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

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Difference in Difference with control - common trend interpretation

I have a question concerning the interpretation of the common trend assumption in a very specific case of diff-in-diff. I am using a panel to find the effect of a treatment (on houesehold level) on ...
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18 views

Statistic test for comparing two methods? [on hold]

I don't have very good knowledge about statistical testing. Accept my apology if my question sounds stupid. I have developed two methods for competing discomfort level of communities. one is static ...
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7 views

correct std dev for TFP [on hold]

I'd like to use levpet's residual (TFP) as a regressor in a second step. Which would be the std dev for TFP in the second regression without falling into Pagan's "generated regression problem"?
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45 views

regression with ratio variables

I plan do run a regression analysis with ratio defined variables such as (FX loans/ total loans, tangible assets/total assets etc.) and I have only 13 annual observations. This regression is needed to ...
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31 views

Interpretation of R-squared when using FGLS

Context: I am analyzing time series and cross-sectional data using Stata's xtpcse command which corrects for autocorrelation in panel data using a Prais–Winsten ...
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1answer
35 views

Recommend e-book that is comparable to Hamilton's Time Series Analysis?

(NOTE: I have read the topic re "books for self-studying time series analysis," this question is intended to be different in a very specific way, and I am looking for answers that would not be ...
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46 views

2SLS Without Mixing The instruments

Suppose I have the following strucutural equation in time-series: $$y_t=\beta_0+\beta_1x_{1t}+\beta_2x_{t2}+\zeta w_t+\epsilon_t \quad (1)$$ In which both $x_{t1}$ and $x_{t2}$ are endogenous ...
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6 views

Effect of a lin-log model on the R^2 value as compared to a lin-lin model? [duplicate]

From all the data I have worked with, I have noticed that in a linear model with one explanatory variable, taking the ln of that explanatory variable and using the result as the new "independent" ...
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1answer
38 views

Multinomial Logit Interaction Term

i have a multinomial logit model of the form $y= \alpha + young + year + \lambda_i + (young*year)+ \mu $ where $y$ represents three possible labour market states that an individual can be in. ...
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28 views

Augmented Dickey Fuller Test with trend

I'm performing an analysis of the log GDP of Switzerland using eViews and I have to do an ADF-Test to check wheter the series is stationary or not. From the graph, I'll say that the series is not ...
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17 views

Portmanteau test vs Breusch Godfrey test

I recently fit a VAR model to two time series and I was trying to check for serial correlation in my model. My main question is, when i use a function called serial.test in the R package, there are ...
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1answer
17 views

Exogenous weighting: multinomial logit models

Can the utilities or choice probabilities be weighted by population weights? Or must the weighting actually occur at the observational/individual level? I assume it must occur at the observational ...
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1answer
14 views

Correlogram q-statistics of residuals

I am currently try to get information from the correlogram of residuals in eviews from a certain equation; I am supposed to understand if residuals are white noise or not and to adfirm that they are ...
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18 views

When to delete a keyword from an advertising campaign?

I use a pay per click program to advertise one of my products. You pay different amounts for different clicks on keyword searches based on supply and demand. I get the following data for each ...
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0answers
17 views

How to estimate an ADL from an ECM output

I've the following ADL(1) model for a long-run money demand equation: $Y_t = \alpha_{0} + \alpha_{1}Y_{t-1} + \beta_0X_{1t} + \beta_1X_{1t-1} +\gamma_0X_{2t} + \gamma_1X_{2t-1} + u_t $ An Error ...
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21 views

Firm and time fixed effect combined with industry-time trends

I have an unbalanced panel data of firms from 2003 to 2013. I want to run a model in which Y is a function of: (percentage female senior managers in 2002* year dummy) + time FE + firm FE + ...
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1answer
36 views

spurious regression/co-integration

I have two I(1) time series and I regressed one against the other and found that it had low to moderate R-squared but my DW statistic is about 0.015. I know the literature says this is the case of ...
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1answer
46 views

