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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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4 votes
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Proof Mean with a Smaller Sample Size is a Mean Preserving Spread

I am attempting the following exercise from Annie Liang's excellent lecture notes: I have written an attempted proof (below), but I'm worried about the independence assumption I make. In particular, ...
matthewoulton's user avatar
1 vote
0 answers
36 views

What is the proper way to derive risk definitions from utility functions?

In typical mean-variance analysis, the risk-adjusted relative value of an individual asset takes the general form $\frac{\mu}{\sigma^2}$ with further weighting and normalization depending on the ...
Machinus's user avatar
1 vote
1 answer
31 views

Conjugate priors and Bayesian update

In a paper by Cyert and Degroot (1974) (Rational Expectations and Bayesian Analysis, in Journal of Political Economy), authors use Bayesian update for an uncertain parameter. They have a model for ...
optimal control's user avatar
-1 votes
1 answer
26 views

How can power laws be used as a tool in the real world?

Can power laws be used as a tool to gain advantage in the real world by helping choose what to focus on? My current understanding is that a power law is a relationship between two variables $Q$ and $q$...
kyopa's user avatar
  • 99
2 votes
0 answers
29 views

Value of a forecast

I am looking for quantitative measures for the value of a forecast. A forecast is more valuable to me if it tells me things that are not already implied by the conventional knowledge todate, and the ...
Shaibal Roy's user avatar
0 votes
0 answers
38 views

How to interpret detrended data in GDP modelling?

So I detrend 5 variables that I fit in an Almon model to predict GDP. The problem is beforehand I detrend them and their values become much smaller. Also, I detrend the GDP itself and it becomes ...
J_Bake's user avatar
  • 1
0 votes
0 answers
11 views

How does scaling/decomposition of data affect interpretability?

I have time series GDP growth rate data that I use as my Y and other X variables that I put into neural networks to make predictions. The two questions that I have are: When I decompose my GDP_growth ...
user47457's user avatar
1 vote
0 answers
48 views

Help with Simulating a Time Series Process in R

I'm having difficulty expressing the following process in its most reduced form. Every time I try to simulate it with the arima.sim function, I end up with a non-stationary AR part that cannot be ...
NoNameBoyy's user avatar
4 votes
1 answer
406 views

"Derivative" of an indicator function

I am studying a paper where I have the following indicator function: $\text{I}(i) = \mathbf{1} \{ \eta^* - \eta(\beta(i)) + u(i) > 0 \}$ where $\beta(i)$ is taken from uniform distribution $U[\chi-\...
Dario's user avatar
  • 85
1 vote
1 answer
36 views

Owner's rent or Rent?

Would you please explain the difference between these?As I know somewhat what their meaning, I can't understand what the second concept. In addition, I wonder the second one is more important ...
Alen Alenn's user avatar
2 votes
2 answers
78 views

Significance Test for Inequality Index

I am curious, is it logical to implement the significance test for an inequality index, in order to interpret it. Consider Theil's T index is for the consumption inequality for year 2016 is $T_{2016}=...
Tunay Sabri Yüksel's user avatar
0 votes
0 answers
18 views

How do I construct an analysis on the following question in applied financial econometrics?

I want to know how to make a thorough analysis by comparing the following regression outputs. The regressions are estimated using the Arbitrage Pricing Theory (APT) with the second one testing for ...
apexfinancee's user avatar
2 votes
0 answers
42 views

AIC Calculation

Our object is calculating AIC, and we are unsure whether we can use our measure below when calculating AIC. The following are the data from the experiments and our method to calculate the information ...
Hyeonggyun Ko's user avatar
0 votes
2 answers
180 views

Ratio of two Jensen inequality

I have these pair of numbers $ (a, b) = (\frac{4}{9}, \frac{1}{9}) $ and $(c, d) = (\frac{1}{2}, \frac{1}{6}) $. (Number mean nothing, just for illustration and simplification) Note that - (a, b) are ...
Elina Gilbert's user avatar
0 votes
1 answer
75 views

US population growth: "natural increase" vs "fertility rate"

Based on the 2017 US Census population projections through 2060, specifically table 1 (Projected population size and births, deaths, and migration), the "natural increase," which is US ...
causative's user avatar
  • 131
0 votes
1 answer
105 views

Show withdraw funds from trading account in Google Sheets

I am tracking my portfolio in Google Sheets. I have columns like daily NLV, % and value change etc. This stats are used to calculate some extra data and draw performance charts. Now, I want to ...
vlad popov's user avatar
0 votes
1 answer
55 views

Am I calculating the Gini coefficient correctly?

