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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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Stochastic process difference equation: stationary distribution

How can I find the stationary distribution (as t goes to infinity) of stochastic difference equations in the form: $x_{t+1} = a*x_t + b*N(0,1)$ where N(0,1) is a standard normal pdf I have ...
user14631's user avatar
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1 answer
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Ttest and heteroscedasticity problem in no intercept model

I was running a t test over two regression betas with the assumption of equal variance. I know that if the condition of homoscedasticity do not hold then there are chances to have type 2 error but ...
Rahul Kumar's user avatar
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1 answer
187 views

Difference between $x$ and $X$

Sorry for my bad english, i'll try to explain my difficulty. 1° Question In the last exam an exercise asked to derivate OLS estimators and calculate their value with the data provided (ex.: $\sum ...
Francesco Totti's user avatar
2 votes
0 answers
74 views

Conditional maximum likelihood of AR(1) UNIFORM PROCESS [closed]

Let $Z_t = \phi Z_{t-1} + u_t$ where $u_t \sim uniform[-1,1]$ and $|\phi|<1$ I I am facing problems coming up with conditional maximum likelihood estimate of an AR(1) process with uniform errors. ...
Daniel's user avatar
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1 vote
0 answers
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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
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3 answers
8k views

Question about violating the zero conditional mean assumption

Question for y'all with a background in econometrics. Does the zero conditional mean assumption rely on complete randomness in a trial when doing regression analysis? For example, if I was testing ...
jojo.t.c's user avatar
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1 answer
34 views

How to interpret increases in percentage with different sample groups

Apologies if this question is not worded very well - this is not really my field of expertise but I'd like to see how to correctly understand some data. Let's say I am studying the increase in cases ...
ASForrest's user avatar
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1 vote
2 answers
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How do international organizations collect statistics regarding a country?

How do international organizations like IMF, WB, and CIA Fact Book collect statistics regarding a country's economic indicators? What is their primary source of information?
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2 votes
2 answers
82 views

Conditional independence and no correlation

I have a question regarding basic econometrics. Consider the model $$y_i=\alpha +\beta x_i +u_i$$ I understand that assumption 4 of the linear regression model states $$[1] \quad E(u|x)=0$$ ...
Doon_Bogan's user avatar
0 votes
3 answers
326 views

CAPM goodness of fit

I want to test the CAPM. I have collected monthly data from 1-9-2012 to 1-9-2017. I have data from the return of Standard&Poor's 500 and data from various US companies. The beta's seem right, but ...
Cardinal's user avatar
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3 answers
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Clustered standard errors

(My research question is economics based, but for simplicity, I'm using a non-economics example) Suppose I'm trying to find out whether average body temperature of a population is equal to 37 degrees ...
wwl's user avatar
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3 votes
1 answer
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What is the standard error on quarterly GDP figure? [closed]

The government and media seem to judge whether it is in a good economy right now based on its quarterly GDP figure. However, I wonder how its figure is trustworthy. Even if the quarterly GDP is +1.2%,...
Blaszard's user avatar
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4 votes
2 answers
211 views

How prevalent is the use of machine learning among economists?

I wonder how machine learning, particularly deep neural net which is considered the state-of-the-art among many data scientists, is used among economists, or other experts who is in in the similar ...
Blaszard's user avatar
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3 votes
1 answer
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Simplifying a monoplist's objective function under incomplete information

I am working through Rochet and Stohle (2003) chapter on multi-dimensional screening, and I am struggling filling in the blanks between equation (2.1) p. 154, and its simplified form on page 155. In ...
Boaten's user avatar
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1 answer
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Is there a statistic that shows which countries would be owed money if all external public debts were payed immediately?

The media loves to tout big debt figures whenever there is an economic crisis, but unless we know who owes money to who, it seems to me that these figures are useless since debt is all relative. I ...
awiebe's user avatar
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1 answer
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What does this graph mean?

I know little about economics and am very confused on what this graph represents. I found it when I saw that the President had tweeted it and was wondering what it mean. Specifics what "Jobs ...
The Diamante's user avatar
5 votes
1 answer
75 views

Is there any statistics available on forecasting failures?

