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

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Joint posterior HPD region for the coefficients of the normal linear model

Suppose the following model: $y=\beta_1X_1 +\beta_2 X_2+\beta_1 X_3 +\epsilon$ with $\epsilon \sim \text{ Normal}(0,\sigma^2I_n)$ With non informative prior, flat prior for $\beta$ and ...
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2answers
48 views

Homoskedasticity Assumption: Var(y|x)=Var(u|x)=constant?

I've seen the homoskedasticity assumption stated as the constant conditional variance of the error (i.e., Var(u|x)=constant). I was wondering if I can also state the homoeskedasticity assumption as ...
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1answer
34 views

Standard techniques for forecasting revenue growth of a company?

I was curious what sort of time series models were the standard for doing this type of analysis. I have weekly sales data for the company - I could cook up my own time series model but would like to ...
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0answers
22 views

Help with Panel Data Analysis

I'm doing a quite small observation's panel data analysis (roughly 200 observations, 4 panels, 33 Time-periods). I have decided on the model to use, Fixed Effect Model and I'm currently checking the ...
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0answers
14 views

Is there a statistical technique to perform this comparison? How could I do this on Stata?

I've been busy on a work where I have to compare two financial econometrics models on the determinants of financial leverage (panel data). These have only few control variables and the dependent ...
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0answers
24 views

Extremal serial dependence

As part of my analysis of heavy-tailed time series of company returns, I would like to check whether extreme returns exhibit serial dependence, i.e. if extreme events are followed by extreme events. ...
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35 views

is it possible a nonstationary time series, to produce a stationary ARMA model?

I Have a variable (time series) which is nonstationary. I found that from the graph which seems to have a stochastic trend and the correlogram has a typical nonstationary pattern. After that, I've ...
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16 views

Dynamic pricing optimization of function in R

I'm working my way through a simple dynamic pricing model, and I'm having trouble figuring out how to optimize what I'm working on. I want to maximize $\Sigma_{t=1}^TR(D_t) - h_tI_t$ for the ...
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0answers
14 views

What are the statistical implications of assigning treatment and control in time series study under 2 different approaches?

I have a project wherein my group wants to measure the effect of counseling at-risk students on their academic outcomes. There are 1,000 students who will be enrolled during the current academic ...
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2answers
33 views

What does initial level of GDP mean?

This might come as a very trivial thing and way below standards of this group but I am struggling to figure out what do the authors mean when they say that they have used initial level of income in ...
3
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3answers
72 views

Endogeneity & IV = model misspecification?

I'd like to raise a controversial point: if you need instrumental variables, your model is wrong. Basic endogeneity problem and the IV solution Let us suppose the basic framework of endogeneity and ...
2
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1answer
41 views

Practical issues with dynamic panel data modeling

Unfortunately for me, I've got a situation where I need to control for the lag of a dependent variable as a robustness check against an alternative interpretation of my main regression. The baseline ...
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22 views

Binned scatter plots

I am trying to plot a non-parametric plot to assess the relationship between my dependent variable and independent variable of interest. I read in a paper I admire the author plotting the ...
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1answer
38 views

Approach for mapping consumer preferences

I have this web application where I need to map consumer preferences based on some input information and individual choices. My goal is to create a list of product recommendations and evaluate the ...
2
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1answer
41 views

IV First and Second Stage Graphs and Interpretations

First of all, many thanks to those who have kindly answered my previous questions, I am learning a lot! Suppose I have a model y = x1 + x2 + x3 x1 is endogenous and has instrument Z1 that is ...
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1answer
37 views

Interpreting significance of Cragg-Donald F-Statistic for weak instruments

I have a first-stage F value of 9 for a model with 1 instrument and 1 endogenous variables, the mechanical rule of thumb of 10 would say my instruments are weak. However, I am reading the 2005 paper ...
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0answers
25 views

Prediction model on online game economy

I want to study the economy of an online game. In specific I want to examine if there is a possibility to create a prediction model. I would try to describe the whole concept and I am asking for ...
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1answer
42 views

IV and Exogeneity Tests

Read something about the Hausman test that didn't sound right in some grad course handout online. It stated that the Hausman null of OLS and IV not being statistically different, if not rejected, ...
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30 views

Heteroskedasticity determined. Standard errors fall with robust?

