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

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The econometrics of a Bayesian approach to event study methodology

Event studies are widespread in economics and finance to determine the effect of an event on a stock price, but they are almost always based on frequentist reasoning. An OLS regression -- over a ...
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71 views

Mean and variance of ranks

Consider rank data 1 to n with two groups, n=n1+n2, how would one test the null that the two groups have equal rank distributions using MOMENTS? (Wilcoxon is not the answer) Is MLE possible to do the ...
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identification of simultaneous equation model

Consider the following SEM can be identified: $$ y_i = x_i \alpha + z_i \beta + u_i\\ z_i = x_i \delta + v_i\\ $$ where we have $$ E[u_i] = E[v_i] = E[u_i x_i] = E[v_i x_i] = 0\\ cov(x_i, u_i v_i) = ...
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31 views

Outliers in panel data

I have a panel data with 4 waves. The variable of interest for me is hourly pay which increases on average from wave to wave. I want to drop the observations with hourly pay in the bottom and the top ...
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3answers
75 views

Econometrics - which independent variable has the greatest impact on dependent variable? [closed]

So I have a model predicting college GPA (dependent variable). I have around 10 independent variables, ranging from hours studied per week to alcoholic drinks consumed per week. That being said, how ...
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1answer
24 views

What Grouping Method To Determine Average Over Lifetime?

I have the following data: When individual 'x' joined a company. As the data is limited to 2 years I do not know the start date of every individual. When individual 'x' left the same company. If this ...
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1answer
47 views

Using year fixed effects on data with yearly observations

I have a panel data set with yearly observations of various firms over a period of 5 years. I am running a fixed effects model in Stata using xtreg. Is it ...
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17 views

Imputing missing values of predictor for use in Regression Models

I have a panel data set that extends from January 2013 to July 2014. The response variable is complete for the entire period, however all of the predictor variables have values only up to June 2014. ...
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30 views

Relationship while controlling for variables

what does it mean when a question states controlling for other variables. for example I came across this question, Estimate a quadratic relationship between lnhourpay and age, controlling for gender ...
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98 views

Income and price elasticity for multinomial logit/probit and alternative-specific conditional logit/multinomial probit in Stata?

I have a question about estimating income/price elasticity of demand for multinomial logit/probit models in Stata. Lets say I fit a discrete choice model where the outcome is product chosen (4 ...
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1answer
32 views

Asymptotic variance of GMM with efficient instrument

This question emerged from reading Wooldridge's Econometric Analysis of Cross Section and Panel Data, second edition, section 14.4.3, where the asymptotic distribution of the GMM (Generalized Method ...
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1answer
38 views

In a two equation system, what is the meaning of the assumption “exogenous X is uncorrelated with ε1ε2”

Assume a triangular system such as \begin{eqnarray*} Y = X'\beta_1 + D\gamma_1 + \varepsilon_1 \\ D = X'\beta_2 + \varepsilon_2 \end{eqnarray*} with $Y$ and $D$ as observed endogenous variables, $X$ ...
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428 views

How to use the Hausman test for gender discrimination?

I am trying to estimate the gender wage gap for male and female office workers in a large Swedish company to test whether there is gender discrimination. The Hausman test rejects the null that the ...
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2answers
47 views

Panel data methods

My dataset is following: firms=1000, time period=10 years, countries=20, industries=15. I declare in STATA: xtset firmid year I want to control for the ...
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1answer
21 views

Principled way of combining time series with different spans and granularity into an econometric model

I want to forecast the price of something given various time series as inputs. The problem is that they are of different frequency (annual, quarterly, monthly, daily) and time periods (the more ...
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71 views

Instrumental variables equivalent representation

Let us work with the following structural model: $$y=\mathbf{x_{1i}β}+x_{2i}β_2+\varepsilon_i$$ where $x_{2i}$ is our single endogenous regressor. It turns out that given my instruments and my first ...
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2answers
107 views

