Econometrics is a field of statistics dealing with applications to economics.
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6answers
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Is the R language reliable for the field of economics?
I am a graduate student in economics who recently converted to R from other very well-known statistical packages (I was using SPSS mainly). My little problem at the moment is that I am the only R user ...
26
votes
8answers
810 views
What are the major philosophical, methodological, and terminological differences between econometrics and other statistical fields?
Econometrics has substantial overlap with traditional statistics, but often uses its own jargon about a variety of topics ("identification," "exogenous," etc.). I once heard an applied statistics ...
13
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1answer
1k views
What is the difference between PCA and asymptotic PCA?
In two papers in 1986 and 1988, Connor and Korajczyk proposed an approach to modeling asset returns. Since these time series have usually more assets than time period observations, they proposed to ...
12
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5answers
1k views
Is machine learning less useful for understanding causality, thus less interesting for social science?
My understanding of the difference between machine learning/other statistical predictive techniques vs. the kind of statistics that social scientists (e.g., economists) use is that economists seem ...
10
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2answers
2k views
Why is my R-squared so low when my t-statistics are so large?
I feel this may be a slightly dumb question but I ran a regression with 4 variables, and all are very statistically significant, with T values $\approx 7,9,26$ and $31$ (I say $\approx$ because it ...
10
votes
3answers
483 views
Can the empirical Hessian of an M-estimator be indefinite?
Jeffrey Wooldridge in his Econometric Analysis of Cross Section and Panel Data (page 357) says that the empirical Hessian "is not guaranteed to be positive definite, or even positive semidefinite, for ...
9
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1answer
395 views
Documented/reproducible examples of successful real-world applications of econometric methods?
This question might sound very broad, but here is what I am looking for. I know there are many excellent books about econometric methods, and many excellent expository articles about econometric ...
8
votes
6answers
8k views
What is the reason why we use natural logarithm (ln) rather than log to base 10 in specifying function in econometrics?
What is the reason why we use natural logarithm (ln) rather than log to base 10 in specifying functions in econometrics?
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5answers
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How to model prices?
I asked this question on the matemathics stackexchange site and was recommended to ask here.
I'm working on a hobby project and would need some help with the following problem.
A bit of context
...
8
votes
3answers
248 views
When is quantile regression worse than OLS?
Apart from some unique circumstances where we absolutely must understand the conditional mean relationship, what are the situations where a researcher should pick OLS over Quantile Regression?
I ...
8
votes
3answers
380 views
Random assignment: why bother?
Random assignment is valuable because it ensures independence of treatment from potential outcomes. That is how it leads to unbiased estimates of the average treatment effect. But other assignment ...
8
votes
2answers
4k views
Linear regression, heteroscedasticity, White's test interpretation?
I am trying to test whether my regression has an issue of heteroscedasticity. After running a regression, I can clearly see that the residual plot has a pattern. After taking a log of the dependent ...
8
votes
0answers
85 views
Irregularly spaced time-series in finance/economics research
In financial econometrics research, it is very common to investigate relationships between financial time series that take the form of daily data. The variable will often be made $I(0)$ by taking the ...
7
votes
3answers
1k views
What is an instrumental variable?
Instrumental variables are becoming increasingly common in applied economics and statistics. For the uninitiated, can we have some non-technical answers to the following questions:
What is an ...
7
votes
2answers
760 views
In regression analysis what's the difference between data-generation process and model?
In regression analysis what's the difference between 'data-generation process' and 'model'?
7
votes
1answer
423 views
How to do a 'beer and diapers' correlation analysis
I have data that is equivalent to:
shopper_1 = ['beer', 'eggs', 'water',...]
shopper_2 = ['diapers', 'beer',...]
...
I would like to do some analysis on this ...
7
votes
2answers
403 views
Using econometrics, how do I solve out the endogeneity problem?
I had a project from before I graduated from college that was effectively me acting as a research aid to a politician. The project served as my senior thesis, as well. The portion of the report that I ...
7
votes
1answer
392 views
Gini coefficient and error bounds
I have a time series of data with N=14 counts at each time point, and I want to calculate the Gini coefficient and a standard error for this estimate at each time point.