I have tested my model for heteroskedasticity both graphically and and formally (White and BGP). However, I find correcting for heteroskedasticity my errors actually fall. I recall learning that ...
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1answer
28 views

Can a single instrument reduce OVB and measurement error in your model?

My endogenous variable is very likely to be measured with error, but also confounded by unobservables. I have an instrument that rises with the value of the endogenous variable, at the same time it is ...
2
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4answers
144 views

Can a trend stationary series be modeled with ARIMA?

I have a question / confusion about stationary series required for modeling with ARIMA(X). I am thinking of this more in terms of inference (effect of an intervention), but would like to know if ...
3
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1answer
53 views

Basic Instrumental Variables Dummy Variable question

I have been reading Mostly Harmless Econometrics and have been won over by the virtues of splitting my instrument into groups. In particular, I have a continuous variable as an instrument representing ...
2
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0answers
24 views

Dynamic Panel/GMM in R with group:time fixed effects?

Is there a solution coded in R to estimate models of the form $$ y_{igt} = \alpha_i + P_{gt} + \beta_1y_{igt-1}+ \beta_2y_{igt-2} + X_{igt}'\gamma + \epsilon_{igt} $$ ?? ...
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1answer
34 views

Question about using a multiplicative dummy variable

In many econometrics model, the changes in the response variables in certain intervals are more difficult than other intervals. But I believe this is often not considered when estimating the model. ...
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1answer
31 views

Interpreting Log-Transformed Percentages in OLS

In a log-log model, such as $\log(y) = b_0 + b_1 \log(x)$, I know that with OLS the standard interpretation is a "1% increase in x is associated with a $b_1$% increase in y." I have three related ...
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0answers
20 views

More than one function of a single instrumented endogenous variable — is the model still underidentified?

The typical instrumental variable setup seeks a consistent estimate of $\beta$ from $$ y = \alpha + \beta x + \epsilon $$ where $cor(x,\epsilon) \neq 0$, in the univariate case, without loss of ...
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1answer
49 views

Basic 2SLS IV Questions in Stata

(1) If I believe my instrument is exogenous conditional upon a few exogenous variables, do I include them only in the first stage? I.e. would the command be: ...
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1answer
39 views

First Differences and Fixed Effects

I'm aware of the fact that first differences and fixed effects are both designed for the same solution -- removing unobserved unit-level effects. However, I'm unclear on what happens when you include ...
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0answers
93 views

Is there a name for this process/ distribution?

Does the equation below have a name, or is it similar to some other well-known process/ equation? Equation of interest: $$S_c = S_{c-1} + S_{c-1}\omega_c\delta_c$$ $\delta\sim\mathcal{N}(0,1)$ is a ...
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0answers
26 views

Time Series Econometrics: Cointegration methods for series with mixed degree of integration

I am performing a time series analysis on dataset ranging from 1974-2008. I have performed Augmented Dickey Fuller tests and Phillips Perron tests to check the stationarity/ order of integration of my ...
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0answers
38 views

How to scale data in a log-lin regression

I am currently doing exam revision, and I am stuck on a question in one of the past exams. It asks us to data scale the following equation: $\ln W$ = 2.54 + 0.4...
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1answer
35 views

'Panel' data without unit identifier

I need help trying to figure out what data-structure I'm dealing with, and what estimation & inference models I can therefore use. There are multiple units and periods. No unit identifiers, so ...
2
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1answer
56 views

Calculation of confidence interval for estimation of demand curve - how many degrees freedom?

