Tagged Questions

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

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0
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1answer
14 views

Are VAR and VEC models theoretically neutral?

I have recently been introduced to Vector Autoregression (VAR) and Vector Error Correction (VEC) models in an Econometrics class, where both approaches were presented as a neutral way to test economic ...
1
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0answers
9 views

How to interpret standard errors and t-values in error-correction terms?

When estimating a Vector Error Correction (VEC) model in EViews, the resulting output always shows the error-correction terms together with standard errors and t-values for the included variables, and ...
0
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0answers
20 views

Techniques for comparing two windows of data in a time series

I'm working on a small independent project in R, trying to make my own (very crude) forecasting method. The general idea of the component that is giving me trouble is trying to compare two windows of ...
0
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0answers
31 views

Deriving single linear regression parameters in terms of multiple linear regression parameters

Suppose the true population model is $$\ln(wage) = B_0 + B_1 \cdot education + B_2 \cdot experience + v,$$ where $v$ is the error term. Suppose the model is estimated as $$\ln(wage) = B_3 + B_4 ...
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0answers
21 views

Alternative specific conditional logitstic regression with clustering on in individual in panel data: scientifically and computationally reasonable?

My scientific interest is to calculate the price elasticity for an overall set of products (books) in a panel dataset of observations over a 3 year period and I was wondering whether asclogit ...
0
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1answer
40 views

Regarding log-normal specification

I'm working with a log-normal regression model. However, some of the dependent variable equal zero (not missing). Can I use an alternative specification like $log(y+1)$ ~ $X$ (most $y$s are really ...
2
votes
2answers
111 views

Instrumental Variable Interpretation

I have an explanatory variable, 'social class' which I am trying assess the effect on a child's test score. Social class is a 6 fold categorical that breaks down based upon the parent's occupation - ...
0
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0answers
24 views

Difference in Difference

How to interpret parameter of difference in difference with respect to public health ? Students had taken special care from 2010(baseline) to 2011(follow-up)period. say, in regression approach ...
1
vote
1answer
53 views

Heckman 2-step Error Assumption

first question on StackExchange; thank you for having me. I am trying to really nail the intuition for the Heckman sample selection model. One little thing that is bothering me is the assumption ...
2
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2answers
111 views

Testing whether the coefficients of one model and another are statistically significantly different

I am currently testing two models which have the exact same specification except for one is when z=0 and when z=1, where z could be something like male and female. Essentially, the effect of X on Y if ...
0
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1answer
43 views

How can I estimate Tobit type 4 or 5 in Stata?

How can I estimate Tobit type 4 or 5 in Stata? I need to estimate Tobit type 4 model in Stata but I can't find any papers about it.
1
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1answer
82 views

ROI Social Media

I'm trying to estimate the ROI of a social media campaign but the main issue I'm falling into is linking social media spend to actual company sales. More followers/tweets/likes/fans etc may just mean ...
5
votes
5answers
137 views

What's the difference between time-series econometrics and panel data econometrics?

This question may be very naive, but the way I'm taught econometrics I'm very confused if there's a difference between time-series and panel data method. Regarding time series, I've covered topics ...
0
votes
1answer
43 views

How to do hypothesis test for marginal effect?

I'm given the following regression equation: PRICE = 68710.05 + 0.012SQFT^2 (se) (2873.195) (0.000346) I'm then asked to test the null hypothesis that the ...
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4answers
158 views

A summary of econometric methods

Scikit Learn has a guide for machine learning techniques. Matthias Vallentin did a remarkable cheat sheet/cookbook for probability and statistics. Many heavy summaries of econometric methods are ...
3
votes
0answers
58 views

Is econometrics becoming inward-looking? [closed]

Michael Wickens claims in his (generally interesting) article and speech How did we get to where we are now? Refections on 50 years of macroeconomic and financial econometrics from 2014, that ...
1
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1answer
70 views

Dummy variable interaction regression [duplicate]

I have a model: $$ \ln({\rm earnings}) = a+b_1{\rm female}+b_2{\rm white}+b_3{\rm female}\times{\rm white} $$ ${\rm female}$ and ${\rm white}$ are dummy variables. I have interpreted $b_1$ and $b_2$: ...
0
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0answers
51 views

