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

learn more… | top users | synonyms (1)

0
votes
0answers
8 views

Can it be as accurate to model child-variables to estimate a parent-variable instead of modeling the parent-variable directly?

With time series data, let's say you want to model the return of the S&P 500. Could you get as good or better results by modeling each stock, and aggregating them to estimate the return of the ...
1
vote
0answers
17 views

Visualising ECM model

I'm presenting an error correction model to a somewhat non-technical audience and want to make as much of the presentation as possible visual. Does anyone have any tips or hints that could be ...
1
vote
0answers
20 views

Paired t-test…?

I want to analyze how the purchasing decision to buy a certified food product can be varied due to an information shock. My sample consists of 200 respondents and the responses were taken as dummies ...
0
votes
0answers
4 views

Analysing small samples in different period altogether

I am trying to analyse quantitative investment funds. However, these funds does not survive for a long time. Usually they last for just two or three years before closing their business. What a friend ...
2
votes
1answer
35 views

Robust Coefficients For Differences in Differences

I have a panel data set which I am looking to analyze for relationships/causality using the OLS differences-in-differences method. The panel data includes multiple observations over time for various ...
0
votes
0answers
10 views

On a problem with the implementation of the test of Dielbold and Mariano for equal predictive accuracy

To recall how the test of Dielbold and Mariano is set up I utilize the parsimonious words of Dielbold himself: Now, I have been trying to perform this test on the respective vector of errors of ...
0
votes
0answers
17 views

Regression through origin - closed form of slope estimator? [duplicate]

I am following up on discussion in this threat. I am interested in the case when we have a linear regression model through the origin $(0,0)$. $$y=\beta_1 x_1 + \epsilon.$$ How can the OLS slope ...
0
votes
0answers
11 views

Methods of Spend Outlier Detection

I'm looking to formalise some logic behind outlier detection for spend categories of survey respondents during a trip or event (e.g. accommodation, meals, shopping, etc). Distributions are zero-heavy, ...
-1
votes
1answer
19 views

An unbiased and consistent estimator [closed]

An unbiased and consistent estimator is said to be efficient if it has? a. minimum variance b. maximum variance c. both a and b d. none of these
0
votes
0answers
66 views

How are coefficients & SEs estimated using OLS?

I am looking for a detailed explanation of how to estimate coefficients and their standard errors in multiple regression using OLS. I am struggling to develop a vba code to estimate robust standard ...
2
votes
0answers
15 views

What if first differencing and individual dummy variables produce different estimates?

I am replicating a paper where the authors use first-differencing to eliminate individual fixed effects. In my replication I estimated the model (using the exact same data) using individual dummy ...
2
votes
1answer
39 views

What is the advantage of transforming variables into First Difference of the Natural Log instead of % change from one period to the next?

I am dealing with macroeconomics time series data, and I build econometrics models. I am aware that some econometrists like to transform such variables as the First Difference in the Natural Log ...
3
votes
1answer
87 views

Why is the 'age squared' variable divided by 100 or 1000?

I am considering the first fifteen waves of the British Household Panel Survey data. I wished to know the intuition behind using age squared/1000 as one of the variables in the published papers. How ...
1
vote
0answers
38 views

fixed effects question

I am analyzing survey respondent data. Respondents are nested within regions and are surveyed 4 times. Over the 4 time periods, different regions undergo a policy change (go from 0 to 1) randomly (or ...
1
vote
1answer
97 views

Who invented dummy variables?

A long time ago I surfed the web and I look a piece of information about the inventors of dummy variables. I recall they were two american economists (father and son). I have tried to find that ...
1
vote
1answer
25 views

Standardised residual No Arch Effect

I'm working with bond data and I want to get standardised residuals to conduct a copula analysis. The problem is that often the prices, for consecutive days, are the same and this fact makes the log ...
1
vote
2answers
58 views

Difference in Difference with control - common trend interpretation

I have a question concerning the interpretation of the common trend assumption in a very specific case of diff-in-diff. I am using a panel to find the effect of a treatment (on houesehold level) on ...
0
votes
1answer
50 views

regression with ratio variables

I plan do run a regression analysis with ratio defined variables such as (FX loans/ total loans, tangible assets/total assets etc.) and I have only 13 annual observations. This regression is needed to ...
3
votes
0answers
43 views

Interpretation of R-squared when using FGLS

Context: I am analyzing time series and cross-sectional data using Stata's xtpcse command which corrects for autocorrelation in panel data using a Prais–Winsten ...
2
votes
1answer
41 views

Recommend e-book that is comparable to Hamilton's Time Series Analysis?

