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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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Why do we need at least as many instrumental variables as endogenous regressors to identify parameters in 2SLS?

As the title says. Why do we need at least as many instrumental variables as endogenous regressors to identify parameters?
Elias's user avatar
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1 vote
0 answers
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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 ...
ConfusedResearcher's user avatar
1 vote
0 answers
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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
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3 votes
1 answer
116 views

Interpolation of Gini Index?

Is there a conventional curve used to interpolate the Lorenz curves that model the distribution for calculating the Gini coefficient? Is it polynomial? But why? Which degree?
PhiEarl's user avatar
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3 votes
0 answers
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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
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1 vote
1 answer
72 views

How does explanatory variables in variance affect unconditional variance of GARCH(1,1)

I have a question about the unconditional variance of a GARCH process, where exogenous explanatory variables are included in the variance. The usual GARCH models the variance using: $$\sigma^2_t=\...
Emil Bille's user avatar
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
0 votes
1 answer
43 views

Which values to assign to a quantified dummy variable

I am working on a data set from kaggle (https://www.kaggle.com/spscientist/students-performance-in-exams) about how student performance relates to some explanatory variables, such as if the school ...
twoRay's user avatar
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1 vote
1 answer
675 views

Show that conditional variance of error in linear probability model is heteroskedastic?

I have a problem that asks me the following: " Consider the linear probability model, in which we specify the regression equation to be linear in X, E(Y |X = x) = Pr(Y = 1|X = x) = x'β We can ...
jamesstealth'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
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1 vote
2 answers
120 views

How to find $\phi$, that denotes the correlation of signals among informed traders?

Since I do not have an answer on Quantitative Finance in my question I cross-post here the problem to tag some other categories The following assumptions are part of the paper of Back, Chao and ...
Nav89's user avatar
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3 votes
2 answers
245 views

How to average CDFs of one variable across years

I have wealth-to-income data for 10 years. I computed the cdf of this variable in each year. Now I'm trying to average the cdfs across years. In each each, the number of observations is different. ...
Susan's user avatar
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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
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1 vote
3 answers
529 views

What is the correct way of calculating the "average" price based on the "Open,High,Low,Close" daily trade fields?

Open,High,Low,Close I have these fields, representing the "opening" amount, the highest for the day, the lowest for the day, and what it closed at. I'm trying to determine the "average&...
Jelani's user avatar
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1 answer
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Estimate unobservable $X_t$ with observable estimation {$Y_t$}, where $Y_t= X_t+\delta e_t$

Suppose there are measurement values {$Y_t, Y_{t-1},..., Y_0$} which come from the relationship $Y_t= X_t+\delta e_t$, where $\delta$ is a known constant, $e_t\sim N(0,\sigma^2_e)$ is a Gaussian ...
Hao's user avatar
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2 votes
1 answer
64 views

Understanding IMF statistics

I teach Politics and I've been asked to prepare a course which includes a lot of financial data because it covers recent international financial crises. I've been trying to use IMF statistics, but I ...
Prof. Soage's user avatar
1 vote
0 answers
27 views

What is the difference in estimation between A, B, and C? They seem very similar [closed]

This is a question in our econometrics class, and we're unsure of how to deal with the additional z2 and z3 in part B and part C.
Jon's user avatar
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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
0 votes
1 answer
334 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://...
E.K's user avatar
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2 votes
1 answer
101 views

Why is the U.S. birth rate considered below replacement if more people are being born than are dying annually?

In 2018 there were 3.85 million births and 2.81 million deaths. My understanding is that the U.S. birth rate is near or below replacement rate, but I don't understand why. If more people are being ...
David Kennell's user avatar
3 votes
1 answer
261 views

What is an estimate of the value of the world's assets?

Gross world product is on the order of 80E12 $ per year (PPP). Where can I find an estimate of the net value of the world's assets (companies, properties, infrastructure...)? Preferably with some more ...
streawkceur's user avatar
2 votes
1 answer
346 views

Deflate level and flow variables using PPI and CPI

What do statements like Flow variables (such as dividend growth and returns) are deflated using the CPI index. or Level variables are deflated using the Producer Price Index (PPI). mean? What are ...
Alex's user avatar
  • 333
1 vote
1 answer
79 views

How to interpret this regression coefficient?

I am performing a simple single variate regression on the variables crime rate (denoted by crrate) and the probability of getting arrested (denoted by prarrest). To be precise, the variables are ...
Ricky_Nelson's user avatar
2 votes
2 answers
76 views

How do I predict Macroeconomic indicators?Or are there any free resources where I can get the predicted values?

I am building a time series forecasting model in which I am considering the macroeconomic indicators as predictors.I wanted to ask 2 things How do I get the future values?I have seen trading ...
Raj's user avatar
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7 votes
2 answers
810 views

Do circular invoices count in GDP?

I'm trying to understand GDP and what it means. Say that there are two US software companies, Foo Inc and Bar Inc. Foo Inc produces software and charges Bar \$1 million for its usage, while Bar Inc ...
Ram Rachum's user avatar
4 votes
2 answers
208 views

How to approach rigorous probability theory from an economics background?

