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

learn more… | top users | synonyms (1)

1
vote
1answer
38 views

High Collinearity between Instrument and Endogenous Variable in IV Estimation: Weak Instrument Problem?

I am estimating an IV Tobit model with one endogenous variable X and one instrument Z. $$Y=X\beta+ covariates +\epsilon$$ where $cov(X,\epsilon) \ne 0$ due to endogeneity of $X$. I am using IV ...
2
votes
1answer
27 views

12 firms and a total of 204 observations, can I use pooled OLS with firm-dummies or should I use fixed factor?

I am studying the effect of government ownership on firm performance, more specifically I am studying the effect of the government reducing their share in companies which are already partly ...
0
votes
0answers
19 views

Time - series analysis data set should be converted to return or taken its Ln?

I'm studying time series in E-views. And I want to investigate Granger - causality between exports imports and economic growth. So, I'm doing causality and co-integration analysis. I have export, ...
0
votes
0answers
14 views

Help please with some questions for school [on hold]

Can anyone help me out with this, Consider the data set(yi, x1i,x2i) i = 1,2.....N where E(xji,ui) = 0 j = 1,2. If the model is yi= B0 + Bx1i + B2x2i + ui and ui is normally distributed show how you ...
0
votes
0answers
21 views

Regression analysis of Distance Covered by a football player [on hold]

I am supposed to create a regression analysis project to my Econometrics class. The dependent variable would be Distance Covered per game by a player and the indipendent variables would be the ...
1
vote
1answer
21 views

Ljung-Box statistic / AR-GARCH weak predictions

How would you interpret the Ljung-Box statistics in the following AR-GARCH output? What is the difference between the $R^2$ and $R$ Ljung-Box statistics? Does the GARCH model seem to be effective, ...
0
votes
1answer
29 views

Why pglm fails for within model?

Trying to run a panel logistic model. In the parameters a default NULL is specified for the "start" parameter. My model is: ...
1
vote
2answers
39 views

How to test predictive power of GARCH model

I ran the following code in R using the fGarch package to get estimated coefficients for a (1,1) model: garchFit(formula = ~ garch(1,1), data=hubtimeseries) It ...
3
votes
1answer
44 views

Significance of $1$ in the model: $Y_i=1[B_0+B_1X_i\geq \epsilon_i]$ in Binary Choice Model?

I'm having a bit of trouble understanding exactly why there is a "1" in the general simple Binary Choice Model where $Y_i$ can take a value of either $0$ or $1$. We also assume that the conditional ...
4
votes
1answer
91 views

What is the expectation: E[(2X + 3)^2 ], given E[X] = 1?

I'm taking an upper level Economics class and one of my assignments asks the question in the title. I approached it by using one property of expectation: expectation of the sum is equal to ...
1
vote
2answers
49 views

Which interpolation technique should I use?

I have an annual data set, but I have a few missing values in the series. I do not know which interpolation technique should I use to fill the missing values. ...
2
votes
2answers
53 views

Which econometric models can be used to forecast security returns + ARIMA/GARCH questions

I'm trying to write an undergraduate thesis wherein I test the predictive power of a given econometric model on a given financial time series. I need some advice on how I should go about doing this. ...
0
votes
0answers
11 views

Comparing models using coefficient of determination

What guidelines are there for when we want to compare different models using $R^2$?
3
votes
1answer
118 views

How to argue omitted variable problem is alleviated?

Is there any ways to argue that the omitted variable problem is alleviated after adding a new variable to the model? Right now I'm basically just saying that adding this new variable significantly ...
-1
votes
0answers
21 views

What does lag in Johansen's test mean

Can someone please explain what are lags, what do they mean in Johansen's test?
0
votes
0answers
32 views

Dummy Interactions

To find what determines wages, I have dummy variables female, degree, Alevel etc. 1) What do I do to so see if there is any structural difference between male and female observed wages against ...
1
vote
0answers
12 views

Product Mix vs. Sales

I work for a company that sells a small portfolio of products - we'll call them toasters. These toasters vary in quality and price, but all of them will toast your food. We have historic data on our ...
1
vote
0answers
68 views

Can you leave out more than one dummy variable to have more than one variables in the reference category?

