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

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Influence of information on price

How can I check if some market information affects price(or rates)? For example, I have discrete time series of price and I know moments, when the market gets new information. Which model should I ...
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41 views

What happens to R squared when you take out a variable from a regression?

Im assuming the model & estimations would be less accurate, causing the residuals to be larger, therefore, it makes R^2 larger. Just want to make sure and see if anyone has any insight for me. ...
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142 views

Proving the LATE Theorem of Angrist and Imbens 1994

Assume we have a binary instrument $Z_i$ which can be used to estimate the effect of the endogenous variable $D_i$ on the outcome $Y_i$. Suppose the instrument has a significant first stage, it is ...
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1answer
33 views

Cross-sectional Regression (individual level) with a few country-level variables

I have a small sample of 50 cross-sectional firms and 3 or 4 distinct explanatory variables -- all on the individual level. No time dimension. So far, I could employ OLS (I am using Stata: ...
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1answer
42 views

Analysing ranked data

I had following question in my questionnaire: Rank following factors: price, quality, advertisement, brand, reference from 1 (very important) to 5 (least important) that influenced on your buying ...
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1answer
22 views

RCT baseline controls that do not match outcome measures

Does anyone have any input on whether it is ok to use baseline measures as control variables in a randomized controlled trial (RCT) if they are not exactly the same as the outcome measures? I.e., if ...
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20 views

Problem in creating neighbors,area and perimeter in spatial econometrics using R [migrated]

I’m working on a spatial cross section model with R-programming-language. I’m running these codes which refers to ...
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13 views

About Hypothesis Test In Spatial Regression

I'm doing estimation of spatial lag/error model using R package "spreg"/"spdep". But I can't find any method to do hypothesis test after regression. For example, I want to test whether two ...
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29 views

Question about Lagrangian Multiplier (Gradient) Statistic of constrained GMM

I am trying to derive the Lagrangian multiplier statistic (GMM version) under a restriction. The question is given below The quadratic form is given by $Q_n(\theta,\alpha)=[m(\theta)', ...
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14 views

non parametric index model (Klein Spady) for more than two choices in R

The np package offers an easy way to fit the Klein Spady estimator for index model on dichotomous responses. How to use the np package to extend these methods to the polychotomous (i.e., more than two ...
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17 views

Structural panel VAR estimation

I am running a structural Panel vector autoregressive model on a panel of 13 countries over the period 1970-2012. I'm having problems in implementing the model. Does anyone have estimation programs ...
4
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1answer
59 views

Difference-in-differences with no pre-treatment?

The typical difference-in-differences estimator (as fixed effects) fits a model of the form $$ y_{it} = \alpha_i + \delta T_{it} + X_{it}'\beta + \epsilon_{it} $$ where $T$ is some treatment that ...
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48 views

Determining Relative Weights

I am looking for some recommendations and more specifics about how to do the following: Objective: To determine the weights of a number of stock valuation metrics. I am looking at doing this across ...
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21 views

Nest-Varying Parameters in Nested Logit Model Estimation (mlogit package)

I am trying to replicate a Stata manual example (-mlogit-) of nested logit estimation, ...
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0answers
20 views

'systemfit' package and systems of non-linear equations/regression

I am trying to estimate a system of non-linear equations using 'systemfit' package in R. I have had issues with it. The two equations share the same parameters i.e. "sigma", "al" and "ae". I expect ...
4
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117 views

HPD interval for the mean

Suppose we have iid observation with the following model $ Y_t \sim \mathcal{N}(\mu,1/\mu) , t=1,2,..T$ The question is " Assuming a flat prior on $(0 ,\infty )$ find a 95% HPD interval for $\mu"$ ...
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1answer
40 views

ANOVA Theorem Explanation [duplicate]

I am trying to figure out why the following holds: Given $y_{i}=E[y_{i}|X_{i}]+\epsilon_{i}$ that $E[\epsilon^{2}_{i}] =E[E[\epsilon^{2}_{i}|X_{i}]] = E[V[y_{i}|X_{i}]]$ Specifically I am trying ...
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1answer
58 views

Two stage GMM estimator in Matlab

I am trying to create a simple GMM estimator for the mean of a normally distributed random variable using the first three odd central moments of a normal distribution (all of which should be zero ...
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26 views

Do you need causal models when doing counterfactual predictions?

I am modeling the impact the number of a certain type of company (bottom of pyramid (BOP) companies, ie. companies that cater to the poorest consumers) have on market price. I considered the ...
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17 views

Proxy variable approach to deal with endogeneity due to reverse causality

Is this a feasible thing to do? I've mostly seen the proxy variable approach used for dealing with omitted variable bias and measurement error. But how would one go about using it for simultaneity? ...
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1answer
50 views

Relationship between the latent variable as a function of regressors and the logit model?

