Econometrics is a field of statistics dealing with applications to economics.

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Determining Optimal Markdown price for Items

Suppose you have a set of items. Some items are old and some items are new. Naturally, the demand for old items will diminish while the demand for new items will increase. As a result, old items will ...
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12 views

I want to check the “affect of economic variables on the export of vegetable ” [closed]

I have used ARDL technique for that as I applied that technique following answer come to me. Value of Durbin Watson test (2.20). Please guide me how i can interpret that value?? In the long run ...
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21 views

Trouble fitting contrained regression in R software [closed]

I'm trying to run a constrained regression in R. My model is (there is no intercept): $$ Y = \pi_1 X_1 + \pi_2 X_2 + \pi_3 X_3 + \pi_4 X_4 + \pi_5 X_5 + \pi_6 X_6 + \varepsilon, $$ subject to the ...
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11 views

What is the approach for agricultural price forecasting? [closed]

I have a project on Indian onion price forecasting? But I don't know the approach because I don't have statistical background. Please suggest me approach to this project.
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1answer
26 views

Dickey Fuller and deterministic regressors

Can somebody help me with how I can determine what deterministic regressors(trend, drift and intercept) I shall include in the Dickey Fuller test. A Stata help file outlines four cases: 1 Random ...
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1answer
25 views

Heteroskedasticity and Type I, Type II Error

If one is conducting a hypothesis test for heteroskedasticity, would one generally consider a Type I or a Type II error more serious? What is the reasoning behind this?
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1answer
55 views

Dynamic treatment timing in a panel-DiD framework

I have a question regarding the timing of treatment effects and how one could use the difference-in-difference estimator on a panel data set. Let me begin by saying that I have a big firm level ...
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15 views

lag intervals selection in Johansen cointegration test

thank you for your suggestions. I am trying to run Johansen cointegration test in Eviews 9 for three real prices. All three variables are are I(1) and display almost no trend. To run the test in ...
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1answer
20 views

transition matrix for urn model

There are slides regrading to urn model I have two questions if a Species A dies and a Species A is born, the original text says the probability is 0.4*0.4, but since a Species A has died , ...
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1answer
34 views

What is meant by reduced form in my model?

I have a model with the following variables: consumption/Income ratio = b0+b1GDP+b2Money Supply+b3 inflation+b4 unemployment rate+b5 total supply+b6 total demand I think it is a simple multiple ...
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1answer
77 views

SUTVA vs. independence

In the Wikipedia article on the Rubin causal model I stumbled upon the following quote: We require that "the [potential outcome] observation on one unit should be unaffected by the particular ...
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1answer
53 views

Are log difference time series models better than growth rates?

Often I see authors estimate a "log difference" model, e.g. $\log (y_t)-\log(y_{t-1}) = \log(y_t/y_{t-1}) = \alpha + \beta x_t$ I agree this is appropriate to relate $x_t$ to a percentage change in $...
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2answers
49 views

Covariance Matrix for Time Series

I'm trying to investigate how events affect the stock market through econo-physics and I came across a paper that uses the co-variance matrix. What I don't understand is how such a matrix can be ...
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13 views

Evaluate various censored estimators goodness-of-fit with and without ground truth [on hold]

I would like to evaluate the goodness-of-fit for non-parametric estimators (Kaplan-Meier, Nelson-Aalen and their smoothed variations) of the survival function on a number of datasets. For some of them,...
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1answer
69 views

Mathematical derivation of correlation in dynamic panel data model

My question is about deriving a result in Cameron and Trivedi - Microeconometrics (2005) on page 763, section 22.5.1. The section's subject is Dynamic Panel Data Models - True State Dependence and ...
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1answer
41 views

Include time dummies with xtreg,fe? [closed]

Is running: xtset panelvar timevar xtreg dep indep, fe the same as just running ...
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2answers
96 views

How can I compute the standard error of the Wald estimator?