Since I have only N=14 counts ...
6
votes
13answers
3k views
Good econometrics textbooks?
Which good econometrics textbooks would you recommend?
edit: There are quite a few books out there, with varying levels of mathematical sophistication. It would be good to get some idea of how ...
6
votes
1answer
474 views
What is the difference between spatial dependence and spatial heterogeneity?
What is the difference between spatial dependence and spatial heterogeneity?
My question is motivated by readings in model specification problems in spatial econometrics, in particular Anselin ...
6
votes
1answer
115 views
Is there a method to find what is a good sample size for a VAR-model?
This question might be way off base as I am just getting to know vector autoregressive models, but I've tried searching through the usual channels and if this actually is a valid question it might be ...
6
votes
1answer
727 views
Conditional homoskedasticity vs heteroskedasticity
From Econometrics, by Fumio Hyashi (Chpt 1):
Unconditional Homoskedasticity:
The second moment of the error terms E(εᵢ²) is constant across the observations
The functional form E(εᵢ²|xi) is ...
6
votes
2answers
762 views
Does it make sense to “cluster” when you use a regression discontinuity?
One of the breakthroughs of econometrics over the past two decades has been to employ "clustering" to take into account the correlation of error terms across observations. For instance, if you're ...
6
votes
1answer
162 views
How to combine the forecasts when the response variable in forecasting models was different?
Introduction
In forecasts combination one of the popular solutions is based on the application of some information criterion. Taking for example Akaike criterion $AIC_j$ estimated for the model $j$, ...
5
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2answers
433 views
Statistics and econometrics distance learning
I would be very glad if someone can point me out to statistics and econometrics distance learning courses like http://www2.statistics.com.
Thanks in advance
5
votes
1answer
313 views
Heckman sample selection
On page 9 in http://jenni.uchicago.edu/Oxford2005/four_param_all_2005-08-07_csh.pdf
ATE - the average treatment effect is the expected gain from participation in a program for a random individual. For ...
5
votes
1answer
737 views
Finding coefficients for VECM + exogenous variables
I want to extend the standard VECM form:
Δx[t] = δ0 + ... + Π x[t-1] + Φ1 Δx[t-1] + Φ1 Δx[t-2] + ... + ε
to include exogenous variables (i.e. variables that are participant in describing the ...
5
votes
2answers
519 views
How to remove trend with no look ahead bias?
I would like to explore the different ways one can detrend a time series without look ahead bias.
I wanted to use the Hodrick Prescott filter, which seems like a quite good frequency filter, but it ...
5
votes
1answer
819 views
Can I use Synthetic Control Method for Comparative Case Studies with survey data?
I'd like to assess the impact of an upcoming policy implementation, as measured by changes in questionnaire response to a Likert-scale question.
I understand I could use a difference-in-difference ...
5
votes
1answer
123 views
Showing that the power of a test approaches 1 as the sample size approaches infinity
I'm working on some exercises for my econometrics class and I'm a little confused. I'm meant to consider a model
$$Y=\beta_0 +\beta_1X+u$$
and propose a test (test statistic and critical value) of ...
5
votes
2answers
114 views
How to model the relationship between geocoded and ungeocoded sales data?
I am trying to model sales data for stores at the Census block group level in order to predict sales at potential new restaurants. For example, I know that store 2, which has a giant flashing neon ...
5
votes
1answer
164 views
Regression estimator where exponents are freely varying?
Is there a regression estimation methodology that can estimate the following:
$$Y_t = \alpha + \beta X_t^x + \gamma Z_t^z + \epsilon_t$$
where $x,z\in \mathbb{R}$, are freely varying and are chosen ...
4
votes
2answers
411 views
Tobit with difference-in-differences specification
Is it possible to estimate a tobit model (e.g. a nonlinear model) with a DiD (difference-in-differences) specification? If so, how does such specification look like?
If it is possible is this ...
4
votes
3answers
205 views
Formal definition of random assignment
I am looking for a formal definition of random assignment.
Let $\mathbf{Z}$ be a vector of treatment assignments in which each element is 0 (unit not assigned to treatment) or 1 (unit assigned to ...