Standard errors of a two stage least squares regression, Stata

I use Stata. I am trying to replicate the ivreg output of a regression performing manually the first stage, predicting the instrument after the first stage and running the second stage regression with ...
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1answer
62 views

Finding Regression Slope

This question is based on How to derive a regression formula Start with a regression equation: $s_{ij} = \alpha + \beta \bar{s_j} + \epsilon_{ij},$ The goal is to get to this. *Update. I figured ...
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$Y = \beta_0+\beta_1*X+U$ and $W = \gamma_0+\gamma_1*X+\gamma_2*U$, assume $\gamma_2\neq0$. also given is $E(U|X) = E(U)$ . find $ E(U|W,X)$

$Y = \beta_0+\beta_1*X+U$ and $W = \gamma_0+\gamma_1*X+\gamma_2*U$, assume $\gamma_2\neq0$. also given is $E(U|X) = E(U)$ find $ E(U|W,X)$ and conditions under which $E(U|W=w,X=x)$ is an increasing ...
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84 views

Law of Iterated Expectations Explanation

I am having trouble following a short derivation that uses the Law of Iterated Expectations that is found in the answer to another question: How to derive a regression formula I will repeat it here: ...
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11 views

Within $R^2$ vs between $R^2$ vs overall $R^2$? [duplicate]

I just ran a fixed-effects regression using the xtreg command in Stata using time-series data and I get 3 different $R^2$s. One is the within $R^2$, the other is the between $R^2$ and the last one is ...
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29 views

Why is it possible that the White test and the special case of the White test can give different values of $R^2$

In the textbook I am using (Introductory Econometrics: A Modern Approach by Jeffrey M. Wooldridge, 5e), it is implied that the $R^2$ from the regression of residual-squared on all independent ...
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37 views

Fixed Effects at Different Entity and Time Levels

This is a project I'm working on. I have MONTHLY values of X for employees of firms and I want to know how these affect YEARLY values of Y for those firms. The Y values are the same for all ...
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165 views

How to derive a regression formula

In this paper: http://www.nber.org/papers/w19774.pdf, (ungated version here) the author spells out the following regression (equation 1 in the paper): $s_{ij} = ...
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72 views

How can heteroskedasticity that is only contingent on omitted variables not effect the validity of standard errors?

In the textbook I am using (Introductory Econometrics: A Modern Approach by Jeffrey M. Wooldridge), there is a description that goes, By explicitly stating the homoskedasticity assumption as ...
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1answer
74 views

Groupwise heteroskedasticity

I know how to derive the GLS estimator of beta (theoretical GLS), but there a slight change to the question and i am not quite sure how to go about it. A researcher has reason to believe that the ...
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1answer
27 views

Are VAR and VEC models theoretically neutral?

I have recently been introduced to Vector Autoregression (VAR) and Vector Error Correction (VEC) models in an Econometrics class, where both approaches were presented as a neutral way to test economic ...
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22 views

How to interpret standard errors and t-values in error-correction terms?

When estimating a Vector Error Correction (VEC) model in EViews, the resulting output always shows the error-correction terms together with standard errors and t-values for the included variables, and ...
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23 views

Techniques for comparing two windows of data in a time series

I'm working on a small independent project in R, trying to make my own (very crude) forecasting method. The general idea of the component that is giving me trouble is trying to compare two windows of ...
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38 views

Deriving single linear regression parameters in terms of multiple linear regression parameters

Suppose the true population model is $$\ln(wage) = B_0 + B_1 \cdot education + B_2 \cdot experience + v,$$ where $v$ is the error term. Suppose the model is estimated as $$\ln(wage) = B_3 + B_4 ...
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25 views

Alternative specific conditional logitstic regression with clustering on in individual in panel data: scientifically and computationally reasonable?

