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

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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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0answers
13 views

Difference between SUTSE and SUR Dynamic Linear Models

I am studying time-series econometrics and in particular Dynamic Linear Models for multivariate time-series. Someone can help me in understanding which is the difference between SUTSE (Seemingly ...
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0answers
15 views

How to write a regression equation with an unknown structural break point? [on hold]

Using STATA's estat sbsingle function post a multiple regression I have found a statistically significant structural break. However I am struggling to express this in a mathematical/statistical ...
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0answers
18 views

Endogeneity: basic questions [on hold]

Discuss the problem of endogeneity by using diagrams and equations. a. What are the main causes of endogeneity? b. What can we say about the size and sign of the bias of estimate? c. How can we ...
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0answers
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 ...
2
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0answers
13 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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0answers
11 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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23 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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6 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
18 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 ...
1
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1answer
68 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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0answers
20 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 ...
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0answers
7 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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0answers
19 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
50 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 ...
4
votes
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 ...
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1answer
24 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 ...
2
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3answers
85 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
16 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
votes
2answers
126 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
24 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 ...
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0answers
15 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 ...
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0answers
8 views

Treatment of this particular dummy variable

I have these two dummy variables and a continuous variable in my dataset and I was wondering how I should include them in my model? dad10: A dummy variable = 1 if the individual lived with their dad ...
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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 = ...
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0answers
26 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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20 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
22 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
19 views

model to predict variable evolution

Suppose that I have a set of variables X1 X2 and X3 that explain the evolution of a ...
3
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0answers
13 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 ...
0
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1answer
42 views

Multicollinearity - continuous and dummy variables

I know that one of the assumptions of Gauss-Markov is no perfect multicollinearity. If I want to run a model that estimates the effect of gambling on wages, would this model be appropriate: Wage = ...
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0answers
31 views

Basic question on E-views

I ask a question about E-views. Is the P-value in the picture less than 0.05 or greater than 0.05? I'm confused because of the presence of the sign '<' in front of 0.10. Please help mee. Thank you. ...
0
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1answer
39 views

taking log of sales when many observations are 0 or close?

I am currently attempting to replicate an Econ paper in R, which claims that they take the natural log of net sales. Many of the observations however are either 0 or very close to 0. What is the ...
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10 views

Ordinal Logistic Regression

My dataset looks like this: ...
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0answers
28 views

Optimal block length for block bootstrap with multivariate time series

I've got a multivariate time series $\mathbf{X}_t$, where $t$ is time and there are $p>1$ columns of $\mathbf{X}_t$. There is autocorrelation in the data. I'm interested in various functions of ...
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0answers
23 views

Two versions of the Breusch-Pagan test?

I have learned (and it is the case for instance in Woolridge's Introductory Econometrics) that for testing heteroskedasticity with the BP test, the sample statistic is $nR^2_{\hat{u}^2}$, that follows ...
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0answers
11 views

Difference between SLR and “Regular” linear regression?

I can't find any videos or pages online explaining this in a straightforward way. Here's my understanding of it. The SLR model uses a Linear Regression Model (Y = B_0_ + B_1_X + ε). It becomes ...
3
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0answers
14 views

Panel: Estimating cointegrating vector within ECM to test cointegration

In time-series analysis we were taught that one can test for cointegration by estimating an error correction model and testing whether the coefficient estimated to the deviation of the equilibrium ...
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0answers
7 views

using lmer to attain the t statistics for the difference in alpha in two regressions

So I have 10 bond return time-series dataset (portfolio1 to portfolio10). Portfolio1 is the ...
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0answers
53 views

Stata: Estimation of Own-Price and Cross-Price Elasticities for Logit, Nested Logit, and BLP Models

I am working with some data on automobile sales and characteristics in a small country. It is an unbalanced panel dataset taken over 6 years and over 5 market segments. I am trying to construct some ...
1
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1answer
50 views

Endogeneity issue in time series model

Can anybody tell me about endogeneity issue in time series? I've read one paper, discuss that income is likely to be endogenous for consumption. However, on the UK data, the current quarter ...
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0answers
5 views

Interpretation coefficient class membership function in Latent class multinomial logit

can someone explain me how to interpret the intercept and the coefficient of membership function in a latent class choice model? I would say that the coefficient can be interpreted as the importance ...
1
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0answers
21 views

non-trivial coefficients in an OLS regression

I have a problem explaining how and why the coefficient on my regressions is changing signs. I have a continuous outcome variable Y which is a linear combination of two continuous variables y1 and ...
0
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0answers
22 views

Event Study - Event Induced Volatility for One Firm

Normally, in a stock price event study, we assume that the daily variance in the estimation period is the same as that during the event window. The event-induced volatility literature (eg, Boehmer, ...
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0answers
10 views

Wald, LR and LM tests for Poisson distribution

Assume that $y$ is random variable which distributes: $$f(y)=\frac{e^{-\lambda}\lambda^{y}}{y!} $$ Where $\lambda=e^{\alpha+X\beta}$ and $\alpha$ and $\beta$ are unknown parameters and we assume that ...
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0answers
9 views

No convergence in Latent gold choice. Why?

I'm using Latent Gold Choice to estimante a LC model. The model performs well when up to three classes are considered. However, when I try with four classes I got a message of no convergence ...
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0answers
18 views

One-Step estimators for non-linear regression

'Disclosure': This question is also asked in the economics.stack community, under the tag of Econometrics, with same title. I'm not sure if it's too technical for that community. Let's suppose I ...