Should I use stationarity test before OLS regression

I need to know if conducting a stationarity test on the variables, such as the Dickey-Fuller test, is important before doing any regression like OLS? if so, if the variable is stationary after ...
1
vote
1answer
95 views

Fuzzy RDD issue

I am fairly new to econometrics and maybe this is a very basic question to some. I am running a Fuzzy Regression Discontinuity (RD) design in Stata and I am having doubts about whether I am ...
0
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0answers
18 views

how could i handle with missing data or non existent data? [duplicate]

i tried a forecasting method and i want to check if it is correct or not and why? my study is about evaluating mutual funds for two kind of them it is a comparative study and i wan to use gcc index ...
4
votes
1answer
115 views

Tobit versus OLS

There is a dependent variable which is measured in £ and can take the form of £0-£100,000. It is effectively the value of the payment made. If it takes the form of £0 it means a payment was not made ...
10
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3answers
415 views

Introductory texts on structural econometrics

In recent years the structural approach to econometrics compared to reduced form econometrics has become more popular. This involves tight combination of theoretical economic models and statistics in ...
0
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0answers
32 views

Organizing data using time series multivariate regression?

I am trying to understand how I can organize the following data since none of what I learned in my undergrad econometrics course works. I am running out of ideas. I am trying to measure how the ...
0
votes
1answer
43 views

How to attach parents' educational attainment to their children in Stata? (Using IPUMS - USA dataset) [closed]

I am interested in the relationship between children's success in high school and their mother's educational attainment. For this reason, I would like to create a variable called mom_education, which ...
2
votes
1answer
79 views

Levinsohn-Petrin TFP estimation in Stata without proxy

I'm trying to compute TFP by using levpet Stata command. I use revenue estimation, yet it requires proxy option which is intermediate input (usually material ...
1
vote
0answers
28 views

What is Linear Projection [closed]

Can anyone help explain the linear projection and its application? In Wooldgridge's textbook of Econometrics, he introduced the basics of linear project, which I understand what it is but I still ...
0
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0answers
21 views

Unit root in shares

Suppose that dependent variable is a share of sth (for example it is a % of positive answers to the same question in each period of time t). If data shows the unit ...
3
votes
0answers
37 views

Where to start to learn about pricing models?

I have a situation at my work that I want to take as a chance to learn more about pricing and stats. In a nutshell, I work for a company that buys several products and then charges a margin (we have ...
1
vote
2answers
58 views

Time series with autoregressive error

How can I in R fit a time series, $x_t$, with external regressors, $v_t$, and an autoregressive error? This time series model is given as follows, $x_t = \beta v_t + \epsilon_t$ where $\epsilon_t = ...
2
votes
1answer
52 views

Rewrite instrumental variables estimator into formula with covariances?

In the book Microeconometrics of Cameron and Trivedi, they write the IV estimator as $\widehat{\beta}_{IV} = \frac{Cov[z,y]}{Cov[z,x]}$, formula (4.49) on p. 99. They say that they derived this from ...
-1
votes
1answer
69 views

What are the advantages of using log GDP per capita versus simple GDP per capita when analyzing economic growth? [duplicate]

I have quite a lot to learn regarding analysis and economics, one thing I have noticed is that when analyzing growth, log is used quite often, why is this so?
0
votes
1answer
44 views

Does it make sense to add random coefficients to a fixed effects (fixed-intercepts) model?

If you have panel data, and you fit a model like $$ y_{it} = \alpha_i + X_{it}'\beta + \epsilon_{it} $$ then you have $E[\hat\beta] = \beta$ if you can make an argument that $E[\epsilon]=0$. This is ...
2
votes
1answer
28 views

What's the deal with VARs?

I'm new to econometrics/statistics. Why are Vector Autoregressive (VAR) equations considered a separate class of models in textbooks, apart from ARs? Isn't it true that you can estimate the equations ...
3
votes
2answers
73 views

Why are econometric analyses valid when the subject of study is inherently different?

