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

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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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31 views

Requesting Advice on Coming up with my first ever research question [on hold]

I am new to this forum and apologize if this is posted in the wrong sub group. This past september I enrolled in advanced econometrics (a fourth year course at my college), and am now working on my ...
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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 ...
0
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30 views

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

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 ...
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35 views

Levinsohn-Petrin TFP estimation in Stata without proxy

I'm trying to compute TFP by using levpet Stata command. I use revenue estimation, yet it requires proxy option which is intermediate input (usually material ...
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23 views

What is Linear Projection [on hold]

Can anyone help explain the linear projection and its application? In Wooldgridge's textbook of Econometrics, he introduced the basics of linear project, which I understand what it is but I still ...
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19 views

Unit root in shares

Suppose that dependent variable is a share of sth (for example it is a % of positive answers to the same question in each period of time t). If data shows the unit ...
3
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31 views

Where to start to learn about pricing models?

I have a situation at my work that I want to take as a chance to learn more about pricing and stats. In a nutshell, I work for a company that buys several products and then charges a margin (we have ...
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2answers
47 views

Time series with autoregressive error

How can I in R fit a time series, $x_t$, with external regressors, $v_t$, and an autoregressive error? This time series model is given as follows, $x_t = \beta v_t + \epsilon_t$ where $\epsilon_t = ...
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1answer
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Rewrite instrumental variables estimator into formula with covariances?

In the book Microeconometrics of Cameron and Trivedi, they write the IV estimator as $\widehat{\beta}_{IV} = \frac{Cov[z,y]}{Cov[z,x]}$, formula (4.49) on p. 99. They say that they derived this from ...
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1answer
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What are the advantages of using log GDP per capita versus simple GDP per capita when analyzing economic growth? [duplicate]

I have quite a lot to learn regarding analysis and economics, one thing I have noticed is that when analyzing growth, log is used quite often, why is this so?
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34 views

Does it make sense to add random coefficients to a fixed effects (fixed-intercepts) model?

If you have panel data, and you fit a model like $$ y_{it} = \alpha_i + X_{it}'\beta + \epsilon_{it} $$ then you have $E[\hat\beta] = \beta$ if you can make an argument that $E[\epsilon]=0$. This is ...
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What's the deal with VARs?

I'm new to econometrics/statistics. Why are Vector Autoregressive (VAR) equations considered a separate class of models in textbooks, apart from ARs? Isn't it true that you can estimate the equations ...
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2answers
67 views

Why are econometric analyses valid when the subject of study is inherently different?

I am reading numerous articles pertaining to unemployment as references for my own work. Yet I've encountered many where they use long time series in countries which have had some sort of pertinent ...
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46 views

How to derive OLS through MLE? [duplicate]

I am just curious on finding about this derivation
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33 views

Regression Model Proof

In the standard regression model where $$ Y=Xβ+u\ ,$$ with normal errors, under the hypothesis $$\text{H}_0: Rβ=r$$ where $β$ is $k\times 1$, $R$ a $q\times k$ matrix with rank $q$: the OLS ...
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1answer
64 views

Expectation of Regression Errors

Can someone please explain this (with further statistical assumptions). In the standard regression model where $$Y = X\beta+u,$$ we want to show that $$ E(uu′) = \sigma^2 \cdot I \\ E(u'u)=T \cdot ...
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16 views

adaptive surveying for a maximal income that depends on a parameter

I have a product that I would like to price for the highest income. The income $I$ from this product will depend on the asking price $c$: $$ I(c) = N \cdot E(c)$$ where $E(c)$ is the expected ...
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3answers
51 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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177 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
37 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
50 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
29 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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0answers
16 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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32 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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18 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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25 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
67 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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50 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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24 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
22 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 ...
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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
99 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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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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25 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? ...
0
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1answer
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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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27 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
43 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 ...
4
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1answer
85 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
67 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 ...
2
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1answer
30 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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41 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 ...
3
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1answer
76 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
201 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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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
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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
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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 ...