Tagged Questions

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

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32 views

Should I use stationarity test before OLS regression

I need to know if conducting a stationarity test on the variables, such as the Dickey-Fuller test, is important before doing any regression like OLS? if so, if the variable is stationary after ...
1
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1answer
78 views

Fuzzy RDD issue

I am fairly new to econometrics and maybe this is a very basic question to some. I am running a Fuzzy Regression Discontinuity (RD) design in Stata and I am having doubts about whether I am ...
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0answers
50 views

Combining micro data for an econometrics paper

I am researching data for an econometrics research paper that I am doing but I am completely stuck. I am not looking for help doing the actual research, just guidance if my statistical method will be ...
-3
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0answers
73 views

“Do Teachers Matter?” By Slater, Davies and Burgess [on hold]

Has anyone of you read this paper "Do Teachers Matter? Measuring the Variation in Teacher Effectiveness in England" by Slater Davies and Burgess(2011)? I have a couple of doubts w.r.t. to this paper: ...
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0answers
17 views

how could i handle with missing data or non existent data? [duplicate]

i tried a forecasting method and i want to check if it is correct or not and why? my study is about evaluating mutual funds for two kind of them it is a comparative study and i wan to use gcc index ...
4
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1answer
94 views

Tobit versus OLS

There is a dependent variable which is measured in £ and can take the form of £0-£100,000. It is effectively the value of the payment made. If it takes the form of £0 it means a payment was not made ...
6
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1answer
183 views
+50

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 ...
0
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0answers
37 views

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

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 ...
0
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0answers
24 views

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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1answer
33 views

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

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 ...
2
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1answer
46 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 ...
1
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0answers
25 views

What is Linear Projection [closed]

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 ...
0
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0answers
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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0answers
33 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 ...
1
vote
2answers
49 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 = ...
2
votes
1answer
50 views

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 ...
-1
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1answer
37 views

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?
0
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1answer
36 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 ...
1
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0answers
16 views

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 ...
3
votes
2answers
68 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 ...
0
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0answers
100 views

How to derive OLS through MLE? [duplicate]

I am just curious on finding about this derivation
2
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0answers
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 ...
0
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1answer
65 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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0answers
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
52 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. ...
6
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2answers
181 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 ...
1
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1answer
40 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: ...
0
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1answer
57 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 ...
1
vote
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 ...
0
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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 ...
2
votes
0answers
33 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)', ...
0
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0answers
20 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 ...
0
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0answers
26 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
votes
1answer
70 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 ...
0
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0answers
51 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 ...
1
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0answers
26 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, ...
1
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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 ...
4
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0answers
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 $\mu"$ ...
1
vote
1answer
42 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 ...
0
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1answer
138 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 ...
1
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0answers
29 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 ...
0
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0answers
26 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
votes
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
2
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0answers
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 ...
1
vote
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
votes
1answer
101 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 ...
1
vote
1answer
71 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
votes
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 ...
1
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0answers
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
1
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0answers
44 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 ...