For example, in the simple OLS regression: $y = a + b_1x_1 + ... + b_kx_k + \varepsilon$ if your dummy variable $d$ has 10 categories, could you include just one dummy variable for instance: $y ...
0
votes
1answer
66 views

Can you interact the entity in fixed effects estimation?

I have estimated housing affordability (RRI) by fixed effects using the equation below: The 'r' represents regional effects and 't' represents time effects. This estimation works in Stata but are ...
2
votes
0answers
31 views

How to deal with attrition problem in panel data

I'm trying to test a certain "treatment effect" with panel survey data, and facing a problem with potential attrition bias. There are some observations from the baseline years missing in the follow-up ...
0
votes
1answer
45 views

Econometrics advice needed on unpaired t-test

There are responses of my school's alumni on the skills they perceive they acquired during the studies and are required from their job now. 18 skills evaluated from 1 to 5 (ordinal values, right?). ...
2
votes
2answers
94 views

difference between qt and qnorm

Can you tell me what is the difference between qt and qnorm? From my understanding, qt is used for small sample, and qnorm is use for large sample. Am I correct? If yes, how do I know whether my ...
0
votes
0answers
27 views

What type of dataset is this?

I have to create an econometric model for my university lecture. I want to make a logit or probit regression model trying to predict a result of a match for an ice-hockey team. (Y would be dummy ...
2
votes
1answer
38 views

How to test predictive power of ARIMA model

Once I've fitted an ARIMA model (by choosing, say, the one with the lowest AIC), how can I go about gauging how effective it is at forecasting a given financial time series? Should I somehow ...
1
vote
0answers
70 views

Multicollinearity Multiple Choice Question

I have one exam question. Anyone can answer and explain the reason for me? You are studying the following $$ Y = \beta_0 +\beta_1X_1 +β_2X_2 +u. $$ You know that the two variables $X_1$ and ...
-1
votes
0answers
27 views

How to interpret “scale efficiency” in DEA?

I am reading the book Benchmarking with DEA, SFA, and R by Bogetoft and Otto. In Section 4.8 they discuss the concept of scale efficiency, and I am having trouble interpreting this concept. The ...
0
votes
0answers
15 views

Appropriateness of Using Dummy Variables To Select Quantitative Variables

I have inherited a model specification where the values of dummy variables are being used to decide the usage or omission of other quantitative variables for a given observation. This is something ...
1
vote
0answers
12 views

how to interprete the ACF/PACF plots? [duplicate]

what the result suggests of the order of the ARMA model?
2
votes
2answers
53 views

Dummy variable trap?

1) Does including both part time and temporary work cause a dummy variable trap? If not, can we exclude temporary work as an explanatory variable to explain wages in a country as the nature of work is ...
2
votes
1answer
33 views

Matching in a linear DiD setup

I am trying to determine (if any) the effect of an economics shock on a number of outcomes. In order to do this, I use the usual difference in differences setup, i.e. estimate a model of the form: $Y ...
5
votes
1answer
83 views

F-test and Rank test for underidentification

I've been performing a manual 2sls regression and I've come with the following results and that I find a bit suspicious. I've done the F-test of the first-stage regression and I've obtained a score ...
0
votes
0answers
12 views

A proper use of the Cragg-Donald F-Statistic with more than one endogenous variable

I've read that the Cragg-Donald F-Statistic is similar to an F-test on the first-stage OLS regression when you have one endogenous variable. But with more than two endogenous variables, you should use ...
0
votes
0answers
9 views

Coefficient of determination in the presence of a certain measurement error

In page 138 of Green's Econometric Analysis, we consider a simplified type of measurement error that allows the usual OLS estimator to be consistent. In the picture below that model is described. ...
2
votes
1answer
54 views

2SLS probit vs LPM

I am using 2SLS to estimate the effect of education on the probability that one works. In the first stage I regress education on my instrument and the other exogenous control variables. The same ...
3
votes
3answers
57 views

Does inconsistent causation mean inconsistent estimator?