Can anyone give the intuition behind of the relationship between these two? I see a lot of proofs in books, but no real intuition. Thanks
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0answers
26 views

Maximum Rank Correlation for panel data

Let $Z=(Y, X)$ be an observation from a distribution $P$ where $Y$ is a response variable and $X$ is a vector of regressors. Assuming the following model: $Y = F(X'\beta, u)$ where $X'\beta$ is a ...
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1answer
37 views

ordered logit-difference-in-difference

I ran an ordered logit difference-in-difference estimation and got stuck in terms of interpretation. The dependent variable takes on values 1 2 and 3 and I am trying to obtain coefficients for the ...
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1answer
66 views

difference-in-differences with fixed effects

I have two questions related to having fixed effects in the DD model. I have a treatment that occurs at different times (e.g., 2001,2005, etc.). I want to fit a DD model, so I standardize the ...
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1answer
54 views

Autoregressive distributed lag models ADL(p,q) determining amount of lags

I would like to know how I can determine the appropriate amount of lags in Matlab or another statistical package. I'm getting confused with VAR models and ARMAX models all the time and I'm a little ...
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1answer
29 views

Difference-in-Difference, number of Units

Is there a specific rule to the number of units in the treatment and control group. I am trying to carry out a difference-in-difference estimation and in the treatment group I have about 9000 ...
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28 views

When should I add a time-trend to a regression?

I've looked for this answer around the web with no luck so far. I'm mostly interested in how time trends apply to cross-section and panel data. Thanks
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29 views

Case-crossover method with conditional logistic regression for poisson model generated data

I would like to run a semi-symmetric bi-directional case-crossover method on some generated data using conditional logistic regression. I generated data from Poisson distribution Poiss(lambda) with ...
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1answer
73 views

Is there an R package for MCMC estimation of Generalized Method of Moments?

I'm looking for an R package (or a combination of packages) that would allow me to perform MCMC estimation of a GMM model, with a user-specified moments function. I've looked at the CRAN Bayesian ...
4
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1answer
199 views

Is there a convenient form for this large covariance matrix?

Consider the following bivariate vector autoregression: $$X_t=\mu +X_{t-1}A+\varepsilon_t,\ \varepsilon_t \overset{iid}{\sim} MVN(0, V),\ X_t=(X_{1,t},X_{2,t})',$$ where the assumptions on the ...
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0answers
47 views

does the equivalence of Poisson and conditional logit models hold for fixed effect panel data and negative binomial models?

Guimaraes et al. (Rev Econ Stat, 2003, 85/1) describe the conditions under which the results from poisson regression models and conditional logit models are equivalent. I am trying to find out whether ...
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1answer
47 views

Estimating standard error in a probit: econometrics or programming problem?

This question has two parts, as I do not understand whether my problem is theoretical (identification of the parameters) or practical (insufficient R skills). Econometrics Most "probit" style ...
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1answer
33 views

Control variables- Difference in Difference

I am carrying out a difference in difference estimation. Regarding control variables addition I am kinda confused. Am I to add control variables which affect the dependent variable or control ...
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33 views

Interpreting the Johansen cointegration test output

I am running the Johansen cointegration test using 2 non-stationary time-series, as suggested by the literature. The output I got is the following: ...
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10 views

Signal dimension in regression model

Estimating Unknown Sparsity in Compressed Sensing is a paper about sparse signal. I am just learning the concepts. In the first paragraph, it says that when the number of observation data samples $n$ ...
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84 views

Did I write down my model correctly using matrix algebra and LaTex?

Model is essentially a seemingly unrelated regression estimation of the two following equations: ...
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0answers
10 views

How many answers are needed to establish a Schelling focal point?

Consider Schelling's question about a focal meeting point for NYC in game theory (described in the second paragraph under Formulation in the Wikipedia entry). Schelling didn't say how many students ...
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1answer
56 views

Data Issue with Dynamic Pricing Regression

I'm trying to create a regression model for a dynamic pricing system that looks to maximize revenue. The problem that I'm having is that the system in place before (which is the source of my data) ...
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1answer
25 views

Correlation of errors between regression equations?

I now that one can use Seemingly Unrelated Regressions when for an observation i, there are two equations whose errors are connected. What is the intuition here among errors of difference equations ...
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1answer
50 views

Idea of errors as 'shocks' to a regression?

So I always understood the error term to be the difference between the observed value from the true, yet unobservable, function value. However, I often here, especially related to the economics ...
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1answer
55 views

Endogenous variable and statistical significance in OLS?

I was wondering what the following OLS scenario would imply: a variable is endogenous (i.e. correlated with the error term) yet is statistically significant. Alternatively, what if in, once again ...
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1answer
89 views

Is this an example of Pooled OLS on Panel Data?

I am looking at a study that analyzes the effect of an infrastructure index on infant mortality and child mortality rates. The database has (asset) quintile level data for 47 different countries (from ...
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51 views

How to create a composite of several variables without throwing information away

I want to create an index as a composite of several variables. It was recommend to me to use PCA. However, PCA discards too much information - essentially throwing away several of the variables in ...
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69 views

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

This problem appear in an exam put by Chris Sims (3): http://sims.princeton.edu/yftp/emet04/ConfidenceCredibilityEx.pdf Suppose the following model: $y=\beta_1 +\beta_2 X_2+\beta_1 X_3 +\epsilon$ ...
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3answers
152 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
65 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
23 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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37 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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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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34 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 ...