4
votes
1answer
185 views
Identify the parameters of the model $Y=\exp(\beta_0 + \beta_1 X + \beta_2 Z)+u_i$
I have the model $Y_i=\exp(\beta_0 + \beta_1 X_i +\beta_2 Z_i) + u_i$ where we assume $\mathbf{E}[u_i|X_i,Z_i]=0$ and $Var(X_i)>0,Var(Z_i)>0$, and I need to show that $\beta_0,\beta_1,\beta_2$ ...
4
votes
2answers
1k views
Estimating demand elasticity econometrically
When specifying a production function for regression, it is well known that one of the features of using a log-log model is that the estimated coefficients are the output elasticities w.r.t. their ...
4
votes
2answers
93 views
Statistics on mathematical “data”?
Lets say there is a theoretical relationship you want to prove over all values of some variable.
For example, $F(x)$ increases with $x$.
You are unable to come up with a general theoretical proof. ...
4
votes
4answers
1k views
When should one consider using GMM?
One of the things which makes econometrics unique is the use of the Generalized Method of Moments technique.
What types of problems make GMM more appropriate than other estimation techniques? What ...
4
votes
1answer
193 views
Spatial econometrics — computing residuals
Consider the model in spatial econometrics denoted SAR by James P LeSage:
$y = \rho W y + X \beta+ \epsilon$
I use the R package ...
4
votes
1answer
263 views
How to know if a list of prices are mean-reverting?
I have two historical price lists with the following columns
data - price
Now i have to create the ratio between the prices of these lists:
list A: 01/01/2011 10.50
list B: 01/01/2011 ...
4
votes
2answers
2k views
Persistence in time series
Could someone tell me what the term 'persistence' mean in time series analysis? It's regarding econometrics and applied regression.
4
votes
3answers
161 views
Efficiency and the number of regressors?
An econometrician told me that I shouldn't keep adding new variables to the model even if I have reason to believe they're relevant to the response variable, as it "reduces the efficiency of the other ...
4
votes
1answer
183 views
(Quantile regression) Which standard error for heteroscedasticity & serial correlation
I have heteroscedastic and autocorrelated residuals in my multivariate quantile regression model.
What's the quantile regression standard error estimator that's robust to this? Something hopefully ...
4
votes
1answer
106 views
Why arrange variables by causality in bivariate regression?
Suppose we have variables $(X,Y)$ and we have theory tell us that $X$ $\overset{\text{cause}}{\implies} Y$. Perhaps they're time-series variables and it would be common to see something like this:
...
4
votes
2answers
267 views
A question about parameters of Gamma distribution in Bayesian econometrics
The Wikipedia article on the Gamma distribution,
lists two different parameterisation methods, one of them frequently used in Bayesian econometrics with $\alpha>0$ and $\beta>0$, $\alpha$ is ...
4
votes
0answers
140 views
Spatial autocorrelation versus spatial stationarity
Let's assume we have points in two-dimensional space, and we wish to measure the effects of attributes $X$ on attribute $y$. The typical linear regression model is of course
$$y= X\beta + \epsilon$$
...
3
votes
4answers
145 views
Why can't I trim the the dependent variable in a regression? Or can I?
I've been told not to trim the dependent variable in a regression, but I don't know why. It makes sense that I shouldn't select my sample based on the outcome, but what assumption does this violate? ...
3
votes
2answers
151 views
Suppose that $R^2=0$ . Does this imply that Y and X are unrelated? [duplicate]
Possible Duplicate:
Under what conditions does correlation imply causation?
Can somebody illustrate how there can be dependence and zero covariance?
Or could there still be a ...
3
votes
2answers
159 views
Probability distribution of income
I create an agent-based simulation of some economic phoenomenon, and I need to assign each citizen a random income level. I want to select the income level using a probability distribution that ...
3
votes
1answer
534 views
Predicting ordered logit in R
Pardon my naïveté if this is a dumb question, but I'm new to R. I'm trying to do an ordered logit regression. I'm running the model like so (just a dumb little model estimating number of firms in a ...
