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

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Mathematical derivation of correlation in dynamic panel data model

My question is about deriving a result in Cameron and Trivedi - Microeconometrics (2005) on page 763, section 22.5.1. The section's subject is Dynamic Panel Data Models - True State Dependence and ...
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1answer
27 views

Include time dummies with xtreg,fe? [closed]

Is running: xtset panelvar timevar xtreg dep indep, fe the same as just running ...
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1answer
58 views

How can I compute the standard error of the Wald estimator?

According to Cameron and Trivedi Microeconometrics 2006, page 98-99, the Wald estimator can be written : $$ \widehat{\beta}_{Wald} = \frac{(\bar{y_1} - \bar{y_0})}{(\bar{x_1} - \bar{x_0})} $$ with :...
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0answers
10 views

Adjusting Standard Error for Imputed/Generated Regressors

This is my first question, so I hope this is a valid question. I am surprised that I have seen only few questions (and no answer helping me out) referring to the adjustment of variance estimators in ...
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1answer
27 views

Elasticities for Multinomial Logit Model (Stata)

I estimat a multinomial logit model in Stata. Is it possible to compute elasticities from the MLogit model? If so, do I need to take the logarithm of the y and x variable, or only the log of x? I ask ...
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0answers
23 views

GMM Moment Condition

I have encountered some difficulties in solving the following exercise: Consider $(y_{i},x_{i})$, which are i.i.d pairs. We observe a random sample from this distribution. We want to estimate $\mu=E[...
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1answer
90 views

Lagging/Leading Indicator Length Time

I tried looking this question up on google and didn't find material that answered my question. But my questions are: (1) Is there a method to determine how long it takes a leading indicator to ...
3
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1answer
12 views

Multiple Linear Regression - 2 Independent Variables, one with the same values

If I am running a multiple regression analysis with two independent variables (say, x1 and x2) and all the values of x1 are the same number, what issues does this present? I'm thinking in terms of ...
3
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1answer
35 views

What does strict exogeneity condition of OLS really mean?

In Hayashi's Econometrics, it is stated that one of the assumption of classical OLS is: $$\mathbb{E}(\epsilon_i\lvert\mathbf{x_1}, \mathbf{x_2}, \ldots, \mathbf{x_n}) = 0 \text{, for } i=1, \ldots, n. ...
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2answers
85 views

What is parameter identification in the context of OLS?

Can someone explain what identification means in the context of an OLS model? I have a fair grasp of the derivation using either the method of moments or by minimizing the squares, but am failing to ...
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0answers
9 views

Herfindahl–Hirschman index for data accumulation

I'm checking the data accumulation in segments with Herfindahl–Hirschman index, the idea is to get segments with low index. Do you think this is a good way to detect this accumulation? and do you see ...
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1answer
31 views

Mixed effect model. Should I use time as random intercept?

We have a dataset with the level of export of a certain good towards Italy for almost all countries of the world for 15 years. We want to infere the effect of the distance of such countries from ...
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0answers
10 views

A Game Plan for Cross-Section Modelling

Imagine we have already built our linear regression model, with a certain dataset. Which order of tests would you follow to be sure that whatever conclusions you may want to extract are correct? For ...
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19 views

What is the minimal size of a dataset and most efficient algorithm to predict consumer buying behavior with a limited set of products?

Let's say I have a site on which users buy and sell products from each other, and I wish to see which products in a particular category (defined by me) are purchased most frequently. A) What is the ...
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0answers
13 views

What would be endogenous and exogenous variables in case explained here?

