart?

If it is mid-year population then, why it is so less in comparison to 'total population'
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0 votes
1 answer
63 views

Confusion about the jack-knife

Suppose that I am trying to use the jack-knife to estimate the variance of some estimator $E$. If I have $n$ data points, I begin by computing $n$ estimates (call them $B_1$, ..., $B_n$), each ...
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1 vote
0 answers
98 views

Importance of Combinatorics

I would like to know how important combinatorics is. I am an undergraduate student looking to take more math courses and I saw and intro to combinatorics as an option. The reason I am asking is ...
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1 vote
0 answers
16 views

Question on the choice of boundary in the CUSUM test when we make some resampling

Question on the choice of boundary in the CUSUM test when we make some resampling We are considering to make a CUSUM test for some economical time series $𝑋=(𝑥_1,..,x_n)$. Suppose 𝑋 contains many ...
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0 votes
1 answer
45 views

Expected value of order statistics for uniform distribution

I have $X$ ~ $U(0,1)$ interval. Let n=2, i.e. $X_1 < X_2$ I have to calculate the expected value of ${X_2}^{m/(1-m)}$. Where, $0≤m≤1$ I want to confirm if I have calculated it correctly? $$\int_0^1 ...
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1 vote
0 answers
35 views

Maximum of conditional expectation

I have a statistics question for the insider problem in the Kyle (1985) model: How does one go from $\max\limits_{X} E[(v-\bar{v}-\lambda(X+u))X|v]$ to $\max\limits_{X} (v-\bar{v}-\lambda X)X$ ?
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2 votes
2 answers
75 views

Difference-inDifference model with Discontinued Treatment

I have a situation where I observe two groups A and B for three years. Group A never received any treatment. Whereas group B received treatment in year 2 only. I can estimate the impact of the ...
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1 vote
0 answers
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Is more opium produced legally or illegally?

I've had a hard time finding statistics on legal and illegal opium poppy production. At the UNODC we find facts like: global [illicit] opium production fell by almost 30%, to less than 5,000 tons in ...
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4 votes
0 answers
63 views

Joint significance test in a difference-in-differences setting

I ran the following difference-in-differences regression in software and have some questions about the interpretation of the resulting coefficients and their (joint) significance: $$ P_{it} = \gamma_i ...
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0 votes
0 answers
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rebasing an index with inconsistent ratios between old and new data points?

I have a question about rebasing indices, hoping someone might be able to help. I'm working with two sets of index data for residential property prices from the Australian Bureau of Statistics. the ...
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4 votes
1 answer
93 views

How to interpret fixed effects?

I want to interpret the output of a fixed effects regression and need help with interpreting the country-fixed effects. The regression is the following: ...
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1 vote
1 answer
304 views

Does random sampling cause zero conditional mean?

In the lecture notes of my development economics class, it says that " In the regression model : Yi = β0 + β1Xi + ui, if Xi is randomly assigned, then Xi is independent of ui, i.e., E(ui|Xi) = 0, ...
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1 vote
2 answers
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How can anyone possibly predict how the price of anything (stocks, Bitcoin, fiat, etc.) will change without "insider knowledge"? [closed]

Other than the fact that all centralized (and thus "quick") exchanges require KYC/AML nonsense, making it impossible for me to have an account there, I've never dared to even try once to &...
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0 votes
1 answer
33 views

Advice on method for analyzing the effects of increase in minimum wage

As a hobbyist and generally curious person with a lot of free time at home, I was curious what would be a good method to analyze the effect of an increase in the minimum wage of a country if you only ...
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