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

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Regression Discontinuity Group Level Program Evaluation

I'd like to use a regression discontinuity design to evaluate a program where the discontinuity/assignment to treatment occurs at the group level. However, I'd like to measure the outcome at the ...
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8 views

Minimum Distance Estimator in r

I am running a regression to estimate the relationship between a dependent variable and some regressors. Let's say I have two alternative models based on two different assumptions about the exogeneity ...
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1answer
27 views

Understanding stationarity with Inflation

I am looking at the link between inflation and insolvencies for an econometrics project. I have the raw quarterly insolvency data and raw quarterly CPI data for the UK (roughly 100 samples) from ...
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22 views

Non-normal observations in regression modelling [duplicate]

I read an article that says the dependent variables in a regression model must be normally distributed. The way i understand it, is that the observations for the regression model must then be normally ...
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1answer
25 views

Impact of lagged values on identity variable

Let's say I'm working with the following simplified macroeconomic accounting identity Y_t = C_t + I_t + G_t, meaning that GNP in time ...
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42 views

Causality in microeconometrics versus granger causality in time-series econometrics

I understand the causality as used in microeconomics(in particular IV or regression discontinuity design) and also the Granger causality as used in time-series econometrics. How do I relate one with ...
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29 views

Why would I want to use my data this way, and what am I supposed to do with this regression?

I'm writing an essay on the effects of M&A announcements on stock prices. I understand most of the requirements perfectly fine, but I'm stumped on one particular part of the essay. I have for ...
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170 views

Testing whether two regression coefficients are significantly different (in R ideally)

If this is a duplicate question, please point to the right way, but the similar questions I've found here haven't been sufficiently similar. Suppose I estimate the model $$Y=\alpha + \beta X + u$$ ...
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1answer
51 views

In general, would you always prefer feasible GLS to OLS?

I know that GLS estimators only have exact distributions asymptotically, so the efficiency gains in finite samples are not all that clear. But otherwise, I'm struggling on how to attack this ...
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149 views

Question about the error term in a simple linear regression

Suppose we have a linear regression model $Y_{it} = \beta_0 + \beta_1 X_{it} + \epsilon_{it}$, many times in literature it is assumed that $\epsilon_{it} \sim N(0,\sigma^2).$ This assumptions makes ...
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1answer
47 views

My fixed effect model and methodology

I'm doing my master thesis on FDI effect on Chinese wage inequality. I am new to quantitative econometrics so I have no idea if my wage equation is correct. $$W_{it} = β X_{it} + λ_t + η_i + ε_{it}$$ ...
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13 views

Estimating the parameters of a model, which method should I use?

I am trying to estimate a system of macroeconomic (simultaneous) equations, and I've learned about the 'existence' of various methods including Structural Equation Models, Simultaneous Equations ...
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164 views

What could be a statistical test for comparing funnel data before and after important changes?

I have some funnel data from a website I manage. After some time I did some improvement on a multi-step purchase process. I wonder if it's possible to formulate a test that with statistical ...
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1answer
39 views

What does “AR(p) filtered series” mean?

I guess this means that omitting some variables in a certain interval, say, $(x_1, x_2, x_3, x_4, x_5) \to (x_1, x_5)$ in AR(4) model. Is it right? Or does this means eliminating autocorrelations ...
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50 views

which model should I use in order to represent stock market price from theoretical perspective?

I am studying my lecture notes where I saw this: $Y_t=Y_{t-1} +u_t$ $Y_t=0.5* Y_{t-1} +u_t$ $y_t=0.8* u_{t-1}+u_t$ The first two models are AR(1) and the third one is an MA(1) model. In the ...
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16 views

the non-rejection region in level of significance approach eqaul to the area determined by upper and lower bounds in confidence interval approach

For $H_0: \hat \beta=\beta^*$ I want to prove that the non-rejection region in level of significance approach Will be eqaul to the area determined by upper and lower bounds in confidence interval ...
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11 views

How would you test for high order autocorrolation

The question is the following; And I determine the intervals If I Will do breusch-godfred test, I guess accourding to these interval, I can find high order correlation. But I dont know how to ...
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15 views

Papers on resource prediction over time series with asymmetric information?

I'm looking for resources to help me solve an issue of resource prediction. We can make a number of observations of the resource over time, but the way in which the resource changes is affected by ...
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1answer
39 views

Which arma model is best one?

I am studying ARMA models. ARMA(25,25) or ARMA(1,1) which one better model? Why? I think that the reason is the ommission of irrelevant variable
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58 views

What is a user-friendly and powerful software package for econometrics modeling?

I would be using such software to run multiple regressions using macroeconomics variables as independent variables to estimate other macroeconomic ones as single dependent variables. I need to be ...
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1answer
28 views

Likelihood function of a sample selection model

I'm having some problems with the following assignment: I have a sample selection model (tobit II model) which however does not have the standard tobit II representation but rather the sample ...
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1answer
79 views

How do instrumental variables address selection bias?

I'm wondering how an instrumental variable addresses selection bias in regression. Here's the example I'm chewing on: In Mostly Harmless Econometrics, the authors discuss and IV regression relating ...
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28 views

Using the predicted values of one regression as the dependent variable in another; problems? techniques?