Foreword: I'm working on a non-econometrics related project where we're trying to use econometrics toolboxes in order to avoid re-inventing the wheel. I'm a bit overwhelmed by it and am trying to cut ...
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0answers
15 views

Generalized Instrumental Variable Estimator (GIVE)

In some literature it is possible to find the Generalized Instrumental Variable Estimator (GIVE), but this is not always well-specified. Is this estimator equivalent to an estimator found using the ...
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0answers
14 views

Employing cross_validation to to develop a reasonable linear regression model using scikit learn

Situation: I have fifteen years worth of monthly observations of price of a chemical, roughly 190 data-points. I want to develop a simple linear model of this price based on the price of other ...
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0answers
9 views

Causal Inference from cross-sectional survey data with recall questions and associated problems

I have a dataset from a cross-sectional study (n=121) where people where asked about production characteristics in 2015 and how they recall their production in 2010. One set of example questions could ...
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0answers
13 views

How is the “value added” of firms distributed [migrated]

While is can be justified that the sales (or revenues) of firms in an industry follow a Pareto-distribution, I wonder how the value added (sales minus input costs minus taxes, excluding depreciation) ...
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1answer
46 views

Interpreting regression Output for CAPM

I have an interpretation problem. As you can see below there's a linear regression output for the CAPM. I don't know how to interpret the significance level. ExIndex has a very low p-value, but the ...
4
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3answers
72 views

Definition of validity of an instrumental variable

What does "validity of an instrument" mean exactly? In my econometrics course we have just defined instrument validity as $E[Z|u]=0$, where $Z$ is the instrumental variable and $u$ is the error term ...
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0answers
4 views

Is it ok to use Panel Unit Root Tests for all currency pairs in a sample? (Not one common base currency)

I have a dataset containing the real exchange rates for all country pairs within the OECD. Now I would like to test stationarity using one of the many panel unit root tests. However, reading Pesaran, ...
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8 views

Time-varying predictive model for a set of proportions

Suppose there is a casino where people bet on a weekly horse race. On Sunday, the casino publishes the prices for a wager on each horse for the upcoming Saturday's race. Everyone who wagers on the ...
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0answers
18 views

leave-h-out cross validation

I'm doing multistep forecasts of univariate time series and a wide range of exogenous leading indicator variables are available. Therefore I'm looking for ways to optimally select and/or combine ...
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1answer
24 views

endogenous and exogenous variable interpretation

I am running a regression of the form $$\log\left(Y\right)=x_0 + x_1\beta_1+\log (x_2)\beta_2 +x_3\beta_3+ \epsilon$$ where all the covariates $x_1$,$x_2$,$x_3$ are endogenous. I have an instrument ...
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28 views

What is a 'horse race' regression with financial predictors?

In a sample regression like this, $r=b_1f_1+b_2f_2$, where $f_1$ and $f_2$ are financial risk factors, I want to see if one of the factors say $f_1$ drives out the other $f_2$, described in John ...
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0answers
8 views

Intuitive Understanding of Factor Risk Premium (Chen, Roll and Ross 1986)

I am trying to understand the findings in the Chen, Roll and Ross (1986) paper that uses the Fama Macbeth methodology to determine factor loadings and factor risk premia. I have understood the method ...
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0answers
25 views

Treatment changing over time

I have a problem with the identification technique of my research paper. I would like to estimate the causal effect of a policy (the introduction of a budget balance rule) on the composition of ...
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1answer
80 views

Choosing the right ARIMA model when data are already seasonally adjusted

I'm trying to build an ARIMA model to forecast the US unemployment rate month-by-month for the period 2006-2015. To select the model I'm using monthly seasonally adjusted data from 1948 to November ...
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1answer
34 views

Why model data using parametric distributions instead of empirical?

I've been wondering why the use of empirical distributions in research is not as prevalent as I think it should be given my understanding (likely misinformed) that an empirical distribution would give ...
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0answers
8 views

How do I find impact of independent variable change in dependent variable change?

Suppose I am having a function revenue = NumberOfUsers * ConversionRate * AvgOrderValue. If revenue is changed to 24%, How I can know %impact of NumberOfUsers,ConversionRate and AvgOrderValue?
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9 views

Interpretation of the estimate of a 'share of' variable.

