# Tagged Questions

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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### 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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### 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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### 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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### 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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### 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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### 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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### 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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### 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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### 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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### 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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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 $... 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 ... 0answers 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,... 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 ... 1answer 41 views ### Include time dummies with xtreg,fe? [closed] Is running: xtset panelvar timevar xtreg dep indep, fe the same as just running ... 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 :... 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 ... 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 ... 0answers 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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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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### 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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### 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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### 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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### 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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### 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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### 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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### 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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### 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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### 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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### 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-...
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 ...