I calculated the Gini coefficient through a statistical program (MATLAB), and it came out much larger than I expected. I think I got the Gini coefficient formula right, but I don't know where I went ...
user_A's user avatar
  • 13
1 vote
0 answers
21 views

How to handle missing median and mean values for a panel dataset when a full subdivison is observed?

I am creating a panel dataset for earnings based on English local authorities (local administrative districts). In 2009 and 2019, some local authorities were combined to create a single local ...
CorporateNationalism's user avatar
0 votes
0 answers
30 views

Vector Visualisation of regression model vs scatter plot style

I wrote another post discussing the intuition of visualising OLS regression. I wanted to go a bit deeper here visualising the difference between a vector/matrix approach, and the non-linear algebra ...
CormJack's user avatar
  • 991
0 votes
0 answers
52 views

Intuition of Linear Algebra visualisation for regression

Question: I want to clarify my understanding of the basics of OLS regression in matrix form. Let's assume we have 2 different independent variables $x_1$ and $x_2$. Our 'model' will be the plane that ...
CormJack's user avatar
  • 991
1 vote
2 answers
51 views

Including Controls for Relevance Test in First Stage Regression of IV?

I am conducting an instrumental variable approach (IV) in my paper, and I am puzzled how to correctly test for the relevance / strength of the instrument assumption. I recently read in a paper by ...
Susn's user avatar
  • 21
0 votes
0 answers
43 views

Errors in variable, statistics/econometrics, measurement error

I didn't understand the deduction involving Plim. Why do the Plim of the terms on the left translate as variance in the first two cases? here is the continuation of the print. were i have the question
badanomics's user avatar
4 votes
1 answer
208 views

Deriving an equation in Banerjee "A Simple Model of Herd Behavior" (1992)

I am reading "A Simple Model of Herd Behavior" by Banerjee (1992). A short summary of the model is the following. There is a probability $\alpha$ that each person receives a signal telling ...
James_'s user avatar
  • 45
0 votes
0 answers
58 views

Econometrics especially with regard to OLS estimators!

I am solving a problem below and also having a hard time. Could you give me a help me with it? Which of the following can cause OLS estimators to be biased? Which of the following do not cause the ...
berrystraw's user avatar
1 vote
1 answer
41 views

Is there a way to assess land value independently of zoning policy?

I am aware that the methods used to assess land value of properties, used by government agencies for taxation, are affected by zoning restrictions. Restrictions on how a lot of land may be used by it'...
Electric-Gecko's user avatar
2 votes
1 answer
51 views

Which sample size would be best to investigate effects of War in Ukraine on volatility of stock prices using GARCH models?

I am planning to investigate the effect of the war in Ukraine on the stock market prices by including in a GARCH model a dummy identifying the burst of the war. I am wondering if I should strictly use ...
Gian's user avatar
  • 21
1 vote
1 answer
59 views

What is the difference between fixed effect regression and (panel) fixed effect regression?

What's the difference between fixed effect regression and (panel) fixed effect regression?
desi arthshastri's user avatar
-2 votes
1 answer
90 views

CALCULATING REVENUES OF EACH PRODUCT IN RSTUDIO [closed]

Hello everyone, I need to work with the data presented above. This question involves a little bit of knowledge of Rstudio, but I assume some of us work with this programming language throughout our ...
René González's user avatar
1 vote
1 answer
409 views

What is the difference between econometrics and statistics?

Is econometrics just statistics applied to economics or is there also some deeper difference?
Ezekiel's user avatar
  • 506
3 votes
3 answers
360 views

How to prove that Adjusted R^2 is less than R^2

The adjusted R^2 formula is : $$ \overline{R}^{2}=1-\left( \left( 1-R^{2}\right) \cdot > \dfrac{n-1}{n-k}\right) $$ In case of k > 1 , I continue like that; $$ \overline{R}^{2}=1-\left( \...
Tatanik501's user avatar
1 vote
1 answer
28 views

How to get Customs data for importing companies?

