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

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19 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. ...
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16 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 ...
0
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0answers
19 views

a question on time series [on hold]

I'm studying with time series. Please tell me whether there exist trend for each plot. I think that there exist. But I want to check it. ,thank you
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8 views

Ordinal Logistic Regression

My dataset looks like this: ...
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0answers
18 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 ...
1
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22 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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25 views

what do estimation techniques mean in econometrics? and how different estimators work? [on hold]

I am a beginner and self-leaner of econometrics. I am trying to understand the very basic terminologies. Can anyone help me to understand the following questions? Thank you. 'What is estimation ...
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35 views

How do I derive a reduced form equation?

I understand what reduced form is, however I'm struggling to figure out how to actually derive a reduced form equation by myself. I have -> log(wage) = B0 + B1educ + B2age + B3married + B3black ...
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12 views

Construction of econometric model [closed]

I am working on my Ph.D. dessertation now. The aim of my dessertation is to compare stock indexes of two economies and find any correlation. How an econometric model should look like? I am stuck on ...
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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 ...
-1
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31 views

Multiple Choice Question [closed]

Consider a time-series regression model below: $Y_t = \beta_0 + \beta_1 Y_{t - 1} + u_t$ for $t = 1 \ldots T$ That is the problem if $\beta_1=1$? The variable $Y_t$ has a unit root. The variable ...
3
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11 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 ...
1
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0answers
18 views

Problems when bootstraping confidence interval for panel data-labor economics

I am currently leading a research project on labor economics. But I met some problems with bootstrapping the confidence interval. What I want to do is to find how moving will influence workers' ...
1
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0answers
40 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 ...
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1answer
36 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 ...
0
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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 ...
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0answers
18 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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16 views

Obtaining RSS from R strucchange package [migrated]

I'm trying to search for unknown structural breaks in co-integrated time series. $$Y_t = c_t + \beta X_t + e_t$$ Searching for breaks in this context is essentially the same as it would if both ...
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9 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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7 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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16 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 ...
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16 views

multicollinearity and signficance confused

If explanatory variables are correlated, what is it have to do with some being individually insignificant or significant? What is that supposed to mean? If adding additional variable causes other ...
0
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0answers
13 views

Model panel data with ONLY time-invariant variables

I have a large dataset containing computers and their specifications. I collected 20 different prices over a period of 20 weeks for each computer. Now I want to build a model with the price as a ...
0
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0answers
18 views

Time Series Modelling With Two (or more) Periodic Components

I'm trying to create a model to predict hourly electricity usage. Looking at the data, it appears that there are three different components that I'm going to want to capture in my model. First, there ...
1
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1answer
47 views

Bivariate probit model with sample selection

Could you please provide an example and explanation why to use the bivariate probit model with sample selection? In this context, to what sample selection bias refers to?
0
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1answer
59 views

Understanding the price elasticity interaction in a regression model

The question that follows is derived from a SAS User's Group paper available on the web (Price and Cross Price Elasticity Estimation Using SAS). The objective is to calculate price elasticities (own ...
0
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1answer
48 views

How to choose between logit, probit or linear probability model?

To decide whether to use logit, probit or a linear probability model I compared the marginal effects of the logit/probit models to the coefficients of the variables in the linear probability model. ...
0
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1answer
50 views

How to identify best Model for univariate time series data?

I have a time series data- 53.97 63.32 57.06 60.27 69.46 75.08 78.31 73.28 85.84 69.34 62.57 60.11 55.63 47.29 61.22 58.46 66.26 59.71 51.12 39.36 51.89 ...
2
votes
1answer
41 views

Predict (un)employment variables - very small dataset

I'm new to econometrics (familiar with ML, Python, Data Visualization). I really have no clear idea what model should I use in order to predict (un)employment variables for 2015-2016 (potentially ...
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23 views

2 stage least squares

I am looking into the effect of immigration on crime (using random effects panel data). there are 2 problems which 2 stage least squares should help with, firstly the endogeneity of immigration (as ...
0
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0answers
29 views

Effect of Federal Funds Rate on SP500

I have been trying to examine the effect of the Federal Funds Rate on the S&P 500 using regression analysis. Obviously via the graph its easy to see this is a hard relationship to define over a ...
1
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1answer
46 views

How to interpret the constant in Oaxaca Blinder decomposition?