I am attempting to read around the theory of probability theory from the ground up, coming from a background of economics I have little experience in set/measure theory, whilst I am not new to ...
user avatar
0 votes
1 answer
99 views

markov-switching model and stationarity [closed]

To test the structural breaks and to perform markov-switching model in time series data, should i have stationary data. Thank you in advance.
khalilnait's user avatar
1 vote
2 answers
189 views

Stationarity of cyclical economic data

I'm having trouble understanding how macroeconomic or industry data could be made stationary if there's only a limited length of time series available (e.g. 2012-2019) and I have a time series that ...
Ossi Taavitsainen'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
2 votes
1 answer
63 views

Should I include country dummies when I combine datasets of 3 countries?

I am currently doing the analysis using firm-level data of three countries combining together. Also, it is a cross-sectional analysis. Therefore, in the regression, I control for industry dummies to ...
Vannaro's user avatar
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0 votes
0 answers
58 views

How much UK income tax is collected from each income tax band?

How much of the 208 billion Income Tax receipts in this 2020 budget policy paper is coming from each of the three (Basic rate, Higher rate & Additional rate) tax bands?
Pelinore's user avatar
  • 133
0 votes
1 answer
75 views

Choice of measure for unemployment

There are six types of unemployment rates in the US (U1-U6). U6 provides the broadest measure of unemployment, taking into account not only the unemployed labour market participants who are actively ...
Tan Yong Boon's user avatar
0 votes
0 answers
33 views

Which OLS assumptions should I test for given a log-log functional form?

For a log-log functional form ( e.g. most simply: ln(y) = β1 + β2ln(x) ), which OLS assumptions should I test for (that is, test if they've been violated)? For example, I'm assuming that I wouldn't ...
user avatar
1 vote
1 answer
48 views

Under what BLS line do "people who want a job but haven’t searched in the last 12 months" show up?

I'm trying to understand how this CNN math was derived: This category — jobless people who “want a job now” but “did not search for work in the previous year” — has hovered around 3 million workers ...
against very long user names's user avatar
0 votes
1 answer
128 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?
Mark's user avatar
  • 29
-1 votes
1 answer
60 views

Thesis research advice on what statistical method to use for small sample?

I am writing my thesis in economics and trying to prove there is a correlation between 2 variables Data collected with Likert scale questionnaire (1-5 scale) I summed up the data and got scale ...
Ivana's user avatar
  • 13
2 votes
1 answer
70 views

Estimating a difference-in-differences with multiple time periods: why do margins results change when you simply change the base period?

My understanding of margins results is that they should not be sensitive to the base period chosen for a categorical time variable. However, I find that they are. ...
sommertime's user avatar
1 vote
2 answers
2k views

How is Regression different from Econometrics?

I am an undergraduate student and am planning to take a course in Regression Analysis next semester whose description is "The analysis of continuous response data. The focus is on linear and ...
Ricky_Nelson's user avatar
5 votes
4 answers
14k views

Python vs R (vs Stata): the old battle revisited

I am an avid Python user. I know Stata but I'm not a pro. I don't know R. I do econometrics (mostly time series, but also cross-section and panel), and statistics, and Python seems quite sufficient in ...
Jay's user avatar
  • 51
1 vote
1 answer
385 views

How do deal with negative values when finding log difference?

I’m trying to run a regression with GDP quarterly growth as the dependent variable. I’ve been asked to find the log diff of the data values however I’m unsure on how to do this on excel and how to ...
StressedStudent98's user avatar
2 votes
1 answer
82 views

Does anyone recognize the shape of this residuals vs. fitted plot?

Hello Stack Exchange community, I'm running a regression on a survey dataset which consists of 45,381 individuals in 36 countries using Stata. My model is specified as: ...
Tómas Bjarnason's user avatar
0 votes
2 answers
2k views

Autocorrelation function of a random walk process

What is the intuition behind the result that the autocorrelation function of a random walk process $y_{t}=y_{t-1}+e_{t}$ tends to 1 as $t\rightarrow 0$? Thank you.
Bob Charles's user avatar
0 votes
1 answer
54 views

on the FRED website where do i find definitions of the variables they give charts of?

eg M3? how can we see precisely how it is defined, measured? https://fred.stlouisfed.org/series/MABMM301USM189S?fbclid=IwAR1lwaCbKUX16L1meOk6iZvloYOW0F7pIjmq9I4sb5VfvhhLhj8lsVTlpxg
Randor's user avatar
  • 182
0 votes
0 answers
274 views

Microeconometrics course vs time series

I am currently a graduate student in Operations Research and I would like to learn econometrics, as it is not a part of the core curriculum. I am comfortable with matrix algebra (many courses used ...
Henry's user avatar
  • 1
1 vote
2 answers
403 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
3 answers
968 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 ...
SSUT_Eco's user avatar
0 votes
1 answer
22 views

Annual Fraud Recovery Over Time: Should I adjust for inflation?

I have a dataset of the total amount the U.S. Department of Justice obtained annually in settlements/judgments of government fraud cases from fiscal years 1988-2019. There's a lot of variation, but ...
ThinkingFCA's user avatar
2 votes
1 answer
102 views

Logistic regression: Equation for marginal effect at the mean

I am estimating the following logistic regression (binomial family) by maximum likelihood: $$ \ln\left(\frac{Y}{1-Y}\right) = \beta_{0} + \beta_{1}D + \beta_{2}X + \epsilon$$ where D is a dummy. ...
rchng's user avatar
  • 73
3 votes
1 answer
113 views

Where to find the latest statistics of brain drain in the world?

Where to find the latest statistics of brain drain in the world? I would appreciate your suggestions.
Sasan's user avatar
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