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

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Averaging panel data to test results not driven by short-run fluctuations

As the title states, I have a panel data set of 130 countries for 15 years. I would like to average over 3 year intervals as a robustness check. My question is; say I have a missing data point, do I ...
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22 views

Does removing variables decreases the variance of the random error estimator?

Lets say if have a regression of $y= f(x_1,x_2,x_3)$; if I remove $x_2$,$x_3$, I'll get regression of $y=f(x_1)$ By removing these variables, did I decrease variance of the random error estimator? Or ...
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1answer
62 views

Interpret Regression Coefficients After various Differencing

There are few explanations I can find that describe how to interpret linear regression coefficients after differencing a time series (to eliminate a unit root). Is it just so simple that there is no ...
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7 views

No Muticollinearity Assumption in Transformed model (GLS)

Hi I am reading Hayashi's econometrics and have got stuck in the review question 1.5.1. The question asks us to prove that the multicollinearity assumption of the CLRM is satisfied by the transformed ...
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19 views

Segmented Regression With Control Group Implementation and Interpretation

I have been reading the following paper on segmented regression for interrupted time series - Wagner 2002 and wanted to learn a proper analysis of such data where there is a control group. The paper ...
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22 views

Constraining coefficients in linear regression

I am trying to estimate a model of how rail freight shipping rates are effected by a number of different variables, including the price of fuel. There is such little variation in the price data that ...
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49 views

$\log[E(y|x)]$ vs $E[\log(y)|x)]$

I have these two equations for elasticity: $$\frac {∂\log[\hat E(y|\mathbf X)]}{∂\log(\mathbf X_j)} $$ & $$\frac {∂[\hat E(\log(y)|\mathbf X)]}{∂\log(\mathbf X_j)} $$ I understand that if my ...
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22 views

Regression analysis of a correlation coefficient

I have a time series of the 250 day historical correlation and I need to determine what causes this correlation to change as different explanatory variables change. Is there a way that I can regress ...
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35 views
+50

Can it be as accurate to model child-variables to estimate a parent-variable instead of modeling the parent-variable directly?

With time series data, let's say you want to model the return of the S&P 500. Could you get as good or better results by modeling each stock, and aggregating them to estimate the return of the ...
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19 views

Visualising ECM model

I'm presenting an error correction model to a somewhat non-technical audience and want to make as much of the presentation as possible visual. Does anyone have any tips or hints that could be ...
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21 views

Paired t-test…?

I want to analyze how the purchasing decision to buy a certified food product can be varied due to an information shock. My sample consists of 200 respondents and the responses were taken as dummies ...
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4 views

Analysing small samples in different period altogether

I am trying to analyse quantitative investment funds. However, these funds does not survive for a long time. Usually they last for just two or three years before closing their business. What a friend ...
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1answer
43 views

Robust Coefficients For Differences in Differences

I have a panel data set which I am looking to analyze for relationships/causality using the OLS differences-in-differences method. The panel data includes multiple observations over time for various ...
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11 views

On a problem with the implementation of the test of Dielbold and Mariano for equal predictive accuracy

To recall how the test of Dielbold and Mariano is set up I utilize the parsimonious words of Dielbold himself: Now, I have been trying to perform this test on the respective vector of errors of ...
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17 views

Regression through origin - closed form of slope estimator? [duplicate]

I am following up on discussion in this threat. I am interested in the case when we have a linear regression model through the origin $(0,0)$. $$y=\beta_1 x_1 + \epsilon.$$ How can the OLS slope ...
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11 views

Methods of Spend Outlier Detection

I'm looking to formalise some logic behind outlier detection for spend categories of survey respondents during a trip or event (e.g. accommodation, meals, shopping, etc). Distributions are zero-heavy, ...
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1answer
20 views

An unbiased and consistent estimator [closed]

An unbiased and consistent estimator is said to be efficient if it has? a. minimum variance b. maximum variance c. both a and b d. none of these
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66 views

How are coefficients & SEs estimated using OLS?

I am looking for a detailed explanation of how to estimate coefficients and their standard errors in multiple regression using OLS. I am struggling to develop a vba code to estimate robust standard ...
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16 views

What if first differencing and individual dummy variables produce different estimates?

I am replicating a paper where the authors use first-differencing to eliminate individual fixed effects. In my replication I estimated the model (using the exact same data) using individual dummy ...
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1answer
44 views

What is the advantage of transforming variables into First Difference of the Natural Log instead of % change from one period to the next?

I am dealing with macroeconomics time series data, and I build econometrics models. I am aware that some econometrists like to transform such variables as the First Difference in the Natural Log ...
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1answer
96 views

Why is the 'age squared' variable divided by 100 or 1000?

I am considering the first fifteen waves of the British Household Panel Survey data. I wished to know the intuition behind using age squared/1000 as one of the variables in the published papers. How ...
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39 views

fixed effects question

I am analyzing survey respondent data. Respondents are nested within regions and are surveyed 4 times. Over the 4 time periods, different regions undergo a policy change (go from 0 to 1) randomly (or ...
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1answer
99 views

Who invented dummy variables?

A long time ago I surfed the web and I look a piece of information about the inventors of dummy variables. I recall they were two american economists (father and son). I have tried to find that ...
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1answer
26 views

Standardised residual No Arch Effect

I'm working with bond data and I want to get standardised residuals to conduct a copula analysis. The problem is that often the prices, for consecutive days, are the same and this fact makes the log ...
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2answers
66 views

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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1answer
51 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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45 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
43 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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1answer
59 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
45 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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1answer
38 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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30 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
22 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
23 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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20 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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38 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
43 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
49 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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26 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
57 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
152 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
54 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 ...
2
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1answer
48 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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2answers
73 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
40 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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22 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
24 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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24 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 ...