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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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Joint significance test in a difference-in-differences setting

I ran the following difference-in-differences regression in software and have some questions about the interpretation of the resulting coefficients and their (joint) significance: $$ P_{it} = \gamma_i ...
Fabian Axer's user avatar
4 votes
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206 views

Dynamic demand model in many good competitive markets and price optimization

This is a question about demand models, price optimization, dynamic pricing, big data, online learning, so I will cross-post in other communities. $\mathbf{Background}$ I am interested in dynamic ...
VictorZurkowski's user avatar
3 votes
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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
3 votes
1 answer
41 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/...
Studi's user avatar
  • 405
3 votes
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Proof of Criteria for Local Identification in Rothenberg (1971)

My question is regarding Theorem 1 (page 579) of Rothenberg (1971). It is associated with four assumptions given on the same page. But, I only have a question about a single step of the proof, so I ...
Derby's user avatar
  • 31
3 votes
0 answers
259 views

SAS: How to do ARIMA procedure with structural break?

So it seems like my data has a structural break in it, using Box-Jenkins methodology and evaluation such as ADF test wont give appropriate forecasts/results if I do not correct for the structural ...
Dmitry's user avatar
  • 31
2 votes
0 answers
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 ...
Shaibal Roy'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
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
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
2 votes
0 answers
63 views

Clustering Standard Errors for Panel Data with multiple clusters

I have a Group-Firm-Year panel data set (i.e., multiple firms make up a group). Suppose I have exogenous variation at the group level over time. In a panel regression with firm and time fixed effects ...
kurofune's user avatar
2 votes
1 answer
244 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 ...
stevec's user avatar
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2 votes
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98 views

The quadratic form of variance and covariance components

I am reading Kline, Saggio, Solvsten 2020 and am confused about some basic econometric stuffs in this paper. They begin their introduction as below: """ Consider the linear model $$y_{i}...
Alalalalaki's user avatar
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2 votes
0 answers
44 views

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 ...
ExcitedSnail's user avatar
2 votes
0 answers
38 views

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: ...
elci's user avatar
  • 21
2 votes
1 answer
133 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 ...
Aidan O'Gara's user avatar
2 votes
0 answers
46 views

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 ...
user21123's user avatar
1 vote
0 answers
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 ...
metrics24's user avatar
1 vote
0 answers
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 ...
Machinus's user avatar
1 vote
1 answer
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 ...
optimal control's user avatar
1 vote
0 answers
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 ...
NoNameBoyy's user avatar
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
1 vote
0 answers
84 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
1 vote
0 answers
167 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
1 vote
0 answers
39 views

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}...
Pedro Martínez Alba's user avatar
1 vote
0 answers
60 views

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. ...
user305883's user avatar
1 vote
0 answers
14 views

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'
ketan pendharkar's user avatar
1 vote
0 answers
213 views

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 ...
fintechgenie's user avatar
1 vote
0 answers
20 views

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 ...
Tatsuru Kikuchi's user avatar
1 vote
0 answers
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 $\max\limits_{X} (v-\bar{v}-\lambda X)X$ ?
user918814's user avatar
1 vote
0 answers
22 views

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 ...
Metamorphic's user avatar
1 vote
0 answers
21 views

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 ...
ConfusedResearcher's user avatar
1 vote
0 answers
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 ...
mmmm's user avatar
  • 11
1 vote
0 answers
27 views

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 ...
ultimatewizard's user avatar
1 vote
0 answers
17 views

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 ...
LionL's user avatar
  • 11
1 vote
0 answers
35 views

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 ...
pkg7724's user avatar
  • 11
1 vote
0 answers
60 views

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:...
user10158324's user avatar
1 vote
0 answers
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 $i.i.d.$ ...
Beck Batucada's user avatar
1 vote
0 answers
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: ...
Math's user avatar
  • 111
1 vote
2 answers
404 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 ...
Bob Charles's user avatar
1 vote
0 answers
77 views

How can I prove that the following estimator is biased?

I'm trying to prove that $e^{x\hat{\beta}}-1$ is a biased estimator for $e^{x \beta}-1$. I know that this involves taking the expected value of the estimator and showing that it is not equal to $e^{x ...
Nolan's user avatar
  • 11
1 vote
0 answers
19 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 ...
Zayaan's user avatar
  • 11
1 vote
0 answers
985 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 ...
monalisa's user avatar
1 vote
0 answers
27 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 ...
user216172's user avatar
1 vote
0 answers
17 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 ...
Bitrix24's user avatar
  • 121
1 vote
0 answers
32 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 ...
Roy_Oishi's user avatar
  • 101
1 vote
0 answers
170 views

Difference in Regression Discontinuity Estimates

Suppose I run a regression discontinuity design (RDD) for two different samples - say, separately for regions A and B of the same country. I get RDD estimates that are statistically significant in ...
sgdomi's user avatar
  • 11
1 vote
0 answers
135 views

Find the standard deviation of a log-normal AR1-process with exponent

I am trying to replicate a RBC model with technology shock $\log(z_{t+1})=\rho \log(z_t)+\epsilon_{t+1} \ $ with $\epsilon_t \sim$ i.i.d.$ \mathcal{N}(0,\sigma^2)$ and $0 < \rho < 1$ The ...
Chris tie's user avatar
  • 870
1 vote
0 answers
24 views

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 ...
frame's user avatar
  • 91
1 vote
0 answers
12 views

References about market sampling

Suppose the government wants to determine the efficient price of a certain commodity for which there is no competitive market. One way to do this is to take a sample of the potential buyers and ask ...
Erel Segal-Halevi's user avatar