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

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Proving regression satisfies SLR 4 (zero conditional mean assumption)

I have a linear regression as follows and it is assumed SLR1-SLR3 are satisfied: $ sav = \beta_0 $ + $ \beta_1 inc$ + $u$, where $ u = inc^{2} \times e$ And $e$ is a random variable with the ...
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17 views

What is the interval of Gini Index?

Suppose we have 2 classes. C1: 0 C2: 6 The Gini index is: $1−(0÷6)^2−(6÷6)^2 = 0$ C1: 3 C2: 3 The Gini Index is: ...
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28 views

Appropriate Instruments

My model is: $$Y=\beta_0+\beta_1X_1+\beta_2X_2+\beta_3X_3+\beta_4X_4.$$ I want to check if 'weather' (not included in the above model) is an appropriate instrument. $X_1$ represents price. If I ...
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28 views

Calculating income elasticity of demand

My model is as follows: $$Y=\beta_0+\beta_1X_1+\beta_2X_2+\beta_3X_3+\beta_4X_4.$$ My income variable is represented by $X_2$. When it comes to calculating the income elasticity of demand (demand ...
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20 views

Modelling Reflexivity with a Time Series Model

I'm new to this forum so hi to everyone! I would like to find a time series model that is capable of modelling two time series with following properties: 1) consider time series X and Y. X is ...
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9 views

Regression: Finding meaningful counterexamples for a claim about implications of population rank conditions

Situation: In regression settings with stochastic regressor matrix $X$, one needs to impose assumptions on $X$ to validate inference. It is custom to specify these assumptions with respect to the ...
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20 views

Measuring promotion baseline smoothing

I am trying to estimate promo effectiveness for a retail product. To do this I have taken monthly quantity sold data for the product. My question is - Is it logical to model the sales baseline (sales ...
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41 views

plz anyone can write commands of this barplot thanks in advance [closed]

Need comands of this barplot in r packege
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36 views

Regression discontinuity design

I am trying to apply an RRD design to a set of spatial data from rasters. The approach has been widely used in the development economics literature and I know that it is a sound methodological ...
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13 views

Using an interaction term as the instrument variable

I recently came across Barro and Redlick QJE (2011) paper, "Macroeconomic Effects from Government Purchases and Taxes", in which the authors instrument for US defense spending with an interaction term ...
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1answer
19 views

Test significance of time dummy

I have a logit model $y = \alpha + age + educ + male + year + u$ where y takes the value one if an individual exits unemployment. When calculating the marginal effects of, say, male, after the ...
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46 views

Constrained regression and lagged factors

I have a model that I need to estimate, where I've seen a similar example (Constrained Regression in R: coefficients positive, sum to 1 and non-zero intercept) but without the second part of ...
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21 views

Steps in performing a time-series analysis

I'm thinking of running a time series on stock prices and the affect demographic variables may have on them. This would include testing how the size of particular age groups (i.e., 20-39, 40-64, 65+) ...
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21 views

Measuring distances between numbers, in a way

I'm using fantasy football data from Draft Kings. I have data frames that look like this in r: ...
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1answer
19 views

How do I show that the mean of the posterior density minimizes this squared error loss function?

This exercise comes from Koop's Bayesian Econometrics. Given $\theta$, the parameter(s) of a model (in this case $\theta$ is a scalar), $\tilde{\theta}$, the point estimate of $\theta$, and constants ...
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18 views

interpretation of CAPM test

the CAPM is the Capital Asset Pricing Model. If i test the null hyphotesis that all intercepts of a multiple regression (where the dipendent variable is a equity and the indipendent is the market ...
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1answer
27 views

Test on SUR model

I have a SUR model with 22 equations, where each equation has the same 7 factors. I want to test if a coefficient (b3 in equation 1) is significantly different from another coefficient in another ...
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20 views

Is high variation in the independent variable desirable?

Is the following claim true/false in a regression model? A high variation in the independent variable and a large sample size are desirable because the improve the precision with which the parameters ...
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9 views

Under the latent variable formulation, can we use the Tobit model for count or categorical dependent variables?

Suppose we are using the Latent Variable Formulation (i.e. not the Generalized Linear Modeling) for a multiple regression model: Can the Tobit model be used if the dependent variable is not ...
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1answer
35 views

Running regressions where coefficients change over time

I'm trying to predict monthly stock price returns using 93 features that I think may be relevant. I have data for these features from 1990 to 2015. For each month from 1990 to 2015 I run a ...
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9 views

Calculating elasticities from spatialprobit Bayesian coefficients

I have run a model in R using the spatialprobit package and would like to calculate elasticities with respect to some of my coefficients of interest. I am a bit ...
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34 views

Estimation of autoregressive parameters of an AR(1) [duplicate]

I'm studying inflation and in particular its persistence, that is measured by the sum of the autoregressive parameters. Inflation time series is usually modeled in literature as an AR(1) process $$y_t ...
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1answer
45 views

Post Model Selection Inference problems - which remedies exist?

Recently, Hannes Leeb from Yale University and Benedikt Pötscher from the University of Vienna have published a series of papers dealing with what they call Post Model Selection Inference problems.* ...
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77 views

Is education continuous or categorical?

When estimating the returns to education, you can measure education by adding a quantitative variable school years, or as a set of indicator variables representing the different levels of education. ...
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257 views

Different AIC definitions

From Wikipedia there is a definition of Akaike's Information Criterion (AIC) as $ AIC = 2k -2 \log L $, where $k$ is the number of parameters and $\log L$ is the log-likelihood of the model. However, ...
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40 views

How to calculate interim and long-run multipliers in ARDL models with >1 lag?