Like what percentage of financial/economical forecast fail? Or how often do politicians create bad policies based on wrong forecasts?
Andrew Potapov's user avatar
1 vote
1 answer
410 views

Independent identically distributed

When we are talking about the least squares assumptions, one of the assumpions is that (X,Y) are i.i.d. What bothers me is that if we take an example population and research distributions of age and ...
A. Kutilainen's user avatar
2 votes
5 answers
7k views

Calculating Gini Coeffecient

What's the fastest way (or formulae) of manually calculating Gini Coefficient of equal-sized bin income data? Example: No of individuals in group: 4 4 4 4 4 Income of each group: 1 2 3 4 5 ...
Yoda's user avatar
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5 votes
2 answers
131 views

What are some helpful online tools (databases, etc..) for economic analysts?

More specifically, I'm looking for a online database of US economic statistics that is regularly updated. Most of my searches result in older data, that is not particularly useful for what I need it ...
marcbally's user avatar
1 vote
1 answer
631 views

Should I deflate a nominal variable when forecasting it?

Say I have a structural equation that is forecasting Y. Y is a nominal financial variable that grows with time due to inflation. I have an economic determinant that is a rate and therefore does not ...
user12679's user avatar
1 vote
1 answer
72 views

How to extrapolate the data?

I have bond yields for Indian G-Sec. For short term yields the proxy are (15-91 days) , (92-182 days) , (183-364 days). For long term yields the proxy are 5,10 & 15 years. Data ranges from 1996 - ...
SOUMYAJIT RAY's user avatar
1 vote
1 answer
899 views

Is price in this situation exogenous or endogenous?

My supply function is $Q = a + bP + u$. My demand function is $Q = c + u$. The error terms $u$ in both equations are mutually i.i.d random variables with a mean of zero and a constant variance. My ...
user12655's user avatar
3 votes
1 answer
613 views

Christiano Fitzgerald filtering process

I'm trying to compare the results of Christiano Fitzgerald bandpass filter with wavelets. I'm familiar with wavelet decompositions in general, but I'm rather new with Christiano Fitzgerald (CF). So ...
Commissar Vasili Karlovic's user avatar
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
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-1 votes
1 answer
53 views

Statistics: Understanding confidence interval [closed]

In R I have used lm()to fit a model. Then I use the confint() function to learn more about the slope. How to I understand the ...
Rakesh's user avatar
  • 1
0 votes
1 answer
428 views

Log linearization and Conditional Expectation [duplicate]

How to log linearize an equation that has a conditional expectation? Any reference or example would be appreciated.
user11751's user avatar
4 votes
1 answer
88 views

Swanson and Williams (2014): restricting based period response to one

I would like to replicate the results as in Swanson and Williams (AER 2014): "Measuring the Effect of the Zero Lower Bound on Medium- and Longer-Term Interest Rates" https://www.aeaweb.org/...
user100525's user avatar
0 votes
1 answer
43 views

Do the stock performances of various companies have a measurable correlation with exchange rate?

For example if the values of big companies in a country decrease, will the value of that country's currency measurably decrease?
Baran Yıldırım's user avatar
1 vote
2 answers
356 views

Derivation of Equilibrium Strategy in 1st-price Auction?

Hey, everyone. I desperately need help understanding some math in auction theory. I have been writing a paper as an undergrad for auction theory, and after all of my research I just cannot understand ...
Coolio2654's user avatar
2 votes
2 answers
905 views

Can CPI and real GDP have high correlation?

I have historical data where the CPI and GDP are correlated. Does this make sense? If not, how do I test for it?
Mataunited17's user avatar
1 vote
2 answers
87 views

How to explain these two discrepancies between BLS OES wage data and salaries of pro athletes?

I refer to the Occupational Employment Statistics published by the US Bureau of Labor Statistics, May 2015 edition. Under occupation title "Athletes and Sports Competitors" (27-2021), we have the ...
user avatar
2 votes
1 answer
98 views

Are BLS labor productivity measures in current dollars or constant dollars?

