# 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.

281 questions
Filter by
Sorted by
Tagged with
24 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 ...
• 260
19 views

### Presenting the OLS regression results in table

everyone. Can anyone help me to present the OLS regression result in the table? You can make them in one table. I have attached 6 pictures. I would be thankful if you can.
1 vote
28 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 ...
58 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 ...
• 23
22 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!
98 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
37 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 ...
• 11
1 vote
42 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 ...
• 2,155
28 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 $q$...
• 99
30 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 ...
40 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 ...
12 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
49 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 ...
483 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 ...
184 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 ...
83 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 ...
• 131
114 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 ...
66 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 ...
• 13
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 ...
53 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 ...
• 991
1 vote
87 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 ...
• 21
45 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
211 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 ...
• 45
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'...
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 ...
• 21
1 vote
64 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?
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
463 views

### What is the difference between econometrics and statistics?

Is econometrics just statistics applied to economics or is there also some deeper difference?
• 506
372 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( \...
• 141
1 vote
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. ...
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 ...
• 105
368 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 ...
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.
• 77
170 views

### Consistency of an estimator

Is it consistent? How can we derive whether an estimator of the parameter is consistent or not?
• 77
1 vote
91 views

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.
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?
• 101
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 ...
1 vote