Stack Exchange Network

Stack Exchange network consists of 174 Q&A communities including Stack Overflow, the largest, most trusted online community for developers to learn, share their knowledge, and build their careers.

Visit Stack Exchange

Questions tagged [statistics]

Statistics is a branch of mathematics dealing with the collection, analysis, interpretation, presentation, and organization of data.

0
votes
0answers
14 views

Prediction Band Interpretation

I saw online that prediction band is interpreted as "95% of datapoints will fall in this band." I found this interpretation a little bit misleading. What are the data points they are speaking of? ...
0
votes
0answers
32 views

How to manage lagged expectations of current values in econometric models or current expectations for future values

I have a question, I think elementary but it has to me stoped, about expressions like $E_{t-1}X_t$ or $E_t X_{t+1}$ or $E_tX_{t+j}$, $j=1,2,\dots$. I know that $E_{t-1}X_t = E(X_t|I_{t-1})$ where $...
1
vote
0answers
11 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 ...
0
votes
1answer
14 views

Does a tighter spread between occupancy and stabilized occupancy indicate higher demand?

I'm trying to understand how to think about real estate markets and how to identify markets where there might be strong demand for additional housing (I'm looking at senior housing in particular) and ...
1
vote
0answers
46 views

How to interpret Mincer equation coefficients

Consider the Mincer model: $\log(y)=b_0 + b_1S + b_2E + b_3E^2+u$ where S is schooling, Y is salary (monthly) and E is experience. I want to verify the following statements: The return for 1 extra ...
0
votes
1answer
12 views

Separation of base and momentum effect

I am calculating YoY change in macroeconomic variables (inflation, industrial production etc.). However this growth is distorted by low base of last year. Currently I am using 2 year cagr to adjust ...
0
votes
1answer
21 views

Explain some All countries excluding residents in BIS Debt Securities Data

In the BIS Debt Securities statistics: In both column "issueresidence" and column "issuenationality" there is a category called "All countries excluding residents". I do not understand what it means. ...
0
votes
0answers
5 views

US holdings of foreign securities is measured in Gross value or Outstanding?

In the annual reports of US Treasury on US holdings of foreign securities, the amount of holding is usually named as "total holdings...as of {date/year}". Is it the amount of only the year of report, ...
0
votes
0answers
30 views

Estimating the labor force responsible for a percent of GDP growth

I am looking to estimate the employed labor force responsible for 67% GDP world GDP growth. According to this Brookings report, the 300 largest metros in the world accounted for 67% of GDP growth. I ...
1
vote
0answers
10 views

Group-level random effect correlated with within-group independent variable

Dear StackExchange community, Question: According to, e.g., Wikipedia, random effects models assume "that the individual specific effects are uncorrelated with the independent variables." I ...
0
votes
0answers
18 views

Is delivery-capability (in economics) a probability?

A dealer with a large, but finite stock counts for 1 year a = the number of all purchase inquiries that reach him this year and b = the number of purchase inquiries that he can deliver on the ...
0
votes
0answers
208 views

Is Gaussian distribution the proper choice for step in financial time series? E.g. DJIA ROI suggests Laplace instead

Data compression uses Laplace distribution ($\rho=\exp(-|x-\mu|/b)/2b$) for probability distribution of differences, while I see it seems economy uses Gaussian distribution everywhere (?), e.g. in ...
1
vote
1answer
116 views

Did I calculate the expected value and the variance correctly?

I have the following assignment to solve but I'm not sure if I solved it correctly. Questions Let the stochastic process $(Y_t)_t$ be defined by $Y_t = \mu + Y_{t-1} + \varepsilon _t$ with $(\...
1
vote
0answers
14 views

What is the size of European SMEs in case of money flow and revenue?

