# Tagged Questions

Macroeconomics is a general branch of economics which studies the behavior of larger economic entities like countries. Macroeconomists often analyze time series of country specific data (e.g. inflation, output, unemployment) to understand economic relationships. The application of statistics, ...

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### What are supposedly the most important macro data to include in a regression analysis in retail?

I work in retail and we want to complie a regression analysis to see how different factors impact our business and retail in general. So far, I have started to educate myself on R (by suggestion from ...
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### General-to-specific subset selection (“Autometrics”) performing well in macroeconomics

I wonder why general-to-specific (GETS) subset selection and particularly the Autometrics algorithm are performing well in macroeconomic modelling/forecasting. How does Autometrics work? Doornik "...
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### When is a statistical test said to be robust? Also, is normal distribution applicable to economic variables as well?

I was doing a student satisfaction survey and analysed the results using MANOVA. None of the variables thAt was under study followed a normal distribution and thus, violated the assumption of MANOVA. ...
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### Nonstationarity of interpolated time series

I have a time series, which is monthly GDP of an economy. I had created it using Denton Cholette method of interpolation by using semi-annual data. The problem is that this series is nonstationary. ...
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### Differing regression coefficients in the literature for Okuns Law

I'm currently writing up my applied econometrics project on Okun's Law, and it is important for me to give some historical context of Okun's original regression results. My problem however, is that ...
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### Replicate cointegration rank statistics using a 9 variable VAR(2)

I am trying to replicate Tables 3 and 4 from the paper "A Long Run Structural Macroeconometric Model OF the UK" by Garratt et al (2003). Using the Akaike criterion the authors decide to proceed with ...
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### How to test the relevance of Taylor's rule after the crisis of 2008?

I have a quick query regarding the selection of methodology and test for the empirical relevance of Taylor rule especially after the global financial crisis of 2007 to 2009. I want to capture long-...
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### Forecasting GDP using regression, ARIMA and ETS

I am building a simple model that estimates future change in GDP growth using change in working-age population (%). $$\Delta GDP_t = \beta_0 + \beta_1 \Delta Pop_{t-1} + \varepsilon_t.$$ I have ...
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### why do we analyse the housing market from 'short run' and 'long run'? [closed]

As we can see the factors impacting the housing market, particularly house prices, are always analysed from the long run and short run, even some researchers analyse those factors from a cyclical and ...
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### Time Series Analysis vs Linear Regression for GDP data?

I am trying to build a simple econometrics model that uses urban population, total factor productivity among other things to predict future GDP of a country. First I approached the problem by using ...
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### Choices of priors for time-varying-parameter VAR in Primiceri (2005)

The main idea of the question is how to choose priors' parameters for the time-varying-parameter VAR model. I am really confused in the way Primiceri (2005) constructed priors in his paper under the ...
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### Correlation between monthly and quarterly data

Does anybody know how to measure the correlation between monthly and quarterly data? I would like to calculate the correlation between ISM PMI (monthly) and Real GDP growth (quarterly). So, the 2 ...
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### Writing an undergraduate Econometrics project on Okun's Law - omitted variable bias?

I'm writing my first empirical piece on the validity of Okun's Law in the US and UK over a 40 year period back to 1975, using annual time-series data. I am still in the planning stage of my project, ...
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### Long-run elasticities in an ECM estimation

I am reading a paper (Stockhammer, Onaran and Ederer, 2011) which estimates the effects of GDP, profits and the interest rate on investment in an ECM form. I am quoting the relevant part of it: ...
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### Correcting autocorrelation with MA in a regression

I would need some advice on a multivariate regression problem. I am running regressions with macroeconomic data at first difference and using a AR(1) as regressor to correct autocorrelation (it makes ...
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### Regression on default data and backward extrapolation

Suppose that we have bankruptcy data representative for Small and Medium-sized enterprises in a country. We can therefore calculate default rates. Furthermore suppose that we found that GDP, ...
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### Uncertainties with how to run a VECM for testing the J-curve

I am attempting to test for the existence of a "J-curve" effect (deterioration of the trade balance in the short-term after the depreciation of the currency via more expensive imports, followed by an ...
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### Should I re-transform country dummy coefficients to be analyzed in a second stage?

I am working on panel (country-year) macroeconomic data which suffers from missing data in some of the independent variables. My sample is wide and short, around 120 countries over 10 years. In past ...
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### Cost Benefit/Effectiveness

I would like to compare the results of several diagnostic modalities on a population to identify a disease. More specifically I would like to compare the sensitivity of the modalities (all have 100% ...
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### Would it make sense to do a 2SLS regression for Nominal GDP and Money Supply?

Would it make sense to do a 2SLS regression for Nominal GDP and Money Supply (using predetermined variables of government expenditure and investment)? If it does make theoretical sense, is this ...
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### What is “gaussianity”, and how do you perform gaussianity testing in macroeconomic time-series?

I have several questions regarding the usual gaussianity (broad normality) assumptions in econometrics. Though people often check for normality (with apparently weak tests), I've seen just one example ...