I'm trying to understand how uncertain an estimation of a demand distribution of a good is. If I take a random sample of n people from the representative consumer population who give me their personal ...
4
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1answer
56 views

Creating a model for prices including supply

I'm working on modeling secondary market ticket prices for sporting events, but the issue I'm running into is that the model (a linear regression) assumes that more season ticket holders and more ...
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1answer
46 views

Estimates from a log-linear regression model

I am estimating a economic growth regressions using dynamic panel data. My specification is as folllows: $$\ln Y_{i,t} = a \ln Y_{i,t-1} + bX_{i,t} + e_{i,t}$$ $Y$ measures income per capita $X$ is ...
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36 views

Plotting a Probit Time Series in R

I've searched around a bit, but am having trouble finding an answer to my specific question that isn't too technical. I want to predict the probability that we are at a turning point – arbitrarily ...
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0answers
18 views

Determining customer price sensitivies by mining purchase histories

Currently, I am looking for methods to calculate some kind of price sensitivity index for customers of an online store based on the purchase histories. I've found a lot of literature in which panel ...
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0answers
36 views

Difference between SUR and SEM

SUR means Seemingly unrelated regression, and SEM means simultaneous equation model. What is the difference between them?
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1answer
59 views

How to test the ARIMA coefficients?

Which test is required to test whether coefficients estimated as part of ARIMA procedure is different from 0? And how does one compute this test? I am reading some procedures regarding the inversion ...
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0answers
69 views

Interpreting Augmented Dickey-Fuller in R

I know that this has been discussed before, but those discussions did not really answer my questions. I know how the ADF test works, but I am having trouble interpreting the output for the three ...
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1answer
60 views

time series — seasonal adjustment

I'm concerned to seasonal adjustment procedure and want to know the criteria for this purpose can anyone please give me the answer of the following question. what should be the criteria for seasonal ...
0
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1answer
54 views

How many degrees of freedom are used in this model?

I have the table below, and I want to find the degrees of freedom for these data. Will my $k$ value from the formula $n-k-1$ include the dummy variables and DIST^2. ...
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0answers
56 views

Is it necessary to transform an econometric model in order to have only diagonal elements in the error covariance matrix?

Model and its assumptions I'm working on the methodology of a two-way error component model. Here is the model: $$y_{jis} = x_{jis} \beta + \upsilon_{jis}$$ $j$ refers to school, $i$ refers to ...
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0answers
13 views

Matrix rank and amount of regressors

A question states: $X$ is the vector of regressors stacked for 30 observations and $Rank(X)=5$. There are no lags of $y_t$ in the set $X_t$. Using the Durbin-Watson statistic, test the null hypothesis ...
3
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1answer
55 views

Specification of panel data

I am trying to find out the best specification for my dataset. I am trying to probe the effectiveness of the special economic zones in Poland in the meaning of growth of the economy in three ...
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6answers
220 views

Textbooks pertaining to creating models?

I'm not sure if a question like this has been asked yet on this website. I recently graduated as an undergraduate statistics major with a bit of a dense math background (I know some probability ...
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0answers
38 views

Autocorrelation tests for time series VAR models

I have a VAR model in which I regress the monthly unemployment rate on itself lagged one month, the monthly GDP percent growth lagged by two months and two dummy variables. I am trying to test for the ...
2
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1answer
64 views

Serial correlation: estimation vs robust SE

We have route-level data (that I cannot share) on monthly bus ridership in New York City, creating a panel $N= 185$, $T=36$. We estimate a fixed effects model and random effects model with R's ...
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52 views

Interpreting results of an Augmented Dickey-Fuller test

I am running the 3 models of the ADF (Augmented Dickey Fuller) test on a (ln total fertility rate) variable. The results: Intercept only: (lag difference = 0) at level; p-value for Z(t) = 0.9672. ...
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62 views

Changing the variable you omit due to the dummy variable trap

I've got a quick question. The practice exam on which I have the question is linked below and its the first question As you can see, column (3) and (4) on the table are both the same except the dummy ...