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.

283 questions
Filter by
Sorted by
Tagged with
45 views

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/...
394 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 ...
155 views

Expected Value of random variable in terms of hazard function

I am reading Krishna's Auction Theory. I am currently stuck on Appendix A where he writes, Now I understand equation A2, what I don't follow is that for a hazard rate defined as below: he writes I ...
24 views

How can I rebase a series to a different base year?

I have three monthly data set for import prices. First one --> Base year = 2003 (2003=100), data period: 2003 M1 - 2012 M12. Second one --> Base year = 2010 (2010=100), data period: 2010 M1 - ...
270 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 ...
27 views

Why taking ln() of change in invested wealth? Methodology of a published paper

I am going through the paper referenced below, and I am struggling to understand the reasoning behind the equation to calculate their dependent variable. Please could you help me with that? Paper of ...
25 views

References for minimum distance estimator

What is the formula for finding the minimum distance estimator and how does it differ from GMM? Also, do you know of any good resources on MD? Can't find any besides my textbook. Thanks!
438 views

Calculating elasticity between terms in a regression equation

Given the following regression: $ln(w_i)=\beta_1+\beta_2age+\beta_3age_i^2+\beta_4Y_i+\beta_5T_i+\beta_6Mar_i+\epsilon_i$ I am asked to calculate the elasticity of wages with respect to age. Is the ...
27 views

General conditions in which dynamic panel effects are bounded by OLS and FE models?

Typically under the model that looks like this: $$y_{it} = \rho y_{it-1} + u_i + e_{it} = \rho y_{it-1} + v_{it}$$ Define the OLS estimator as the estimator for $\rho$ that estimates the following ...
136 views

How to predict income n years after graduation using income dataset with age, but not graduation year?

I'm trying to predict the income of graduates of certain Master's programs n years after graduation, using the American Community Survey individual level dataset to calibrate my equation. It gives me ...
1 vote
37 views

Causal inference exogeneous shock question

What does it mean when some says they are using an exogenous shock to study the effect of X of Y ? What is the econometrics condition that defines this intuitively and econometrically? From my vague ...
74 views

Properties of Multivariate Frechet Distributions

I was reading an answer from another Economics Stack Exchange post and I had further questions. The highest up-voted answer here utilized two properties of multivariate Frechet distributions, but the ...
1 vote
44 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 ...
111 views

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, ...
1 vote
39 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 ...
273 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 ...
31 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 $q$...
32 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 ...
1 vote
39 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 ...
387 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( \...
44 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 ...
14 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 ...
1 vote
50 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 ...
569 views

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 ...
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 ...
193 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 ...
95 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 ...
345 views

How is the GINI coefficient half the relative mean absolute difference?

I've tried to derive a proof myself and have looked through a lot of sources but can't seem to find an understandable mathematical explanation/proof for why this is the case. I found one at(https://...
144 views

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 ...
92 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 ...
1k views

What is the average economic value of a human life?

What is the economic value of a human life? If there are multiple methods to use in calculating, what are they, which method is preferred, and why? Considerations/sub-questions on methods A. Is the ...
1 vote
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 ...
55 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 ...
47 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
52 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 ...
214 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 ...
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 ...
1 vote
42 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'...
1 vote
1k views

What is the difference between Q4/Q4 and Y/Y GDP growth?

Per US media, the US economy grew 3.1% in 2018 Q4/Q4 and 2.9% in 2018 Y/Y. 2.9% seems the reference number in various databases (World Bank, Reuters, Bloomberg, etc) but what exactly does Q4/Q4 mean ...
1 vote
68 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?
136 views

If a dummy variable is insignificant can I remove it from the regression?

I have completed an F-test on the variable which gives p = 0.6, should I remove it from the model?
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 ...
91 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 ...
1 vote
542 views

What is the difference between econometrics and statistics?

Is econometrics just statistics applied to economics or is there also some deeper difference?
1 vote
29 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. ...
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]...