(NOTE: I have read the topic re "books for self-studying time series analysis," this question is intended to be different in a very specific way, and I am looking for answers that would not be ...
1
vote
1answer
54 views

2SLS Without Mixing The instruments

Suppose I have the following strucutural equation in time-series: $$y_t=\beta_0+\beta_1x_{1t}+\beta_2x_{t2}+\zeta w_t+\epsilon_t \quad (1)$$ In which both $x_{t1}$ and $x_{t2}$ are endogenous ...
1
vote
0answers
6 views

Effect of a lin-log model on the R^2 value as compared to a lin-lin model? [duplicate]

From all the data I have worked with, I have noticed that in a linear model with one explanatory variable, taking the ln of that explanatory variable and using the result as the new "independent" ...
1
vote
1answer
43 views

Multinomial Logit Interaction Term

i have a multinomial logit model of the form $y= \alpha + young + year + \lambda_i + (young*year)+ \mu $ where $y$ represents three possible labour market states that an individual can be in. ...
0
votes
1answer
35 views

Augmented Dickey Fuller Test with trend

I'm performing an analysis of the log GDP of Switzerland using eViews and I have to do an ADF-Test to check wheter the series is stationary or not. From the graph, I'll say that the series is not ...
0
votes
0answers
30 views

Portmanteau test vs Breusch Godfrey test

I recently fit a VAR model to two time series and I was trying to check for serial correlation in my model. My main question is, when i use a function called serial.test in the R package, there are ...
0
votes
1answer
22 views

Exogenous weighting: multinomial logit models

Can the utilities or choice probabilities be weighted by population weights? Or must the weighting actually occur at the observational/individual level? I assume it must occur at the observational ...
0
votes
1answer
23 views

Correlogram q-statistics of residuals

I am currently try to get information from the correlogram of residuals in eviews from a certain equation; I am supposed to understand if residuals are white noise or not and to adfirm that they are ...
1
vote
0answers
18 views

When to delete a keyword from an advertising campaign?

I use a pay per click program to advertise one of my products. You pay different amounts for different clicks on keyword searches based on supply and demand. I get the following data for each ...
0
votes
0answers
19 views

How to estimate an ADL from an ECM output

I've the following ADL(1) model for a long-run money demand equation: $Y_t = \alpha_{0} + \alpha_{1}Y_{t-1} + \beta_0X_{1t} + \beta_1X_{1t-1} +\gamma_0X_{2t} + \gamma_1X_{2t-1} + u_t $ An Error ...
0
votes
0answers
36 views

Firm and time fixed effect combined with industry-time trends

I have an unbalanced panel data of firms from 2003 to 2013. I want to run a model in which Y is a function of: (percentage female senior managers in 2002* year dummy) + time FE + firm FE + ...
1
vote
1answer
42 views

spurious regression/co-integration

I have two I(1) time series and I regressed one against the other and found that it had low to moderate R-squared but my DW statistic is about 0.015. I know the literature says this is the case of ...
0
votes
1answer
49 views

What does $P$ stand for in a logit regression

I was reading this paper: http://landdevelopability.org/ChiWebPublications/Chi%20and%20Voss%202005_JRAP_Migration%20Decision%20Making.pdf and on page 7, they say that ...
0
votes
0answers
26 views

Fixed Effect Regression vs. ANOVA

I have background and better understanding in scientific experimental design but currently I am working on a project involving the application of environmental econometric. I notice that economists ...
0
votes
1answer
50 views

Cointegration in R - Standard error, test statistic and p-value of weights

I'm using urca package in R version 3.2.1. I used ca.jo function on a set of I(1) regular time series variables - taking two at ...
1
vote
1answer
139 views

Seemingly unrelated bivariate probit for endogeneity: interpretation of Rho

I would like to estimate the effect of health insurance coverage on type of healthcare provider chosen--either public or private--at last illness using a nationally representative sample of people in ...
0
votes
1answer
53 views

Multivariate OLS - Partialling Out

I have bee wondering why in a multivariate OLS-Regression it is not possible for R² to decrease when increasing the number of explanatory variables. The Point is that for example in the model ...
2
votes
1answer
47 views

What value does one set, in general, for the null hypothesis of β0 in a linear regression model?

