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

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2
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1answer
31 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 ...
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0answers
24 views

PDF and return on stock [on hold]

i thought the answer is just 1 -P(x=<15) = 0.5 (1dp) http://i612.photobucket.com/albums/tt201/Ivanreyes/Screen%20Shot%202015-03-27%20at%206.33.13%20am.png
-1
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0answers
18 views

Equation in light of a given variance [on hold]

The total profit of a firm is given by Profit = Total Revenue – Total Cost Suppose that Total Revenue = 120Q and Total Cost = 20 + 50Q where Q, the quantity sold, is a (approximately) normal random ...
3
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3answers
47 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 ...
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0answers
16 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 ...
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0answers
28 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
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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
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2answers
61 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
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0answers
11 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
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1answer
29 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
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1answer
25 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
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0answers
38 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
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1answer
29 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 ...
0
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0answers
13 views

Time Series Comparisons - Econometric Study [closed]

I'm trying to determine if econometrics from two industries change in a statistically significant way over time. Essentially, did one industry outperform the other after a certain date, or are there ...
2
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1answer
22 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
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0answers
82 views

Panel regression and unit roots

I am trying to figure out how to alter my panel regression in a case where unobserved heterogeneity exists and one (or both) of the variables are I(1) processes (or in other words contain unit root). ...
1
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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
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0answers
42 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
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1answer
29 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
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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 ...
0
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0answers
14 views

Dynamic nonlinear IV question — how do you think about the exclusion restriction when you have multiple periods?

The setup is an experiment with a binomial outcome, repeated over two (or more) periods. In the first period, $X$ is randomly allocated. Of interest is its effect in predicting the probability of ...
0
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0answers
32 views

probit consistent estimation

I have a probit model $$Pr(LFP=1) = β_1 + β_2\ln(WW_i) + β_3 KL6_i + β_4 NWIFEINC_i + β_5 WA_i + β_6 WE_i + u_i$$ with $$\ln(WW_i) = α_1 + α_2WE_i + α_3 AX_i + α_4 AX_i^2 + e_i $$ WW is a continuous ...
3
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1answer
59 views

How to test channels in econometrics

It's always the case that we need to test possible channels through which independent variable ($x$) affect dependent variable ($y$). For example, education and health status are two possible channels ...
1
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3answers
83 views

Why take multiple samples from a population?

I'm fairly new to Econometrics, and I'm curious about, when trying to estimate the population parameter, why it is important to take multiple samples of the population, instead of just combining all ...
1
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1answer
64 views

panel fixed effects wage equations

Can someone please explain fixed effects, fixed effects, cluster robust standard errors, random effects, and be for panel data wage equations and how to decide which is the most appropriate?
3
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0answers
64 views

Time trends in Difference-in-difference estimation

I would really appreciate if some one could explain it to me (through econometric or intuitive sense)the importance of interacting control variables with linear time trends? I was running a simple ...
0
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0answers
28 views

Interactions Dummies with an Independent Variable

In my model I want to include two dummies ($d_1$,$d_2$) and also the interaction effects of these two dummies with another independent variable, $x_1$. The interaction terms are $x_1\cdot d_1$,$x_1 ...
0
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0answers
15 views

How to save the transformed variables from a Prais-Winsten model in Stata?

Currently, I'm learning econometrics. In Stata, I have to execute a Prais-Winsten estimation using the command "prais lc lyd lw i, twostep", which gives the following result: ...
2
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1answer
61 views

Excess Bunching - Bunching Estimator (Saez 2010)

Saez (2010) defines excess bunching at the kink as the area under the density in the dominated region: $$ B = \int^{z^*+d z^*}_{z^*} h(z)dz \approx h(z^*)dz^* $$ where income $z$ is distributed ...
0
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0answers
43 views

Augmented Dickey-Fuller Trend and Intercept

I am trying to determine if I should include an "intercept" or a "trend and intercept" when using the Augmented Dickey-Fuller (ADF) test. I ran a regression with my dependent variable and a time ...
0
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0answers
18 views

Construct confidence interval for price per area, from weighted average price for quantity, and weighted average quantity per area

I have function for obtaining the weighted mean for price per quantity, where $p$ is price, and $w$ is the weight, for some product $i$. $$\bar p_a = \sum p_{i} w_{i}$$ and a quantity per area, ...
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42 views

White noise ACF - PACF

I found PACF and ACF like the following table . But, how can I decide whether there exists white noise? And what is white noise? If there is no white noise, can I say being stationary?
1
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1answer
26 views

