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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29 views

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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18 views

Endogeneity: basic questions [on hold]

Discuss the problem of endogeneity by using diagrams and equations. a. What are the main causes of endogeneity? b. What can we say about the size and sign of the bias of estimate? c. How can we ...
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17 views

Notation of an integral in DSGE model [closed]

I am new to consumption being denoted by an interval as opposed to a summation. In Gali's (2008) book, he denotes consumption as: $C_t=\left(\int_{0}^1 C_t(i)^{1-\frac 1\varepsilon} \, ...
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2answers
27 views

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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14 views

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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15 views

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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23 views

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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19 views

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 ...
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1answer
50 views

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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1answer
27 views

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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58 views

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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1answer
56 views

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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1answer
82 views

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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0answers
73 views

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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1answer
57 views

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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2answers
96 views

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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1answer
50 views

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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0answers
23 views

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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0answers
18 views

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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14 views

Can a Percentage Change series be an independent variable in a regression?

i.e. Quarterly GDP growth from 2000-2010 used to explain a company's revenue trends for same period. Or do I have to use the actual $ value of the GDP?
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15 views

Trying to calculate the probability that a baby is born to a private sector employee

I am currently researching birth rates for private sector workers between the ages of 20-65 using employment data form the Bureau of Labor Statistics and birth data from the CDC. My initial ...
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0answers
32 views

Ranking of Rates of Return as dependent variable

I am working on a study for my university. I am trying to test a model that some companies uses to rank countries as a top-down model for investing. The objective of the model is to rank, explained ...
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1answer
332 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 ...
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104 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 ...
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171 views

How to design an economic index?

I'm designing a linear economic index: $I_{t}=W_{1} X_{t_{1}}+W_{2}X_{t_{2}}+W_{3}X_{t_{3}}$ where $W_{1}$ to $W_{3}$ are weights of inputs ($X_{t_{1}}$ to $X_{t_{3}}$) and $I_{t}$ is the final ...
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2k views

Regression Developing Countries: GDP-Growth or GDP

For my master thesis I basically want to find out, why developing countries are stagnating. Next to theoretical aspects I also want to make a regression. I want to regress GDP or GDP growth as ...
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1answer
368 views

Economics: Real vs Nominal Variables

My economic analysis uses OLS with cross-sectional annual data. The dependent variables are defined as x/y where x is a variable (such as trade, debt etc.) and y is real GDP. What if, instead of ...
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33 views

What issues may I face when interpolating my dependent variable in an OLS regression?

I'm doing my undergrad dissertation on what host-country factors impact FDI inflows - FDI inflows to the UK is my dependent variable. All of the independent variables I have managed to find at a ...
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1answer
46 views

Simulating a dynamical system

Basically I need to replicate Hartley's 'A User's Guide to Solving Real Business Cycle Models' . Specifically (to make question relevant to stats.stackexchange), I want to simulate the dynamical ...
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1answer
298 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 ...
3
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0answers
73 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 ...
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1answer
7k 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?
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1answer
607 views

What is a user-friendly and powerful software package for econometrics modeling?

I would be using such software to run multiple regressions using macroeconomics variables as independent variables to estimate other macroeconomic ones as single dependent variables. I need to be ...
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0answers
138 views

Panel data model for exports and exchange rates

Suppose I have 4 years worth of monthly panel data on: exports of widgets $y$ from home country to 12 different nations (in US dollars) nominal exchange rates $x$ for those 12 countries (in US ...
2
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1answer
93 views

Can this be modelled?

Context: USA economy Background: Its generally accepted that the growth of e commerce has certain curbing effects on the CPI-inflation. Because search costs are much lower online, people always go ...
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242 views

Why does Okun's law regress change in GDP on change in unemployment rate?

Why does the Okun's law, the one that measures the relationship between unemployment rate and GDP, regress the percentage change in GDP on change in unemployment rate? Why cannot we just simply ...
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2answers
5k views

Calculating the price elasticity and income elasticity of demand

The demand function for air travel between the U.S. and Europe has been estimated to be $$\ln Q = 2.737 - 1.247 \ln P +1.905 \ln I$$ where $Q$ denotes number of passengers (in thousands) per year, $P$ ...
2
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2answers
186 views

Fixed effect insignicant results

Currently iam working on my master thesis which is about risk adjusted returns in the Asia Pacific REIT market. The goal of the paper is to determine/find variables that conceive explanatory power ...
2
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0answers
74 views

Creating an index that measures how accurate economsits are at predicting the US economy

I am interested in building an index that tracks how accurate economists are at predicting several US economic statistics: US Jobless claims number: comes out weekly, ranges from 100k to 400k, ...
12
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2answers
349 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 ...
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2answers
86 views

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% ...
1
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1answer
132 views

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 ...
1
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1answer
1k views

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 ...
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2answers
498 views

How do economists quantify black market operations?

I was doing a lot of research into organized crime in East Asia for a project as a favor to an author-friend of mine, and I noticed that there were noted economists and journalists who, in ...
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2answers
453 views

Constructing a naive recession forecast

I am testing a variety of models to produce 1-month ahead predictions of US Recessions. To benchmark these models, I want to build a naive recession model. My first thought was to use the current ...