According to Cameron and Trivedi Microeconometrics 2006, page 98-99, the Wald estimator can be written : $$ \widehat{\beta}_{Wald} = \frac{(\bar{y_1} - \bar{y_0})}{(\bar{x_1} - \bar{x_0})} $$ with :...
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0answers
19 views

Adjusting Standard Error for Imputed/Generated Regressors

This is my first question, so I hope this is a valid question. I am surprised that I have seen only few questions (and no answer helping me out) referring to the adjustment of variance estimators in ...
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1answer
35 views

Elasticities for Multinomial Logit Model (Stata)

I estimat a multinomial logit model in Stata. Is it possible to compute elasticities from the MLogit model? If so, do I need to take the logarithm of the y and x variable, or only the log of x? I ask ...
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37 views

GMM Moment Condition [closed]

I have encountered some difficulties in solving the following exercise: Consider $(y_{i},x_{i})$, which are i.i.d pairs. We observe a random sample from this distribution. We want to estimate $\mu=E[...
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2answers
110 views

Lagging/Leading Indicator Length Time

I tried looking this question up on google and didn't find material that answered my question. But my questions are: (1) Is there a method to determine how long it takes a leading indicator to ...
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1answer
13 views

Multiple Linear Regression - 2 Independent Variables, one with the same values

If I am running a multiple regression analysis with two independent variables (say, x1 and x2) and all the values of x1 are the same number, what issues does this present? I'm thinking in terms of ...
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1answer
36 views

What does strict exogeneity condition of OLS really mean?

In Hayashi's Econometrics, it is stated that one of the assumption of classical OLS is: $$\mathbb{E}(\epsilon_i\lvert\mathbf{x_1}, \mathbf{x_2}, \ldots, \mathbf{x_n}) = 0 \text{, for } i=1, \ldots, n. ...
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2answers
90 views

What is parameter identification in the context of OLS?

Can someone explain what identification means in the context of an OLS model? I have a fair grasp of the derivation using either the method of moments or by minimizing the squares, but am failing to ...
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10 views

Herfindahl–Hirschman index for data accumulation

I'm checking the data accumulation in segments with Herfindahl–Hirschman index, the idea is to get segments with low index. Do you think this is a good way to detect this accumulation? and do you see ...
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1answer
33 views

Mixed effect model. Should I use time as random intercept?

We have a dataset with the level of export of a certain good towards Italy for almost all countries of the world for 15 years. We want to infere the effect of the distance of such countries from ...
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A Game Plan for Cross-Section Modelling

Imagine we have already built our linear regression model, with a certain dataset. Which order of tests would you follow to be sure that whatever conclusions you may want to extract are correct? For ...
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19 views

What is the minimal size of a dataset and most efficient algorithm to predict consumer buying behavior with a limited set of products?

Let's say I have a site on which users buy and sell products from each other, and I wish to see which products in a particular category (defined by me) are purchased most frequently. A) What is the ...
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16 views

What would be endogenous and exogenous variables in case explained here?

Foreword: I'm working on a non-econometrics related project where we're trying to use econometrics toolboxes in order to avoid re-inventing the wheel. I'm a bit overwhelmed by it and am trying to cut ...
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19 views

Generalized Instrumental Variable Estimator (GIVE)

In some literature it is possible to find the Generalized Instrumental Variable Estimator (GIVE), but this is not always well-specified. Is this estimator equivalent to an estimator found using the ...
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14 views

Employing cross_validation to to develop a reasonable linear regression model using scikit learn

Situation: I have fifteen years worth of monthly observations of price of a chemical, roughly 190 data-points. I want to develop a simple linear model of this price based on the price of other ...
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11 views

Causal Inference from cross-sectional survey data with recall questions and associated problems

I have a dataset from a cross-sectional study (n=121) where people where asked about production characteristics in 2015 and how they recall their production in 2010. One set of example questions could ...
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1answer
62 views

Interpreting regression Output for CAPM

I have an interpretation problem. As you can see below there's a linear regression output for the CAPM. I don't know how to interpret the significance level. ExIndex has a very low p-value, but the ...
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3answers
76 views

