Econometrics is a field of statistics dealing with applications to economics.
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Regression coefficient equivalence
In the exercises 5.1 from Meyers "Classical and modern regression with application" ask you to prove that:
1- The regression coefficient associate with $X_{j}$ in the multiple regression of $y$ ...
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1answer
82 views
Diagonal elements of the projection matrix
I am having some problem trying to prove that the diagonal elements of the hat matrix $h_{ii}$ are between $1/n$ and $1$.
Suppose that $Range(X_{n,k})=K $ the number of columns of our matrix of data ...
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1answer
125 views
Free econometrics textbooks
Are there any free econometrics textbooks available for individual use? I'm aware of Bruce Hansen's first year PhD Econometrics textbook, but I'd be interested to hear if there are any other such ...
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2answers
33 views
Reversed null hypothesis of econometric unbiasedness
Assume there are two candidate models, $\hat{f}(\beta)$ and $\hat{g}(\beta,\theta)$. If the true data generating process is $f(\beta)$, then $\hat{g}(\beta,\theta)$ is unbiased but inefficient. If, on ...
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1answer
29 views
How do I create utility scores from an unequal number of inputs
In my data I have an outcome - "daily satisfaction" - measured on a 1 to 5 scale with 5 representing the respondent was very satisfied with her day and 1 representing the respondent was very ...
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1answer
56 views
Using text mining/natural language processing tools for econometrics
I am not sure whether this question is fully appropriate here, if not, please delete.
I am a grad student in economics. For a project which investigates issues in social insurances, I have access to ...
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1answer
16 views
Choice Modeling and MaxDiff
I am new to the market research industry and have been exposed to a procedure called MaxDiff. I have seen this also called Best-Worst scaling. I am looking for good literature overview for this method ...
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25 views
Binary choice models and index function
Let's analyse the following binary choice model:
$$Y^*_i = X_i^T \beta + \varepsilon_i\\
\varepsilon_i \sim F \\
Y_i = \mathbb{I} \{X_i^T \beta + \epsilon_i > 0\}$$
where $F$ is determined by a ...
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1answer
47 views
Binary choice model and classification
Are there any differences between binary choice model and classification problem?
For example, binary choice model may use logistic regression, which is also an widely used approach in ...
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35 views
Econometrics: Sargan test
Here are 3 questions about econometrics and R codes.
Test the endogeneity of the variable EDUC:
...
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1answer
49 views
What test is this for endogenous variables?
Can somebody tell me whether the following R code (for econometrics endogenous variables) is for a Hausman test, a Nakamura test, or some other test?
...
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1answer
37 views
Insignificant VAR coefficients
I am not quite familiar with vector autoregression (VAR).
I am thinking of using VAR/IRF (impulse response functions) to illustrate the relations between some time series variables.
However, most of ...
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42 views
What is the meaning of McFaddens Axiom: Irrelevance of Alternative Set Effect?
On page 110 of McFadden,1973 - Conditional logit analysis of Qualitative Choice Behavior, Frontiers in Economics, ed Zarembka, New York: Academic Press, pp. 105-142 the following three Axioms are ...
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1answer
35 views
Durbin-Watson test for first order autocorrelation when interaction effects are present
I have a multiple linear regression model (OLS) that has a constant, 5 variables, and an interaction term between two of the dummy variables.
I need to perform the Durbin-Watson test for first-order ...
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0answers
41 views
GARCH models in MATLAB: Why does MATLAB force me to include ARCH terms in any GARCH model?
As far as I know, it is statistically possible/mathematically valid to fit a GARCH model to a stationary time series without including any coefficients on the innovation terms, i.e., including only ...
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0answers
32 views
Causal identification and penalized splines
I just got a rejection from an economics journal. Among the reasons cited for rejection were:
the benefits of using the semi-parametric method are not clearly
brought out compared to ...
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0answers
24 views
Subsetting panel data by time
Let's say I have balanced panel data, with 30 units across 30 years, and I am interested in the effect (non-causal) of variable X on variable Y.
At least within the econometrics literature, the ...
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1answer
74 views
Econometrics : Multiple regression Fisher and Student statistics
I am trying to estimate a production function called Cobb-Douglas.
For the period 1958 to 1972 and for the agricultural sector in Taiwan, we observed:
...
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89 views
Performing an F-test; comparing two Stata regressions
I'm doing an introductory course on econometrics. It's been so long since I took a course in statistics that I guess I've forgotten a few essential things.
I'm working through some exams for this ...
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A good primer on how people deal with cluster-wise autocorrelation in mixed models?
The courses that I've taken have been primarily in the economics department, but I've been learning more of stats more broadly recently. One thing that I don't understand well is how exactly people ...
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40 views
Correcting Classical Linear Regression Model (CLRM) violation
How would you correct for violated error term assumption of CLRM in stata. If our hypothesis is correct, our assumption of error term is violated. I am trying to correct this on stata but don't know ...
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2answers
93 views
What is the difference between multivariate analysis and econometrics?
I am writing my thesis about how different factors influence stock excess returns after an M&A announcement. I haven't taken a multivariate analysis class and I have only a very basic idea of ...
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0answers
32 views
Running a Probit on Survival-Time Data?
Can I run a probit on survival time data? It's discrete-round, and I want to look at whether lagged variables affect the failure event. I am, however, getting negative coefficients for a probit ...
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forecasting export - methods
I have Product X Export data (time series data: year - amount) approx for last 10 years for my country and also Product Export data for Enterpise Y.
I am writing thesis. This would not be the main ...
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1answer
51 views
Program Impulse Response Functions for VAR
I'm trying to program impulse response functions for a VAR model using Cholesky decomposition. The thing is I do not completely understand how I should do this when I read in the literature. Suppose I ...
