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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18 views

Beginner's Guide to Econometrics [duplicate]

I was wondering if you could guide me to a book that I can use as a starting point for preparing myself for graduate level econometrics. I will be applying for MA programs this fall and wanted a head ...
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12 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'
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55 views

Confusion about the jack-knife

Suppose that I am trying to use the jack-knife to estimate the variance of some estimator $E$. If I have $n$ data points, I begin by computing $n$ estimates (call them $B_1$, ..., $B_n$), each ...
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19 views

Event Study - Definition of Estimation Window (Trading Days vs Non-Trading Days)

I am currently conducting a event study for my research project on M&A. I have all data available and want to use https://www.eventstudytools.com/. But there is one clear which is not apparent to ...
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54 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 ...
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16 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 ...
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1answer
23 views

Expected value of order statistics for uniform distribution

I have $X$ ~ $U(0,1)$ interval. Let n=2, i.e. $X_1 < X_2$ I have to calculate the expected value of ${X_2}^{m/(1-m)}$. Where, $0≤m≤1$ I want to confirm if I have calculated it correctly? $$\int_0^1 ...
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33 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 $\max\limits_{X} (v-\bar{v}-\lambda X)X$ ?
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60 views

Difference-inDifference model with Discontinued Treatment

I have a situation where I observe two groups A and B for three years. Group A never received any treatment. Whereas group B received treatment in year 2 only. I can estimate the impact of the ...
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16 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 ...
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Joint significance test in a difference-in-difference setting

I ran following difference-in-difference regression in software and have some questions about the interpretation of the resulting coefficients and their (joint) significance: $$ P_{it} = \gamma_i + \...
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rebasing an index with inconsistent ratios between old and new data points?

I have a question about rebasing indices, hoping someone might be able to help. I'm working with two sets of index data for residential property prices from the Australian Bureau of Statistics. the ...
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1answer
50 views

How to interpret fixed effects?

I want to interpret the output of a fixed effects regression and need help with interpreting the country-fixed effects. The regression is the following: ...
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1answer
106 views

Does random sampling cause zero conditional mean?

In the lecture notes of my development economics class, it says that " In the regression model : Yi = β0 + β1Xi + ui, if Xi is randomly assigned, then Xi is independent of ui, i.e., E(ui|Xi) = 0, ...
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77 views

How can anyone possibly predict how the price of anything (stocks, Bitcoin, fiat, etc.) will change without “insider knowledge”? [closed]

Other than the fact that all centralized (and thus "quick") exchanges require KYC/AML nonsense, making it impossible for me to have an account there, I've never dared to even try once to &...
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1answer
32 views

Advice on method for analyzing the effects of increase in minimum wage

As a hobbyist and generally curious person with a lot of free time at home, I was curious what would be a good method to analyze the effect of an increase in the minimum wage of a country if you only ...
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1answer
37 views

Help interpreting standard deviation

I am looking at the 1979 cohort of the National Longitudinal Survey of Youth from the BLS. See here : https://www.bls.gov/nls/nlsy79.htm I am just having some trouble interpreting the values for ...
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48 views

Why N>T is required on system GMM estimations?

My question is why N>T is required when working with dynamic panel estimations based on system GMM, such as xtdpdsys at stata. Is that based on the potential lost of information due to orthogonal ...
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1answer
51 views

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?
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13 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 ...
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21 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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1answer
66 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?
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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 ...
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1answer
56 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=\...
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18 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 ...
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1answer
29 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 ...
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1answer
79 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 ...
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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 ...
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2answers
81 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 ...
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2answers
91 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. ...
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23 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 ...
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3answers
122 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&...
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1answer
44 views

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 ...
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36 views

Obtain the OLS estimators of the simple model from the multiple model

I'm looking for the answer to this question: In the context of the simple regression model (two variables) we know that the estimators of OLS are given from: $\hat{\beta}_{1}=\frac{Cov(x_i.y_i)}{Var(...
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27 views

Lorenz curve extension to 3d?

While thinking about Lorenz curves and economic inequality I wondered if you can extend Lorenz curves to Lorenz surfaces by revolving a Lorenz curve about the line of perfect equality. Would such a ...
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1answer
53 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 ...
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14 views

Random Effects Model with Only Time-variant Independent variable

I'm trying to estimate a panel with random effects where the dependent variable depends on time and id; and the independent variable depends only on id. However, the results that I'm getting are ...
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21 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.
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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:...
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Statistics on which businesses use flyering the most for advertising

Flyering is a well-known method of advertising. In my country (Russia) flyering is a very common practice and there is a fair amount of demand for flyer designers. I am interested in businesses of ...
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84 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://...
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2answers
70 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 ...
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1answer
184 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 ...
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1answer
107 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 ...
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1answer
51 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 ...
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2answers
47 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 ...
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778 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 ...
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2answers
83 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 ...
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1answer
28 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.
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2answers
87 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 ...

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