Say there is a linear regression model to estimate Y, that is: $Y_i = B_0 + B_1X_i + u$ When testing the significance of your sample regression model the null hypothesis for $B_1$ would naturally be ...
4
votes
2answers
73 views

Analyze trend given a set of points

Suppose I have a set of N values representing EUR/USD rate... [ 1.10 , 1.20 , 1.25, 1.20, 1.19 ] Which is the simplest way for analyzing if values tend to raise or tend to fall? I'm looking for a ...
0
votes
1answer
38 views

Maximum lag selection for panel unit root tests

I am interested in conducting panel unit root tests on a panel of subregional annual data where N>100 and T<10 (more specifically, depending on the independent variables included in each ...
1
vote
0answers
21 views

First order condition of HP Filter

The HP Filters for growth and cyclical components is written as: $$\min_{g_t}\sum_t \left[(y_t-g_t)^2+\lambda\left[(g_{t+1}-g_t)-(g_t-g_{t-1})\right]^2\right].$$ Hodrick and Prescott, on their paper ...
1
vote
1answer
21 views

Comparison of time series models

I'm trying to create a model for a series $X = \{X_1, X_2, ...\}$. I don't assume that the $X_i$ are identical distributed nor that they are independent but at least that they have something in common ...
0
votes
0answers
24 views

Partially Endogenous Variables in a Panel Dataset

In the framework of a fixed effects model: Y$_{it}$ = X$_{it}$ + Z $_{it}$ + $\alpha$$_{i}$ + $\theta$$_{t}$ + $\epsilon$$_{it}$ what is the standard way to capture the unbiased effect of Z, in the ...
1
vote
0answers
27 views

Valid Instruments for an IV/2SLS Regression for house prices

I'm brand new here so my apologies if this is too general or has been answered elsewhere. I'm trying to estimate a model for the house prices that includes several endogenous regressors. For the sake ...
1
vote
0answers
29 views

Promotion analysis with regression, negative coefficients

I used multiple linear regression to model promotion effects on sales on sample retail store, but some coefficients becomes negative. As a business interpretation, should I consider these promotions ...
0
votes
1answer
39 views

ACF of MA(2) with constant

Consider $$Y_t =5+u_t-0.5u_{t-1}+0.25u_{t-2}$$ Because the regression has a constant (5) this is still valid? $$\rho_1=(θ_1+θ_1θ_2)/(1+θ_1^2+θ_2^2)$$
1
vote
0answers
12 views

Use SUR to measure unobservable effects?

My title is a littel bit ambiguous. I'm working on a project on measure the degree of sorting in housing market,put it simple, sorting refers to people with similar characteristics tend to live in ...
1
vote
0answers
27 views

Computing marginal posterior in a multivariate setting

I am computing posteriors using individual level data and would like to know if my formulation in the end is right. Let the sequence of choices made by individual $i$ be $y = y_1, y_2 ......y_j$ in ...
1
vote
1answer
37 views

Log linear model interpretation - % Contributions?

I know that for log-lin models the interpretation for the coefficiente is this one, that is: Coefficients⋅100 have a semi-elasticity interpretation: for a 1 unit change in x, you get b*100% change in ...
1
vote
1answer
82 views

Does it make sense to interact two continuous variables in econometrics?

Let's say I have three variables: Variable A, B and C, where C is the product of A and B. Both A and B are continuous variables. If I regress Y onto A and B, A is significant and B is not. Then, if ...
1
vote
0answers
28 views

Finding “partialling out” of regression

I have the following model $y= \beta_0 + \beta_1x_1 + \beta_2x_2+ u$ How can I find the "partialling out" interpolation of the regression estimator $\widehat{\beta_1}$, using the following formula: ...