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0answers
55 views
Interpretation of Translog regression
I'm a beginner in R and Im wondering how to interprete my results.....
My question is about the results that I got after I did a regression on the Translog production function for panel data:
$ ...
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1answer
222 views
Interpretation of fixed effect model (panel data)
I am doing a work to school in which I have to analyze effect of expenditure for research and development on Gini index. I have Panel data and when I do Fixed effect model, I have problem with ...
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4answers
153 views
Why can't I trim the the dependent variable in a regression? Or can I?
I've been told not to trim the dependent variable in a regression, but I don't know why. It makes sense that I shouldn't select my sample based on the outcome, but what assumption does this violate? ...
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0answers
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Analyzing variables which are bound by [0,1] in R (and in general)
I'm compiling some data for econometrics research.
$Y$ is the dependent variable, which is a probability index (the Simpson Biological Diversity index): \begin{equation}D = 1- \sum \frac{n\cdot ...
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89 views
Limited Information Maximum Likelihood (LIML) estimation in R?
Curious whether anyone knows a package, or has written an implementation themselves, for conducting instrumental variables regressions using LIML in R. All of the R packages I have seen for IV ...
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0answers
49 views
How do you think about the central estimate when the confidence interval is asymmetric?
I'm using a wild bootstrap to create confidence intervals around fitted values of the following model, for a specific combination of the factors, as x varies across its range.
...
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1answer
148 views
Using conjoint analysis for price elasticity
I have been asked to use conjoint analysis to find the price elasticity of a certain category of products. I have never used conjoint analysis before and have been reading about it for a while. I have ...
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2answers
96 views
Do the results show an omitted variable bias? How sizeable is the bias?
The question is more involved on how to calculate the omitted variable bias. We were given data and are supposed to use SAS to run regression models. First, how do you know if results suggests there ...
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57 views
How do I find the equation of an autoregressive process given its mean and non-constant growth rate?
A paper I'm reading states that:
$X$ is non-stationary with a growth rate of $g_t = \log \left(\dfrac{X_t}{X_{t-1}}\right)$ and follows an AR(1) process with mean $\mu$.
I know that AR(1) ...
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2answers
118 views
Imputing a missing variable based on common variables with another data set
I have 2 data sets: $A$ and $B$. The variables are common to both data sets with the exception of two, which are both missing in A. Let's call those two additional variables: $b_1$ and $b_2$. We ...
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2answers
49 views
Why would we want to use average cost as response but not total cost?
Assume I have a data set as follows:
...
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3answers
65 views
Adding up events in time series forecasting
Let us say that we have an event - variable (1/ 0) that denotes the occurence of an event on a daily basis e.g. a strike. Let us now say that we have a continuous variable (sales) that that we want to ...
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2answers
140 views
Causality, omitted variable bias
This might be a basic question, but I want to be sure that what I'm doing is right. I have a model that suggests that variable X causes both Y and Z. When I regress Y on X, or Z on X, I get positive ...
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1answer
85 views
What is the explanation for a regressor losing statistical significance when a high leverage point is dropped?
I'm currently working on an Econometrics project and I've come to a point where I've dropped a high leverage point as identified by cook's distance and a leverage plot (had observations that were ...
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65 views
I have two sets of data (regular time intervals) is there any way to find out when they correlated the most and when they don't?
Sorry if the title is a bit vague however, i'm not sure exactly how to make my sentence concise.
I have two times series:
Amount invested into Iraq across time (in months)
Price of a stock across ...
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0answers
68 views
How to deal with two time factors in panel data modelling using PLM package in R?
We have question regarding the analysis of panel data in R (plm) which was observed over two time scales.
As way of a background, we have completed an economic experiment with a group of 6-8 ...
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2answers
67 views
How can I say this is probability?
My teacher gave us 50 possible test questions of which he'll randomly select 25 to test us on. From the 25, we can then select 10 to do of which he'll grade the 8 best.
The question is how many ...
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1answer
182 views
Introductory statistics and econometrics in R
I don't know whether this post deserves to be here or in Stack Overflow. I am looking for the good book [one that is usually recommended as the text book] for teaching the introductory statistics and ...
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69 views
How do you test parameter stability in a time series model?
In the econometric exam that I will have next week, I will probably have to solve an exercise like the following:
Given the classic regression model Yt = α + βXt + Ut, t=1,…,T:
I) How do you test ...
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1answer
115 views
Definition of simultaneous equation modelling
I have been asked to comment on a statistical analysis proposal that suggests using simultaneous equation modelling as a method. I have a basic general knowledge of statistics (Masters level) but ...
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17 views
cannibalization of product sales [duplicate]
Possible Duplicate:
Cannibalization of product sales
I am trying to determine the rate of cannibalization of product sales
for A with product B. I am using ~ 2 years of daily sales data
for ...
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0answers
42 views
Why do different estimators for stock volatility exist? (Realized Variance, RAV, etc)
I am very confused about why different volatility estimators (RV, RAV, BPV, etc) exist. If the goal is to find the best estimator for stock volatility, and volatility is latent, how do I know which ...
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2answers
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Suppose that $R^2=0$ . Does this imply that Y and X are unrelated? [duplicate]
Possible Duplicate:
Under what conditions does correlation imply causation?
Can somebody illustrate how there can be dependence and zero covariance?
Or could there still be a ...
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1answer
418 views
Cannibalization of product sales
I am trying to determine the rate of cannibalization of product sales
for A with product B. I am using ~ 2 years of daily sales data
for product A and then ~8 months of data for product B. That is, ...
2
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1answer
95 views
The gradient of a bivariate probit model
I am working on a bivariate probit model and I want to calculate the gradient. In order to do that I have to take the devirative w.r.t. $\beta$ in the following expression:
...