Identities in a VAR model

I am working on a VAR model where one of the equations is an identity. For example: $$ \begin{cases} A_t = \alpha_{11} + \alpha_{12} A_{t-1} + \alpha_{13} B_{t-1} + \alpha_{14} C_t + ...
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0answers
43 views

Incorporating intraday data into end-of-day forecast

my target variable is observable intraday but I am interested only in EOD forecasts. I will denote the variable $\ y_{D,24}$ as the reading of interest for day D is ...
0
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0answers
14 views

Econometrics 2: Covariance (xt, xt+1) in Moving Average process of order 1,

Could you help me to show that if X(t+1)=e(t+1)+alpha(1)*e(t), Then Cov[x(t), x(t+1)]=alpha(1)*Var[e(t)] Thank you very much, your help is appreciated
0
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1answer
50 views

Converting Annual GDP Growth Rate into Monthly GDP Growth Rate

I am researching the effects of Euroarea fiscal stimulus on inflation expectations during the crisis. The data for fiscal stimulus is given as an annual percentage of GDP, e.g. 1.5% of Euro Area GDP ...
2
votes
1answer
67 views

ARIMA Specification from Correlogram

How should I determine the data generating process from the correlogram below? This is non-seasonally adjusted monthly data that has been 1st differenced. I am trying to conduct univariate time ...
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0answers
9 views

Panel model Estimation - 5 and 10 years Break [migrated]

I am trying to estimate the relationship between inequality and growth in a panel data of 22 countries for the period from 1985 to 2010, using fixed-effect and random effect. I want to use 5-year and ...
1
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0answers
25 views

Who to credit for “control functions” in econometrics?

The idea is pretty simple, and I think it came out sort of by-the-way in a paper about something else, so I'm having a hard time figuring out who to cite. Basically you've got a GLM (like a probit or ...
0
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0answers
22 views

Autoregressive Model

I am currently attempting to build a regression model explaining Current Inflation as measure by monthly CPI. I am considering the following model; CPI = B0 + B1(LAG_CPI) + B2(Lag_Oil_Price) + ...
3
votes
1answer
34 views

Instrumental variables and noisy measurement

I am interested in the effect of the unemployment rate at the time of labor market entry ($u^{LME}$) on wages later in life (this is an old question, but I have a new data set). I'd like to run ...
0
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0answers
19 views

How to remedy seasonality in a multiple regression model

I am trying to build an economic model using multiple regression, and I am not sure how to remedy seasonal effects. I am collecting data across several different variables, and building three models ...
0
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1answer
39 views

Combining propensity score matching with 2SLS

Inspired by the probit 2SLS estimation (see e.g. Wooldridge p.623, procedure 18.1 or check here probit two stage least squares), I am wondering if instead of running a Probit in the very first step, I ...
4
votes
4answers
111 views

Econometric Model and deciding the frequency of data collection

I am looking to build an econometric model and I am wondering if using annual data vs monthly or quarterly data is going to produce a less accurate model. If the dependent variable is affected by ...
0
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0answers
26 views

How to incorporate exchange rates in a multi-country econometric model?

I have for 12 countries variables related to the trade of one specific commodity (production, consumption, import, export, trade costs, and international prices). The data range is 2000-2013 with a ...
4
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3answers
168 views

Is there a way to allow seasonality in regression coefficients?

Hi I am newbie here and hopefully this is not a dumb question. Say I have a time series, Gt, and a covariate Bt. I want to find relationship between them by the ARMA model: Gt = Zt + β0 + ...
0
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0answers
46 views

Transforming Series with 2nd Moment Nonstationarity

I am trying to induce stationarity in this series. I have graphed a range-mean plot to detect 1st and 2nd moment nonstationarity. Can anyone suggest a transformation that will remedy the 2nd moment ...
3
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3answers
68 views

Clustering in Instrumental Variables Regression?

I am wondering whether clustering in IV estimation would mean I have a fixed effect for both error terms or just for the structural error. For example, in the model \begin{eqnarray} y = X \beta + ...
1
vote
1answer
28 views

How to test one variable in a panel for cross-section dependence?

The plm::pcdtest function implements Pesaran, (2004) General Diagnostic Tests for Cross Section Dependence in Panels. For example a test for a panel model works as ...
3
votes
1answer
115 views

Dummy variables to control for clustering

I have a panel-data sample which is not too large (1,973 observations). The unit of analysis is x (credit cards), which is grouped by y (say, individuals owning different credit cards). I cannot used ...