Definition of validity of an instrumental variable

What does "validity of an instrument" mean exactly? In my econometrics course we have just defined instrument validity as $E[Z|u]=0$, where $Z$ is the instrumental variable and $u$ is the error term ...
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Is it ok to use Panel Unit Root Tests for all currency pairs in a sample? (Not one common base currency)

I have a dataset containing the real exchange rates for all country pairs within the OECD. Now I would like to test stationarity using one of the many panel unit root tests. However, reading Pesaran, ...
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9 views

Time-varying predictive model for a set of proportions

Suppose there is a casino where people bet on a weekly horse race. On Sunday, the casino publishes the prices for a wager on each horse for the upcoming Saturday's race. Everyone who wagers on the ...
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leave-h-out cross validation

I'm doing multistep forecasts of univariate time series and a wide range of exogenous leading indicator variables are available. Therefore I'm looking for ways to optimally select and/or combine ...
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1answer
30 views

endogenous and exogenous variable interpretation

I am running a regression of the form $$\log\left(Y\right)=x_0 + x_1\beta_1+\log (x_2)\beta_2 +x_3\beta_3+ \epsilon$$ where all the covariates $x_1$,$x_2$,$x_3$ are endogenous. I have an instrument ...
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30 views

What is a 'horse race' regression with financial predictors?

In a sample regression like this, $r=b_1f_1+b_2f_2$, where $f_1$ and $f_2$ are financial risk factors, I want to see if one of the factors say $f_1$ drives out the other $f_2$, described in John ...
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11 views

Intuitive Understanding of Factor Risk Premium (Chen, Roll and Ross 1986)

I am trying to understand the findings in the Chen, Roll and Ross (1986) paper that uses the Fama Macbeth methodology to determine factor loadings and factor risk premia. I have understood the method ...
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27 views

Treatment changing over time

I have a problem with the identification technique of my research paper. I would like to estimate the causal effect of a policy (the introduction of a budget balance rule) on the composition of ...
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1answer
89 views

Choosing the right ARIMA model when data are already seasonally adjusted

I'm trying to build an ARIMA model to forecast the US unemployment rate month-by-month for the period 2006-2015. To select the model I'm using monthly seasonally adjusted data from 1948 to November ...
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1answer
41 views

Why model data using parametric distributions instead of empirical?

I've been wondering why the use of empirical distributions in research is not as prevalent as I think it should be given my understanding (likely misinformed) that an empirical distribution would give ...
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How do I find impact of independent variable change in dependent variable change?

Suppose I am having a function revenue = NumberOfUsers * ConversionRate * AvgOrderValue. If revenue is changed to 24%, How I can know %impact of NumberOfUsers,ConversionRate and AvgOrderValue?
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9 views

Interpretation of the estimate of a 'share of' variable.

Currently I am writing my thesis and therefore I have run some panel data regressions in Stata. There are various variables included in this formula, but I am unable to interpret a minor part. I am ...
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21 views

Problem in finding appropriate model

I'm having a problem in deciding which model to be used in our research report. The main focus of our research is to find out the effect on export using CPI, output, area. The thing is, we have a ...
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1answer
55 views

Use z-scores to determine the best strategy for airlines

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 ...
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1answer
59 views

Relationship between Linear Projection and OLS Regression

In Wooldridge's Econometric Analysis of Cross Section and Panel Data, he defines linear projection of $y$ on $1,\mathbf{x}$, in the following way: Let's assume that $Var(\mathbf{x})$ is positive-...
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1answer
30 views

Endogenous variable Instrument

I am confused about running an iv regression My endogenous variable is a dummy variable i-e earlychildbearing=1 if ageatfirstbirth<20 My second stage equation is the standard child health ...
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3answers
135 views

Testing linear restriction in R

I would like to test a linear restriction in R. Instead of the usual $\beta_i=0$, I want to test if $\beta_k=0.5$ and $\beta_j=-0.5$. Is there a way to do this using lm command, and just writing a ...