Currently I am writing my thesis and therefore I have run some panel data regressions in Stata. There are various variables included in this formula, but I am unable to interpret a minor part. I am ...
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21 views

Problem in finding appropriate model

I'm having a problem in deciding which model to be used in our research report. The main focus of our research is to find out the effect on export using CPI, output, area. The thing is, we have a ...
3
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1answer
53 views

Use z-scores to determine the best strategy for airlines

Most airlines board passengers starting from the back of the plane and then working their way towards the front (after boarding priority classes and passengers). In an episode of Mythbusters, Adam ...
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1answer
58 views

Relationship between Linear Projection and OLS Regression

In Wooldridge's Econometric Analysis of Cross Section and Panel Data, he defines linear projection of $y$ on $1,\mathbf{x}$, in the following way: Let's assume that $Var(\mathbf{x})$ is positive-...
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1answer
28 views

Endogenous variable Instrument

I am confused about running an iv regression My endogenous variable is a dummy variable i-e earlychildbearing=1 if ageatfirstbirth<20 My second stage equation is the standard child health ...
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3answers
107 views

Testing linear restriction in R

I would like to test a linear restriction in R. Instead of the usual $\beta_i=0$, I want to test if $\beta_k=0.5$ and $\beta_j=-0.5$. Is there a way to do this using lm command, and just writing a ...
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0answers
21 views

Heckman selection with endogenous regressor (education)

I am looking at the public sector wage premium and for this, I take selectivity into the sector (public or private) into account.I employed a switching regression in Stata (using the "movestay" ...
2
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2answers
130 views

Wrong intercept, but remaining betas are right. Where is the error?

I'm trying to learn how to use R by replicating the regression of the MRW 1992 paper (see Table 1). I've done this in Mathematica, and I got the right coefficients, even for the intercept. The ...
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0answers
13 views

Do these two variables make sense?

I am running a fixed effects regression on wages and gambling to see what impact gambling has on earnings. The dataset I have been given has two interesting variables - poverty and unemployment rate. ...
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2answers
28 views

What level should I cluster at?

I have panel data over two years for 8000 observations (all over the age of 21). 2000 of the observations are siblings. If I have cluster by family, I have 6000 clusters. If I cluster by individuals,...
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0answers
18 views

How to fit an appropriate SDE [closed]

Does any one know how we can fit an appropriate SDE to a time series data? how to understand which model will describe the model well? and then how to estimate its parameters? To be more specified, I ...
0
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0answers
36 views

Covariance Between $\hat{\beta_0}$ and $\hat{\beta_1}$ [duplicate]

Our model is $Y=\beta_0+\beta_1X+U$. We know that $\hat{\beta_0} = \beta_0 + \sum\limits_{n=1}^N c_nu_n$ and $\hat{\beta_1} = \beta_1 + \sum\limits_{n=1}^N k_nu_n$, where $$k_n = \frac{(x_n-\bar{X})}{...
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0answers
27 views

Using several cross-sectional regressions (for different years) vs. a single fixed-effects panel model

I have what I think is a relatively simple question about the merits of performing a single panel regression with fixed effects as opposed to individual yearly cross-sectional regressions with the ...
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0answers
8 views

How do I perform cross-sectional regressions on groups of data, and how do I critically evaluate the output?

I am currently conducting a cross-sectional analysis on what effect changes in Economic Policy Uncertainty have on the changes in CDS spreads. My dataset consists of approx 260 firms over a 80-month ...
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22 views

2SLS Regression, 1 Instrument effecting more than one explanatory variable?

So in my situation I have my dependent variable Log Income my Instrument Diabetes and my supposedly endogenous explanatory variable Reads Nutri. Where things start to get confusing for me is that ...
2
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1answer
26 views

3 Stage Least Squares or 2 Stage Least Squares

I am planning on running a 3 equation simultaneous equation model where each of the dependent variables depend on each other (i.e. Y1 is based on Y2 and Y3; Y2 is based on Y1 and Y3; Y3 is based on Y1 ...
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1answer
20 views

model to predict variable evolution

Suppose that I have a set of variables X1 X2 and X3 that explain the evolution of a ...
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0answers
14 views

Is this simultaneous equation model identified?

I have a 3 equation simultaneous equation model where all 3 dependent variables depend on each other (i.e. Y1 is based on Y2 and Y3; Y2 is based on Y1 and Y3; Y3 is based on Y1 and Y2). Would all 3 ...