What does $P$ stand for in a logit regression

I was reading this paper: http://landdevelopability.org/ChiWebPublications/Chi%20and%20Voss%202005_JRAP_Migration%20Decision%20Making.pdf and on page 7, they say that ...
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25 views

Fixed Effect Regression vs. ANOVA

I have background and better understanding in scientific experimental design but currently I am working on a project involving the application of environmental econometric. I notice that economists ...
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1answer
36 views

Cointegration in R - Standard error, test statistic and p-value of weights

I'm using urca package in R version 3.2.1. I used ca.jo function on a set of I(1) regular time series variables - taking two at ...
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1answer
71 views

Seemingly unrelated bivariate probit for endogeneity: interpretation of Rho

I would like to estimate the effect of health insurance coverage on type of healthcare provider chosen--either public or private--at last illness using a nationally representative sample of people in ...
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1answer
51 views

Multivariate OLS - Partialling Out

I have bee wondering why in a multivariate OLS-Regression it is not possible for R² to decrease when increasing the number of explanatory variables. The Point is that for example in the model ...
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1answer
40 views

What value does one set, in general, for the null hypothesis of β0 in a linear regression model?

Say there is a linear regression model to estimate Y, that is: $Y_i = B_0 + B_1X_i + u$ When testing the significance of your sample regression model the null hypothesis for $B_1$ would naturally be ...
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72 views

Analyze trend given a set of points

Suppose I have a set of N values representing EUR/USD rate... [ 1.10 , 1.20 , 1.25, 1.20, 1.19 ] Which is the simplest way for analyzing if values tend to raise or tend to fall? I'm looking for a ...
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1answer
30 views

Maximum lag selection for panel unit root tests

I am interested in conducting panel unit root tests on a panel of subregional annual data where N>100 and T<10 (more specifically, depending on the independent variables included in each ...
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18 views

First order condition of HP Filter

The HP Filters for growth and cyclical components is written as: $$\min_{g_t}\sum_t \left[(y_t-g_t)^2+\lambda\left[(g_{t+1}-g_t)-(g_t-g_{t-1})\right]^2\right].$$ Hodrick and Prescott, on their paper ...
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1answer
18 views

Comparison of time series models

I'm trying to create a model for a series $X = \{X_1, X_2, ...\}$. I don't assume that the $X_i$ are identical distributed nor that they are independent but at least that they have something in common ...
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23 views

Partially Endogenous Variables in a Panel Dataset

In the framework of a fixed effects model: Y$_{it}$ = X$_{it}$ + Z $_{it}$ + $\alpha$$_{i}$ + $\theta$$_{t}$ + $\epsilon$$_{it}$ what is the standard way to capture the unbiased effect of Z, in the ...
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23 views

Valid Instruments for an IV/2SLS Regression for house prices

I'm brand new here so my apologies if this is too general or has been answered elsewhere. I'm trying to estimate a model for the house prices that includes several endogenous regressors. For the sake ...
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26 views

Promotion analysis with regression, negative coefficients

I used multiple linear regression to model promotion effects on sales on sample retail store, but some coefficients becomes negative. As a business interpretation, should I consider these promotions ...
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1answer
39 views

ACF of MA(2) with constant

Consider $$Y_t =5+u_t-0.5u_{t-1}+0.25u_{t-2}$$ Because the regression has a constant (5) this is still valid? $$\rho_1=(θ_1+θ_1θ_2)/(1+θ_1^2+θ_2^2)$$
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12 views

Use SUR to measure unobservable effects?

My title is a littel bit ambiguous. I'm working on a project on measure the degree of sorting in housing market,put it simple, sorting refers to people with similar characteristics tend to live in ...
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26 views

Computing marginal posterior in a multivariate setting

I am computing posteriors using individual level data and would like to know if my formulation in the end is right. Let the sequence of choices made by individual $i$ be $y = y_1, y_2 ......y_j$ in ...
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1answer
31 views

Log linear model interpretation - % Contributions?