I have calculated an ARDL(24,36) model with 1 independent variable. The data is monthly, hence the inclusion of so many lags. I am trying to calculate the interim multiplier (the cumulative effect at ...
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2answers
76 views

Correcting autocorrelation with MA in a regression

I would need some advice on a multivariate regression problem. I am running regressions with macroeconomic data at first difference and using a AR(1) as regressor to correct autocorrelation (it makes ...
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1answer
33 views

What type of regression for qualitative dependent variable

What econometric analysis can be used to study the impact of quantitative independent variables on a qualitative dependent variable? Basically, how do I do conduct a multiple variable regression where ...
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2answers
44 views

How to interpret effect of log-inventory on log-price?

I have an autoregressive model that explains house prices. The dependent variable is the log of the house prices, in which the house prices are an index number (lprice) The independent variables are ...
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21 views

How to test significance in different betas?

My data set consists of individual real estate listing prices (rental and selling) that vary along time. I want to know how time on market (TOM) affects the price so I'm regressing every single house ...
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34 views

Time Series and Testing Auto Correlation

Consider the following asset pricing model: $$RET_t=0.621+1.414(M_t)+0.732(HML_t)+1.9349(SMB_t)+0.250(RET_{t-1}) $$ $$(0.077) \hspace{5mm} (4.141) \hspace{5mm} (3.242) \hspace{5mm} (3.294) ...
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1answer
80 views

Unbiased Estimators and Heteroskedasticity

Consider a consumption model with bivariate data points $(Y_i,X_i)$, $i=1,...,n$, with $Y_i$ consumption and $X_i$ income. The univariate model is $$Y_i=\beta X_i+u_i,$$ where $E(u_i|X_i)=0, ...
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1answer
60 views

A Fundamental Question about Statistical Learning

In statistical learning (many textbooks), we assume that the data $Y$ is generated by $Y=f(X)+\epsilon$, where $X$ are predictors and $\epsilon$ is some random noise. Then the problem becomes: using ...
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29 views

Endogenous interaction term in a triangular system using control function (CF) approach

I am trying to estimate a model using control function approach (I will write all the variables in a scalar form so that it is easier to explain): The main equation: $y_1 = \beta_0 + \beta_1 ...
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1answer
63 views

Quantile regression versus OLS with dummies

I want to regress a variable Y on another variable X (with appropriate control variables and fixed effects) in a panel data setting. Two approaches come to mind: Use quantile regression; Use OLS ...
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57 views

Multiple Linear Regression in R - Hypothesis Testing

I have a multiple linear regression model in R where I shall analyse the rating of a product by demographic variables(age, ...
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1answer
67 views

Why can correlograms indicate non-stationarity?

I'm reading about correlograms, and how they can be used to detect non-stationarity. Supposedly, if the autocorrelation constant is significant, and/or declines slowly, we would deem the time series ...
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59 views

Forecast and 95% confidence interval

I have this homework about time series econometrics and I am having some difficulty trying to solve it. Can somebody can help me understand how to start and solve it? This is the text of the ...
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2answers
32 views

Ljung Box test chi square distribution

I want to prove the following statement: Under $H_{0}$ the test statistic $Q=n(n+2)$ $\sum \limits_{k=1}^h \frac{\hat{p}_{k}^2}{n-k}$ follows a $\chi ^2(h)$ chi-squared distribution with $h$ degrees ...
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55 views

model estimation with feedback loop in variables

I have the following problem regarding fitting of a model where some variables can be biased so that their values are based on knowledge or at good guestimate of $Y$ in the past. In other words: some ...
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40 views

How would you interpret these results for garchfit?

Im trying to fit a garch model to TESLA time series. Here's the code I used on R: # ...
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1answer
34 views

Finding optimal beta when there are multiple different errors

I am working on an econometrics model that I'm not sure how to approach. I've made a utility function where the weights have noise as well. In short it's: $$ y_i = (\beta + \epsilon_i)x_i + u_i $$ ...
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19 views

How to interpret normalized dependent variable?

I have normalized a previously left skewed variable to be my dependent variable. The variable is a response to a survey question with ordinal responses, so I thought it fit to normalize it. When I ...
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17 views

Uplift Model in Matlab

I was wondering if anyone had an idea how to implement an uplift model in Matlab. I have data for marketing campaign a company I am studying ran. I would like to test the impact of the marketing ...
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24 views

Relationship of WTI oil with selected US sectors before, during and after a crisis

My group and I want to analyze the relationship of WTI oil with selected US sectors before, during and after a crisis. We use daily data from Datastream. Our time intervals are splitted in three ...
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2answers
116 views

Parametric vs nonparametric methods [duplicate]

Are non-parametric methods preferable to parametric methods since the former do not force the model to have a parametric structure?
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31 views

meaning of adaptive expectation hypothesis

I'm having a hard time wrapping my head around this The of adaptive expectations formula reads as follows: $$X^*_t-X^*_{t-1}=\gamma(X_t-X^*_{t-1})$$ Where $X^*_t$ denotes the expected (or normal) ...
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1answer
63 views

IV regression, endogeniety and Wu-hausman question

We have the model: $HOURS = \beta_1 + \beta_2 ln(WAGE) + \beta_3EDUC+ \beta_4AGE + \beta_5KIDSL6 + \beta_6KIDSL618 + \beta_7NWIFEINC + e$ Does anyone know why using some variables as instruments ...
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26 views

Fixed effects robust X random effects

I'm new to econometrics and Stata and I need some help. I'm trying to estimate a panel data model and I'm would like how to compare a robust fixed effects and a random effects model in Stata. I'm ...
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39 views

Fixed effect omits non-fixed variables

I am working on a standard gravity model and am running a cross-section and panel regression which include fixed effects (country fixed effects for cross-section and country-time and country pair for ...