I am looking for customs data for importing companies for each country. I found some of them, for instance Canadian Importers Database But I wonder if any of you know the additional free sources. ...
John Owen's user avatar
0 votes
1 answer
49 views

How to find the share price with respect to the type of share?

As someone coming from a mathematical background who has started reading into some basic finance, there are a few concepts that I am struggling to understand and would be grateful if I could check to ...
FD_bfa's user avatar
  • 105
0 votes
1 answer
349 views

Demonstrate order and rank conditions for identification with instrumental variables

For an equation in a simultaneous system to be identified two conditions must hold: i) the order condition, and ii) the rank condition. b_IV=(Z'X)^(-1) Z'Y How to demonstrate in matrix form that both ...
Dr. Z's user avatar
  • 1
2 votes
1 answer
142 views

Expected Value / Econometrics

I would like to learn how the expression below is 1. Without understanding it I am having trouble to go on with Chebbyshev's Inequality. It's maybe too basic, but I appreciate any help.
Sera's user avatar
  • 77
2 votes
1 answer
169 views

Consistency of an estimator

Is it consistent? How can we derive whether an estimator of the parameter is consistent or not?
Sera's user avatar
  • 77
1 vote
1 answer
91 views

Variance of a random variable / Econometrics

Could someone help me to derive/understand how we can derive $E[X^2]-E[X]^2$ from $E[(X-E(X))^2]$ in the variance formula of a random variable $X$? I am writing the formula below: $Var(X)=E[(X-E(X))^2]...
Sera's user avatar
  • 77
1 vote
0 answers
79 views

Fixed effect model: different estimation approaches with R - how to demean variables - unbalanced panel

I want to use R to estimate a fixed effects model using different estimation approaches (e.g. replicating xtreg from Stata). Note that I am using an unbalanced panel. The easiest way to do this is ...
shazz's user avatar
  • 11
5 votes
1 answer
675 views

Why the subjective "Owners’ equivalent rent of residences" is included in the CPI?

I was reading about the calculation of the Shelter index of the CPI which accounts to more than 30% of the entire basket. It consists mainly of two parts: (1) Rent of primary residence, and (2) Owners’...
d_e's user avatar
  • 283
2 votes
1 answer
73 views

Is debt to GDP ratio a misleading statistic to show the level of indebtedness of a government?

The Debt to GDP ratio is a very popular statics to show the level of indebtedness of a government, so much that is even used in the Euro convergence criteria. However its use seems misleading to me, ...
pinpon's user avatar
  • 174
0 votes
1 answer
34 views

OLS with multiple indicator variables

My dataset contains two numerical variables (n1, n2) and six indicator variables. The first three indicator variables specify ...
NC520's user avatar
  • 125
3 votes
0 answers
36 views

Intuition Behind Difference-in-Differences with Continuous Treatment?

It's very clear to me how a difference-in-difference model works when there is a binary treatment. If the model is $y_{i,t}=\beta_{0}+\beta_{1}P_{t}+\beta_{2}T_{i}+\beta_{3}(P_{t}*T_{t})+u_{i,t}$ ...
econogist's user avatar
0 votes
0 answers
26 views

Using the 80:20 rule, what top 20% of economic concepts, theories, methods, tests, tools etc do you use to generate 80% of your results?

I'm curious to see what different economists use in their roles. Helpful if you could specify your area of work/interest too.
Lee Slater's user avatar
0 votes
0 answers
16 views

How to detect verion of HS 6 digits code?

I have trade data with HS 6 digits codes. However, I don't know which version of HS is used. I wonder if there is any practice in statistics to detect which version (HS1, HS2...HS5) is used?
Underwood's user avatar
  • 101
2 votes
0 answers
17 views

How to convert national poverty into an international comparable measure?

I want to compare the poverty of a subpopulation of my country (indigenous people) to other countries' poverty. To do that, I have the per capita income of each individual of my dataset expressed in ...
Santiago Valdivieso's user avatar
1 vote
1 answer
134 views

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 ...
randomname's user avatar
0 votes
1 answer
34 views

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 ...
whoknows's user avatar
2 votes
0 answers
40 views

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'...
KArrow'sBest's user avatar
1 vote
0 answers
158 views

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.
theshadowers's user avatar
2 votes
1 answer
325 views

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 ...
whoknows's user avatar
-3 votes
1 answer
208 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}
John Williams's user avatar

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