Forgive me if this question is redundant; predicted values and regression returns many results. My question is this: I would like to run one regression and generate predicted values based upon a ...
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46 views

Censored data prediction

I am working with the survivorship bias free database of hedge funds and trying to estimate the persistence of performance in the future performance of such funds based on the past performance. In ...
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23 views

Problems in performing Hausman test

I have a panel data of 21 countries over 12 years and when carrying the Hausman test to choose between the FE and RE I am having problems. When performing the Hausman test and I got this (V_b-V_B is ...
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14 views

Using panel data with different variables: SUR or OLS separatedly?

I have a merged database from two cross-sectional surveys for distinct years ($t_1$ and $t_2$). If all questions were exactly the same, I could just stack the data horizontally and run a normal panel ...
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1answer
43 views

Constrained fixed effects

I need to show that constraining the sum of group level fixed effects (in this case, zero) has no effect on the coefficients of the regressors. My intuition is that each constrained d_i is a perfect ...
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1answer
98 views

How to keep time invariant variables in a fixed effects model

I have data on a large Italian firm's employees over ten years and I would like to see how the gender gap in male-female earnings has changed over time. For this purpose I run pooled OLS: $$ y_{it} = ...
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1answer
30 views

Why is the functional form of the 1st stage in 2SLS not important?

In a presentation today the speaker made the above claim. He said that even if the first stage is mis-specified, the coefficient estimates of the second stage will still be valid. As a lowly graduate ...
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124 views

Fitting ARMA model with MATLAB R2012b

I want to fit an ARMA model on a time series (quarterly log returns of a 10 year bond) using MATLAB R2012b. This is part of an exercise. I have problems with the code and the interpretation of a ...
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24 views

Translog Returns to Scale Variation

I estimated the so called translog production function: $$ y_{it} = \beta_0 + \beta_1 k_{it} + \beta_2 l_{it} + \beta_3 k_{it}^2 + \beta_4 l_{it} \times k_{it} + \beta_5 l_{it}^2 + \epsilon_{it}, $$ ...
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18 views

Using aggregated data from a database with data from another

Let's say I have two databases, in the first (DB1) there is individual data on how much people trust in the government ($X_{j,r}$), and on the second (DB2) there is individual data on how much people ...
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2answers
79 views

Fitting a log (or generalized?) linear model

I would like to fit a model of the form $z = k x^\alpha y^\beta$ to some data I have (it's a spatial gravity model). Now I know you could take logs of both sides and fit a linear regression $\log ...
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1answer
58 views

Basic statistical equation

How would I go about showing that: $$\sum_{i=1}^n (X_i-\bar{X})^2=\sum_{i=1}^n X_i^2-n\bar{X}^2\,,$$ (where $\bar{X}=\frac{1}{n}\sum_{i=1}^n X_i$)? Thank you for your help!
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50 views

Proof that omitted variable bias may lead to endogeneity

I am looking for a proof that omitted variable bias (OVB) in OLS regression may lead to endogeneity. I have found many examples here and out there on how to prove that a given parameter $b_{j}$ (where ...
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2answers
46 views

Steps to write my own general equilibrium model in MATLAB [closed]

I'm facing a challenge: writing my own general equilibrium model in MATLAB. I would like to ask for: the basic needed knowledge in mathematics the basic needed knowledge in programming with ...
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1answer
40 views

Normality test of latent residuals (Heckman) Probit?

I am running a Heckman Probit. Both steps assume normal errors of the latent variable, correct? My data is from a survey and a lot of variables are strongly skewed, so I am worried whether this ...
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39 views

causal inference with correlated multivariate outcomes

I've been struggling with how to think about the causal estimate of a program on two outcomes, when one of the two outcomes affects the other outcome. It seems sort of like simultaneous equations, ...
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59 views

Panel data model for exports and exchange rates

Suppose I have 4 years worth of monthly panel data on: exports of widgets $y$ from home country to 12 different nations (in US dollars) nominal exchange rates $x$ for those 12 countries (in US ...
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44 views

Which Models to prefer

(Model1) . reg lnQ lnL lnK COOP ...
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22 views
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93 views

Fixed effect Logit with R

I would like to perform a Fixed effect logit estimation in R. Can someone point out a package that can do the job? Note: For the time being I'm not really interested in the random effect. Update; ...
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1answer
100 views

Cross-correlation in Matlab

What is the difference between: 1) xcov(x,y,10,'unbiased')/sqrt(xcov(x,x,0,'unbiased')*xcov(y,y,0,'unbiased')); 2) xcorr(x,y,10,'unbiased'); 3) [A, B] = crosscorr(x,y,10); ? I think (but I am not ...
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1answer
109 views

Coefficient sign changes in fixed effect and first-difference estimation

I have a large empirical panel, where I basically want to regress the standard deviation of (equity) returns ($y_{it}$) of firm i at time t, on leverage (equity/debt) of firm i at time t ($x_{it}$). ...
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2answers
480 views

Sample Selection Model: MLE vs. Two-Step Estimation and Panel Data

I am studying the relatively classical model of selection to estimate the union wage premium, with two equations of salary and one two step equation of selection $\ln(w_{1it}) = X^{'}_{it} \beta_1 + ...
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42 views

Best data series to teach time series econometrics?

I will be teaching a short course on time-series econometrics to third-year undergraduates. It will be part theoretical, part applied (students using econometrics software). I am looking for great ...