I want to focus my product on SMEs (B2B financial service). So to research the market size I decided to check the numbers first. I had not a very productive time studding EU statistic data on their ...
7
votes
5answers
277 views

Lack of skilled IT workforce, but they do not raise wages

In my country, Portugal, many IT companies are always complaining in media regarding the lack of skilled IT workforce, but they do not raise wages. We have statistical data from the government that ...
0
votes
1answer
291 views

Quarterly GDP growth: YoY vs QoQ / terminology

Quarterly GDP growth can be calculated either in terms of YoY change or - in the case of seasonally adjusted data - in terms of QoQ change. (A third option would be to annualize the QoQ rate.) To ...
1
vote
1answer
25 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 ...
2
votes
0answers
36 views

Comparing relative change for different base value

I need to compare change in employment size for a sample of companies. I could use percentage change, however, the problem with it is that when the base is small, a small absolute change result in a ...
0
votes
0answers
27 views

Suggestions on mathematics textbooks tailored for stochastic time series?

In a graduate-level economics course learning economic modeling with mathematics that I'm contemporaneously refining. The consequence of graduate schools dropping the whole notion of a prerequisite -- ...
1
vote
1answer
83 views

Learning Suggestion to better understanding on Advanced Microeconometrics (Master Degree Level)

I am studying master in Economics and currently taking the compulsory course of Econometrics in which I have problem in understanding the materials. It is a must for me to pass this course in current ...
7
votes
2answers
80 views

Do people really care about higher moments?

I have heard that people often handle uncertainty using point estimates not probability distributions. However, I have been unable to find any evidence for this in the heuristics and biases literature....
0
votes
0answers
27 views

Regression: Durbin-Watson Test

My preferred model has an 'inconclusive' result for the DW test. Is this a classified as a failing of one of the Guass-Markov conditions? or can it be assumed that there is no autocorrelation in the ...
1
vote
2answers
60 views

Econometrics: Omitting a significant variable

Im currently doing a project to construct a demand function for Meat & Fish. My data indicates that Price of Fruit & Veg is individually statistically significant. However, after a omitting ...
2
votes
1answer
26 views

Dimensional analysis for the qdf/quantile function corresponding to the pdf/CDF for the size distribution of income

I have previously posted a very similar question on Stackoverflow, but based on responses there I have decided that the real nub of my question is economic. I will give a longish introduction, mainly ...
0
votes
0answers
21 views

Polynomial on negative varibale

I'm running a hedonic regression model looking at the effects of school quality on the residential property market. Test scores are the school quality measure, and I've standardized the test scores ...
1
vote
1answer
38 views

What is the name and the mathematical model of this effect

Consider the case when some economic variable affects some another (for example, interest rate affects price index) because it involves human decisions. The effect is not immediate and would take some ...
0
votes
0answers
28 views

Taking regression analysis class in the department of statistics: is it helpful?

I know regression analysis is the part of econometrics. I took econometrics in the past, but I want to study this subject more deeply because I am planning to go to graduate school. I heard from ...
2
votes
4answers
90 views

About studying econometrics in undergraduate

I’m currently undergraduate student studying economics and mathematics. I took econometric class and mathematical statistics class last semester. So during the vacation, I decided to study ...
-1
votes
1answer
61 views

Stochastic process difference equation: stationary distribution

How can I find the stationary distribution (as t goes to infinity) of stochastic difference equations in the form: $x_{t+1} = a*x_t + b*N(0,1)$ where N(0,1) is a standard normal pdf I have ...
0
votes
0answers
18 views

Additions of income recipients and the Gini coefficient

Consider the expression for the Gini coefficient where $\mu$ is the mean, i.e., $\frac{1}{2\mu{n^2}}\Sigma^n_{i=1} \Sigma^n_{j=1} |y_i-y_j|$. How does it change if we add one more entry $y_{n+1}$ to ...
0
votes
1answer
25 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 ...
0
votes
1answer
47 views

Difference between $x$ and $X$

Sorry for my bad english, i'll try to explain my difficulty. 1° Question In the last exam an exercise asked to derivate OLS estimators and calculate their value with the data provided (ex.: $\sum ...
2
votes
0answers
54 views

Conditional maximum likelihood of AR(1) UNIFORM PROCESS [closed]

Let $Z_t = \phi Z_{t-1} + u_t$ where $u_t \sim uniform[-1,1]$ and $|\phi|<1$ I I am facing problems coming up with conditional maximum likelihood estimate of an AR(1) process with uniform errors. ...
0
votes
0answers
43 views