I am using BLS labor productivity measures to estimate the impact of automation in the US. Looking through the BLS handbook and online, I haven't been able to determine if the LPC measures are in ...
James H.'s user avatar
0 votes
1 answer
436 views

IV:Quasi-random variance V.S. 'Placebo' check

I read some papers about transportation infrastructure. I am confuse with the following two case. Some routes are unlikely to have been randomly assigned across cities over time. Thus, In some papers(...
XJ.C's user avatar
  • 273
4 votes
0 answers
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
4 votes
1 answer
4k views

What is the "gross national saving" for?

I don't understand what the term Gross National Saving is for. According to the world factbook, it represents the following: Gross national saving is derived by ...
Blaszard's user avatar
  • 265
1 vote
0 answers
163 views

Calculate coefficient estimates [closed]

I am studying computer science and enrolled in an econometrics class. As of this I have very basic understanding of the subject. I am trying to figure out the following question but don't know where ...
user3541209's user avatar
0 votes
2 answers
84 views

U.S. Bureau of Economic Analysis, when was that created?

I thought that GDP in the United States was computed by the Bureau of Labor Statistics, but I find that now it is made by the "U.S. Bureau of Economic Analysis" which I never heard of. For how long ...
Lassie Fair's user avatar
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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
4 votes
1 answer
282 views

Have social accounting matrices and input output models fallen out of fashion? if so, why?

My perception may be uninformed but 'worldwide' I believe collection of official data on input output tables of economies dont seem to be keeping up with the times. Im aware that compilation of such ...
user3459004's user avatar
1 vote
1 answer
138 views

Statistical tests/models to use for Macroeconomic and Financial Research

I am a student, new to research and have chosen a challenging field to perform my research in. While I have been reading about similar research's, as part of my literature review, I observed various ...
Shiva's user avatar
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7 votes
1 answer
153 views

Mythbusters - Determine optimal boarding strategy based on time and satisfaction score

Most airlines board passengers starting from the back of the plane and then working their way towards the front (after boarding priority classes and passengers). In an episode of Mythbusters, Adam ...
BCLC's user avatar
  • 370
0 votes
1 answer
180 views

Volatility of investment: Joint-Volatility of mutually independent variables

I´ve been trying to compute a volatility of invesment with currency hedging and I have a question. Let's take this example. We have our money in a fond copying the S&P500 index, which has 16% ...
egikm's user avatar
  • 1
2 votes
2 answers
668 views

Martingale, random walk and rational expectations

What is the link between these concepts? For example let's take a process $Z_n$ which follows a random walk, I would say that: This is a martingale, because my expectations of tomorrow, i.e. n+1 ...
Lex's user avatar
  • 235
6 votes
1 answer
1k views

Where do computational economists work

Does anybody know what kind of work or where computational economists end up working? It seems most end up in research...
cyvarza's user avatar
  • 117
3 votes
2 answers
171 views

What is the reason why ARIMA(0,1,0) on $y_t$ and ARIMA(0,0,0) on diff($y_t$) are not identical time-series models?

I studied at BA level, that ARIMA(0,1,0) on $y_t$ and ARIMA(0,0,0) on diff($y_t$) are the same models. I am doing the Box–Jenkins model estimation on the historic data of US unemployment rate. My ...
Übel Yildmar's user avatar
4 votes
2 answers
208 views

Pareto curve vs Pareto chart

I was searching online for some notes on how to draw a Pareto curve on income distribution. That's when I came across Pareto chart which is a bar diagram and is used in quality control. Are these the ...
Harry's user avatar
  • 139
7 votes
1 answer
5k views

White versus Newey-West standard errors

could you please help me to understand when I should use either white or newey-west standard erros? I do work with time-series data. I look at both contemporaneous and intertemporal realtionships. ...
frame's user avatar
  • 91
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
2 votes
1 answer
2k views

statistical discrimination VS taste based discrimination

Given the progress in the literature on economics of discrimination. What is the reason for still believing in the dichotomy taste-based VS statistical discrimination. I think the first theory is just ...
Fuca26's user avatar
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