I have this problem. I have Y (market share) and X (store size). I want to predict Y from X using a linear regression ... I run OLS to find the betas, their pvalue is meaningful, yada, yada, yada ...
0
votes
0answers
26 views

How does one interpret a demeaned log interaction term?

I am having problems interpreting my regression equation. I want to know the effect of an increase in variable $x$ on $y$ for different values of $z$, but as it's in logs and the interaction term is ...
0
votes
0answers
29 views

Nominal versus real wages in panel data modes [migrated]

Assuming dependent variable is log of wage, do we need to convert nominal wages to real wages in analyzing panel data sets when using random and fixed effects models? Is that also applicable for ...
0
votes
0answers
23 views

Regression Model Data - Changing exponential data into linear data

I have some 20 year monthly economic data that for the first couple of years is growing at a linear rate then grows at a slight exponential rate then in the last few years takes on a linear shape ...
1
vote
2answers
98 views

How to calculate the impulse response function of a VAR(1)? (With example)

How to calculate: 1) Simple IRF 2) Orthological IRF (Y2 -> Y1) Of an unrestricted VAR(1) model: $Y_{1, t} = A_{11}Y_{1, t-1} + A_{12} Y_{2, t-1} + e_{1,t}$ , $Y_{2, t} = A_{21}Y_{1, t-1} + A_{22} ...
0
votes
0answers
15 views

Two-way interaction of shared variable in econmetric

I am trying to build a fixed effect model and this is my model at the moment X + Y + Z + XY + XZ My hypotheses are interested in XY + XZ but i have consulted a few people who told me in order to ...
1
vote
1answer
36 views

The constant term after 1st differencing

My instructor stated that when the dependent variable is 1st differenced, the constant term represents the deterministic change or trend in the dependent variable. When I search for information ...
0
votes
1answer
28 views

How to show the combined effect of two covariates in a simple regression?

Say I want to build a simple model, and I have four variables available to me: Age, gender ($D_1$, 1 is female, 0 male), income, and whether the person is Hispanic or not ($D_2$, 1 is Hispanic, 0 ...
3
votes
0answers
51 views

Understanding Chib (1998) Bayesian multiple changepoint model

Ungated link to the paper Chib, S. (1998). Estimation and comparison of multiple change-point models. Journal of Econometrics, 86(2), 221–241. doi:10.1016/S0304-4076(97)00115-2 The context of the ...
1
vote
1answer
33 views

How to create matched sample for sample selection method to perform?

I'm working on a project in which I only use sub sample (say the immigrant households of all households), and there is a sample selection problem that I apply the standard Heckman's sample selection ...
2
votes
1answer
23 views

On FIML assumptions

In Hayashi's Econometrics, page 529, he states one of the assumptions we need for the FIML estimator. My doubt is in the third line of point 1). He says that the vector ...
1
vote
0answers
104 views

How to deal with unit roots in panel regression with fixed effects?

I am trying to figure out how to alter my panel regression in a case where fixed effects exists and one (or both) of the variables are I(1) processes (or in other words contain unit root). This is ...
1
vote
0answers
23 views

Publication bias in meta-analysis of single observation studies

I have conducted a systematic review and lme model of 50 studies attempting to economically value ecological services (previously un-valued). These studies do not use data samples or observations, ...
0
votes
0answers
50 views

How to cope with serial correlation and time effects in a panel data model in R

I am building a panel-data model for macroeconomic analysis and I am currently stalling on how to deal with some problems. Diagnostic tests indicate that there is cross-sectional dependence (which is ...
0
votes
1answer
37 views

VAR Impulse response with dummies

I have dummy variables (DV) which measure policy reforms (e.g. Independence of the judiciary, barriers-to-entry in a market etc.). These can be either “0,1” or, say, “0,1,2,….. upper”. Say I have a ...
0
votes
0answers
16 views

Statistically adjust data

I am wondering if there are any existing techniques to support adjusting a data variable (e.g., price) using another data variable (e.g., market price). As we know that price for a product is usually ...