How to prove that restricted OLS estimator's convergence in probability

I'm solving an econometrics problem about convergence in probability and I cannot prove it properly. The problem is below. Let $\tilde{\beta_R} $ be the restricted OLS estimator and $\tilde{\sigma^2} ...
0
votes
0answers
14 views

What are the growth rates projected in the pending US Tax bill? (2017)

I haven't had time to get very granular on the pending US tax reform bill, but during the debates and drafting process, I was hearing some pretty big numbers being thrown around in terms of growth. (...
1
vote
0answers
19 views

Approximate factor model: Weakly correlated and eigenvalue

To my best knowledge, in Ross's APT, it is assumed that the pricing model is the exact factor model. Chamberlain (1983 ECTA) expanded it into the approximate factor model. In the exact factor ...
0
votes
3answers
992 views

Question about violating the zero conditional mean assumption

Question for y'all with a background in econometrics. Does the zero conditional mean assumption rely on complete randomness in a trial when doing regression analysis? For example, if I was testing ...
0
votes
1answer
28 views

How to interpret increases in percentage with different sample groups

Apologies if this question is not worded very well - this is not really my field of expertise but I'd like to see how to correctly understand some data. Let's say I am studying the increase in cases ...
1
vote
2answers
40 views

How do international organizations collect statistics regarding a country?

How do international organizations like IMF, WB, and CIA Fact Book collect statistics regarding a country's economic indicators? What is their primary source of information?
2
votes
2answers
54 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 $$[1] \quad E(u|x)=0$$ ...
0
votes
3answers
101 views

CAPM goodness of fit

I want to test the CAPM. I have collected monthly data from 1-9-2012 to 1-9-2017. I have data from the return of Standard&Poor's 500 and data from various US companies. The beta's seem right, but ...
4
votes
3answers
72 views

Clustered standard errors

(My research question is economics based, but for simplicity, I'm using a non-economics example) Suppose I'm trying to find out whether average body temperature of a population is equal to 37 degrees ...
3
votes
1answer
64 views

What is the standard error on quarterly GDP figure? [closed]

The government and media seem to judge whether it is in a good economy right now based on its quarterly GDP figure. However, I wonder how its figure is trustworthy. Even if the quarterly GDP is +1.2%,...
3
votes
2answers
133 views

How prevalent is the use of machine learning among economists?

I wonder how machine learning, particularly deep neural net which is considered the state-of-the-art among many data scientists, is used among economists, or other experts who is in in the similar ...
3
votes
1answer
40 views

Simplifying a monoplist's objective function under incomplete information

I am working through Rochet and Stohle (2003) chapter on multi-dimensional screening, and I am struggling filling in the blanks between equation (2.1) p. 154, and its simplified form on page 155. In ...
0
votes
1answer
23 views

Is there a statistic that shows which countries would be owed money if all external public debts were payed immediately?

The media loves to tout big debt figures whenever there is an economic crisis, but unless we know who owes money to who, it seems to me that these figures are useless since debt is all relative. I ...
0
votes
1answer
41 views

What does this graph mean?

I know little about economics and am very confused on what this graph represents. I found it when I saw that the President had tweeted it and was wondering what it mean. Specifics what "Jobs ...
0
votes
0answers
26 views

Analysis of panel data with some data not recorded across all time points

I am currently analyzing a panel data-set which records mothers self rated health, BMI and health behaviors across three time points, five years apart each. As this is panel data, following the same ...
0
votes
0answers
34 views

Proving Causality Of Purchases

I am trying to understand the following: do more customers purchase an item because it is discounted 'now' vs just brought it because its on discount 'now'. Different products are discounted at ...
0
votes
0answers
27 views

ARMA GARCH estimation gauss

I am trying to estimate the parameters of an ARMA-GARCH (p,q,P,Q) model. According to the literature I have read. I used the following formulas: $ \left\{ \begin{array}{lll} X_t - c_0 = \sum_{i=1}^P ...