My scientific interest is to calculate the price elasticity for an overall set of products (books) in a panel dataset of observations over a 3 year period and I was wondering whether asclogit ...
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42 views

Regarding log-normal specification

I'm working with a log-normal regression model. However, some of the dependent variable equal zero (not missing). Can I use an alternative specification like $log(y+1)$ ~ $X$ (most $y$s are really ...
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2answers
118 views

Instrumental Variable Interpretation

I have an explanatory variable, 'social class' which I am trying assess the effect on a child's test score. Social class is a 6 fold categorical that breaks down based upon the parent's occupation - ...
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28 views

Difference in Difference

How to interpret parameter of difference in difference with respect to public health ? Students had taken special care from 2010(baseline) to 2011(follow-up)period. say, in regression approach ...
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1answer
56 views

Heckman 2-step Error Assumption

first question on StackExchange; thank you for having me. I am trying to really nail the intuition for the Heckman sample selection model. One little thing that is bothering me is the assumption ...
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2answers
122 views

Testing whether the coefficients of one model and another are statistically significantly different

I am currently testing two models which have the exact same specification except for one is when z=0 and when z=1, where z could be something like male and female. Essentially, the effect of X on Y if ...
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1answer
50 views

How can I estimate Tobit type 4 or 5 in Stata?

How can I estimate Tobit type 4 or 5 in Stata? I need to estimate Tobit type 4 model in Stata but I can't find any papers about it.
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1answer
89 views

ROI Social Media

I'm trying to estimate the ROI of a social media campaign but the main issue I'm falling into is linking social media spend to actual company sales. More followers/tweets/likes/fans etc may just mean ...
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What's the difference between time-series econometrics and panel data econometrics?

This question may be very naive, but the way I'm taught econometrics I'm very confused if there's a difference between time-series and panel data method. Regarding time series, I've covered topics ...
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1answer
51 views

How to do hypothesis test for marginal effect?

I'm given the following regression equation: PRICE = 68710.05 + 0.012SQFT^2 (se) (2873.195) (0.000346) I'm then asked to test the null hypothesis that the ...
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4answers
207 views

A summary of econometric methods

Scikit Learn has a guide for machine learning techniques. Matthias Vallentin did a remarkable cheat sheet/cookbook for probability and statistics. Many heavy summaries of econometric methods are ...
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63 views

Is econometrics becoming inward-looking? [closed]

Michael Wickens claims in his (generally interesting) article and speech How did we get to where we are now? Refections on 50 years of macroeconomic and financial econometrics from 2014, that ...
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81 views

Dummy variable interaction regression [duplicate]

I have a model: $$ \ln({\rm earnings}) = a+b_1{\rm female}+b_2{\rm white}+b_3{\rm female}\times{\rm white} $$ ${\rm female}$ and ${\rm white}$ are dummy variables. I have interpreted $b_1$ and $b_2$: ...
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56 views

Should I use stationarity test before OLS regression

I need to know if conducting a stationarity test on the variables, such as the Dickey-Fuller test, is important before doing any regression like OLS? if so, if the variable is stationary after ...
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1answer
108 views

Fuzzy RDD issue

I am fairly new to econometrics and maybe this is a very basic question to some. I am running a Fuzzy Regression Discontinuity (RD) design in Stata and I am having doubts about whether I am ...
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how could i handle with missing data or non existent data? [duplicate]

i tried a forecasting method and i want to check if it is correct or not and why? my study is about evaluating mutual funds for two kind of them it is a comparative study and i wan to use gcc index ...
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1answer
133 views

Tobit versus OLS

There is a dependent variable which is measured in £ and can take the form of £0-£100,000. It is effectively the value of the payment made. If it takes the form of £0 it means a payment was not made ...
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527 views

Introductory texts on structural econometrics

In recent years the structural approach to econometrics compared to reduced form econometrics has become more popular. This involves tight combination of theoretical economic models and statistics in ...
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39 views

Organizing data using time series multivariate regression?

I am trying to understand how I can organize the following data since none of what I learned in my undergrad econometrics course works. I am running out of ideas. I am trying to measure how the ...
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1answer
48 views

How to attach parents' educational attainment to their children in Stata? (Using IPUMS - USA dataset) [closed]

I am interested in the relationship between children's success in high school and their mother's educational attainment. For this reason, I would like to create a variable called mom_education, which ...