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Results tagged with applied-econometrics
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Use this tag to discuss empirical papers and issues arising when applying theoretical models to data. For theoretical econometric issues, use the `econometrics` tag
3
votes
Detecting the presence of measurement error
Suppose we observe only $\tilde{x}$ and $\tilde{y}$ which are the true values measured with error:
$$ \tilde{x} = x + u$$
$$ \tilde{y} = y + v.$$
We would like to estimate:
$$ y = \beta x + \epsilon$$ …
- 16.4k
6
votes
Accepted
How should one determine the proper number of lags in a time series regression?
I don't have advice specific to error correcting model (ECM) setting, but in undergraduate applied econometric class they gave us the generic advice to continue to extend lags in the model until the r …
- 16.4k
7
votes
Cobb-Douglas production function with expenditures rather than units
If prices are constant then quantities are proportional to expenditures. Consider :
$$ Y=AK^{\alpha}L^{\beta} = A(\frac{E_{K}}{r})^{\alpha}(\frac{E_{L}}{w})^{\beta} $$
$$ = (\frac{A}{r^\alpha w^\alph …
- 16.4k
14
votes
How much do second-hand good purchases affect first-hand demand?
Coase (1972) has a classic treatments of this issue for monopolists selling durable goods. The general idea is that if Alice sells a textbook to Bob, Bob can resell it to Charlie when he is done with …
- 16.4k
1
vote
What is the reason why ARIMA(0,1,0) on $y_t$ and ARIMA(0,0,0) on diff($y_t$) are not identic...
I believe that @Andrew_M is right, this is caused by differences in default options in the implementations of ARIMA across statistical applications.
library(forecast)
births <- scan("http://robjhyndm …
- 16.4k