I know that for log-lin models the interpretation for the coefficiente is this one, that is: Coefficients⋅100 have a semi-elasticity interpretation: for a 1 unit change in x, you get b*100% change in ...
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1answer
71 views

Does it make sense to interact two continuous variables in econometrics?

Let's say I have three variables: Variable A, B and C, where C is the product of A and B. Both A and B are continuous variables. If I regress Y onto A and B, A is significant and B is not. Then, if ...
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28 views

Finding “partialling out” of regression

I have the following model $y= \beta_0 + \beta_1x_1 + \beta_2x_2+ u$ How can I find the "partialling out" interpolation of the regression estimator $\widehat{\beta_1}$, using the following formula: ...
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1answer
46 views

Using a Dummy Variable to Control for Great Recession data

I am looking to produce a forecast with a quarterly dataset of sales. I only have so many year's worth of data post-recession and I want to investigate including more datapoints, which would mean ...
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1answer
46 views

Estimating Price Elasticity

I'm having trouble coming up with a way to estimate price elasticity for my ticket sales data. Tickets go on sale 15 days before the event, and demand increases as the event comes closer. Prices stay ...
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14 views

How many observations should I have to perform out of sample tests

I want to be able to compare 2 RMSEs but I only have 7 years of monthly data. Is 1-2 years of monthly data enough to be able to have any faith in the RMSEs of my models?
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1answer
37 views

Combining Forecasts

I am in the process of creating one well-rounded forecast, and in my research I found a few mentionings approving the use of several forecasts combined into one. I really like this idea but I have ...
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1answer
39 views

What is the link between the logit and the probability of a binary event?

Reading about logistic regression model, I wondered about the link existing between the logit (or $log\frac{p}{(1-p)}$) and the probability of an event defined as binary by assumption and modeled by ...
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1answer
34 views

Coming up with a statistically accurate formula

I've just recently become fascinated by the world of statistics and I have a question. I want to come up with a formula to evaluate quarterbacks in the NFL based on 5 independent variables, which lead ...
2
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1answer
33 views

Is OLS in Engle-Granger a valid method to use when finding the cointegrating vector?

In this post mpiktas showed that the sample correlation measure for two random walks (possible correlated) is a random variable and does not estimate the theoretical correlation. When trying to find a ...
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44 views

Use adjusted R-squared to select between regression models

I use the same sample to run two regressions. Both regressions have the same dependent and independent variables except in one regression the dependent variable and one of the independent variables ...
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18 views

cluster standard errors with small group sizes but large number of groups

I have tried looking for cluster standard errors and the only reference that I found are that problems will arise if the group is small but group size is large. However, in the case when group size ...
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0answers
36 views

Econometrics heteroscedasticity model

Consider the following model for real estate values applied to a cross-section of homes: ${\rm Price} = \beta_0 + \beta_1\cdot SQFT_i + \beta_2 \cdot YARD_i + \beta_3 \cdot POOL_i + \epsilon_i$ ...
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3answers
96 views

Elasticity calculation on real data

I have data set on several SKU (within one Brand, which were divided by 3 groups) daily demand and prices during one month. Prices were fixed in this period. After this period we begin to increase ...
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18 views

Model with two ordinal variables

I have question about the ordinal variables in model and using them correctly. Let's say I have a model that explains income by education and age. Age is continous and education is ordinal ex. can be ...
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1answer
23 views

Is it possible to run the same set of independent variables with different outcome variables? [closed]

I was wondering if it is possible to make any economic implications by regressing the same set of independent variables with different outcome variables. For instance, running [Industry, Years, ...
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1answer
26 views

Coefficient of determination increases with the number of regressors

Suppose we deal with the linear regression model $Y=X\beta+\epsilon$, where $X$ is determined matrix, $\beta$ - the vector of coefficents, $\epsilon$ - the vector of errors. I often meet the ...