I am reading numerous articles pertaining to unemployment as references for my own work. Yet I've encountered many where they use long time series in countries which have had some sort of pertinent ...
0
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0answers
103 views

How to derive OLS through MLE? [duplicate]

I am just curious on finding about this derivation
2
votes
0answers
35 views

Regression Model Proof

In the standard regression model where $$ Y=Xβ+u\ ,$$ with normal errors, under the hypothesis $$\text{H}_0: Rβ=r$$ where $β$ is $k\times 1$, $R$ a $q\times k$ matrix with rank $q$: the OLS ...
0
votes
1answer
66 views

Expectation of Regression Errors

Can someone please explain this (with further statistical assumptions). In the standard regression model where $$Y = X\beta+u,$$ we want to show that $$ E(uu′) = \sigma^2 \cdot I \\ E(u'u)=T \cdot ...
1
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0answers
16 views

adaptive surveying for a maximal income that depends on a parameter

I have a product that I would like to price for the highest income. The income $I$ from this product will depend on the asking price $c$: $$ I(c) = N \cdot E(c)$$ where $E(c)$ is the expected ...
0
votes
3answers
65 views

What happens to R squared when you take out a variable from a regression?

Im assuming the model & estimations would be less accurate, causing the residuals to be larger, therefore, it makes R^2 larger. Just want to make sure and see if anyone has any insight for me. ...
6
votes
2answers
189 views

Proving the LATE Theorem of Angrist and Imbens 1994

Assume we have a binary instrument $Z_i$ which can be used to estimate the effect of the endogenous variable $D_i$ on the outcome $Y_i$. Suppose the instrument has a significant first stage, it is ...
1
vote
1answer
48 views

Cross-sectional Regression (individual level) with a few country-level variables

I have a small sample of 50 cross-sectional firms and 3 or 4 distinct explanatory variables -- all on the individual level. No time dimension. So far, I could employ OLS (I am using Stata: ...
0
votes
1answer
67 views

Analysing ranked data

I had following question in my questionnaire: Rank following factors: price, quality, advertisement, brand, reference from 1 (very important) to 5 (least important) that influenced on your buying ...
1
vote
1answer
33 views

RCT baseline controls that do not match outcome measures

Does anyone have any input on whether it is ok to use baseline measures as control variables in a randomized controlled trial (RCT) if they are not exactly the same as the outcome measures? I.e., if ...
0
votes
0answers
17 views

About Hypothesis Test In Spatial Regression

I'm doing estimation of spatial lag/error model using R package "spreg"/"spdep". But I can't find any method to do hypothesis test after regression. For example, I want to test whether two ...
2
votes
0answers
35 views

Question about Lagrangian Multiplier (Gradient) Statistic of constrained GMM

I am trying to derive the Lagrangian multiplier statistic (GMM version) under a restriction. The question is given below The quadratic form is given by $Q_n(\theta,\alpha)=[m(\theta)', ...
0
votes
0answers
25 views

non parametric index model (Klein Spady) for more than two choices in R

The np package offers an easy way to fit the Klein Spady estimator for index model on dichotomous responses. How to use the np package to extend these methods to the polychotomous (i.e., more than two ...
0
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0answers
36 views

Structural panel VAR estimation

I am running a structural Panel vector autoregressive model on a panel of 13 countries over the period 1970-2012. I'm having problems in implementing the model. Does anyone have estimation programs ...
4
votes
1answer
76 views

Difference-in-differences with no pre-treatment?

The typical difference-in-differences estimator (as fixed effects) fits a model of the form $$ y_{it} = \alpha_i + \delta T_{it} + X_{it}'\beta + \epsilon_{it} $$ where $T$ is some treatment that ...
0
votes
0answers
51 views

Determining Relative Weights

I am looking for some recommendations and more specifics about how to do the following: Objective: To determine the weights of a number of stock valuation metrics. I am looking at doing this across ...
1
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0answers
34 views

Nest-Varying Parameters in Nested Logit Model Estimation (mlogit package)

I am trying to replicate a Stata manual example (-mlogit-) of nested logit estimation, ...