# 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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### 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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### Regression analysis with interaction and decomposed main effect

I'm trying to figure out if I need to include the main effect in a regression analysis with an interaction if I am already including a decomposed version of the main effect. For example, let: ...
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### 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 ...
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### How to control for population in Difference-in-Difference?

Random example, but let's say I'm examining the effect of a health program on influenza cases in India. They just randomly start the program in 7 of the 29 states. I have data on the number of flu ...
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 ...
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 ...
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### 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
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 ...
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 ...
1 vote
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### 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 ...
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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.
1 vote
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### 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}...
1 vote
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### 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. ...
• 111
1 vote
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### 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'
1 vote
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### 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 ...
1 vote
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### 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 ...
1 vote
38 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 $\max\limits_{X} (v-\bar{v}-\lambda X)X$ ?
1 vote
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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 ...
• 111
1 vote
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### Is unobserved heterogenity in mixed logit models variable specific?

I have a mixed logit model with travel cost, travel time, and mode constants. If I only randomize travel cost and keep fixed coefficients for travel time and mode constants, will the model capture ...
1 vote
43 views

### Use MLE to calculate exponential distribution parameter

The question is from A Guide to Econometrics by Peter Kennedy (5th edition, page 504.) Suppose you have a random sample of workers, from several localities, who have recently suffered, or are ...
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1 vote
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### World Bank and OECD statistics unmatch tax revenue as % of GDP

I have been looking for statistics on tax revenue to GDP ratio of different countries. I've found it on World Bank website. https://data.worldbank.org/indicator/GC.TAX.TOTL.GD.ZS?view=chart which ...
1 vote
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### Are there any measures of U-6 Unemployment that take into account ageing out of the work force explicitly?

Labor Force Participation has been steadily decreasing over the last 20 years or so. The Fed says that this has been the case mostly due to the demographic shifts, and to an extent the data backs that ...
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1 vote
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### Intuitive/Practical meaning of non-stationarity of GDP Data

As i just read in a time series book that a particular GDP data under consideration is non-stationary verified through various tests. From non-stationarity definition this means that the process has ...
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1 vote
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### OLS vs WLS in misspecified model

I'm thinking whether there exists cases where OLS estimator is closer to the true coefficient than WLS estimator in probability limit in a misspecified model. Specifically, I'm working on a case where:...
1 vote
60 views

### What would be the mean of a finite aggregation of AR(1) processes?

What would be the (expected) mean at each period $t$ of a (in)finite aggregation of $AR(1)$ processes generated by the same data generating process? How would the resulting plot look? For $i.i.d.$ ...
1 vote
3k views

### Somers’D and Gini coefficient: differences

I would like to know what are the differences between somers’d value and the Gini coefficient. I have the following values for factors: ...
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### 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 ...
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### Test of two variance ratios being equal

Assume I have two integrated times-series A and B. I take log differences, that are stationary, and I compute the variance ratios for both time-series for several horizons k=2,...,n. Now I want to ...
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