I am currently working on an Oaxaca Blinder decomposition on wage gap between males and females. In the unexplained part, there is a constant. In my model this constant has a value of 0.6 whilst the ...
3
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1answer
52 views

How does one prove asymptotic normality of the Non-linear least squares from First order conditions?

Our model is $Y=X(\beta_0)+u$, where $u\sim IID(0,\sigma_0^2I)$, and $X(\beta)$ is a non-linear function of the beta. When trying to minimize the $SSR(\beta)$ we get the following FOC: $\nabla ...
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23 views

Placement of lags & dummies

I am doing a regression of GDP per capita (dependent) on FDI (independent variable) - with 8 control variables and two interaction terms - to identify the effect of foreign direct investment on ...
0
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1answer
18 views

How to interpret coefficients in a regression model with two groups

given a linear regression model such as $ y= \beta_0 + \beta_1X_1 + \beta_2X_2 + \beta_3D + \beta_4D*X_1 + \beta_5D*X_2 $ where $D$ is a dummy variable, what are the proper interpretations of ...
0
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1answer
22 views

Interpolation vs nonlinear Regression [duplicate]

I was playing with the concept of Interpolation in Python and ended up with this plot: ...
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7 views

Can I use estimated relationships from one model to impute predicted response in another model?

I simplified the problem below to the core issue: I need to estimate the future expected incremental response (Sales/Web visits) for a company (Call it Company B) due to introducing a new medium, ...
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30 views

Fixed Effect, Random Effect vs. Mixed effect and distribution assumption

From my econometrics class, we have learned that the difference between fixed effect and random effect is the assumption on the unobserved heterogeneity of the group. If one were to use random effect, ...
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0answers
13 views

augmented dickey fuller statistic

I am trying to write code for an ADF test in C++. As I understand it, the Dickey-Fuller statistic is a modified version of the t-statistic. Currently, I have functioning code that calculates a t score ...
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0answers
13 views

Regressions and expected value

Assume I have $Y=\beta_0 + \beta_1*X_1+u_0$ and $Y=\alpha_0+\alpha_1*X_1+\alpha_2*X_1^2+u_1$ where $E[u_0|X]=E[u_1|X]=0$ When is it true that $\alpha_1=\beta_1$? I did a sort of reversal proof: ...
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23 views

Are these differences-in-differences specifications equivalent?

I'm used to seeing difference-in-differences models in a regression setting being estimated as: $Y= a + b_1treat + b_2post + b_3treat⋅post + u$, where the coefficient of interest is $b_3$. I have ...
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54 views

Writing an undergraduate Econometrics project on Okun's Law - omitted variable bias?

I'm writing my first empirical piece on the validity of Okun's Law in the US and UK over a 40 year period back to 1975, using annual time-series data. I am still in the planning stage of my project, ...
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17 views

Explanation for negative cross-price elasticities if the two alternatives cannot be complements

I would like some help in interpreting some odd cross-price elasticities that I got from my model. I estimated the following multinomial probit model and calculated the elasticities post-estimation: ...
0
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0answers
7 views

Tricky Cross Sectional InDependence Test Results

I am working on a panel data sample (T=35, N=23) and i have 4 regressors. I have applied CDlm and CDlm adjusted cross sectional independence tests. Test results revealed that dependent variable is ...
9
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79 views

Can cross-validation be helpful if we are interested only in modeling, not in forecasting?

Can cross-validation be helpful if we are interested only in modeling (i.e. estimating parameters), not in forecasting? I see how cross-validation is extremely useful if your goal is to make good ...
0
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0answers
30 views

Assistance with methodological procedures for (panel data) [investment/GDP]

I am attempting to see the relationship between FDI and Economic growth. So my two variables are FDI and GDP growth (I am also not opposed to using GDP per capita). My data is panel, as I am using 59 ...
0
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0answers
23 views

Abnormal Returns calculation - Event Study

I am looking to calculate abnormal returns (AR) on dividend announcement events: Regression: R = a + B(MarktReturn) + e E(R) = a + BMktReturn Therefore AR = R-ER To explain the AR, I want to test ...
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0answers
42 views

Interpreting VECM impulse response function

I have plotted IRF in stata with response S&P500 and impulse treasury bill rate. According to the model they are positively related. However, my irf graph is below zero(see the graph below). How ...