Linked Questions

20
votes
4answers
14k 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'?
10
votes
3answers
784 views

Regression and causality in econometrics

In regression in general and in linear regression in particular causal interpretation about parameters is sometimes permitted. At least in econometrics literature, but not only, when causal ...
13
votes
1answer
283 views

How would econometricians answer the objections and recommendations raised by Chen and Pearl (2013)?

In their article, Chen and Pearl (2013), critically examined 6 econometric textbooks, among these the textbooks written by Wooldridge (2009) {the introductory book}, and Stock & Watson (2011). ...
2
votes
2answers
217 views

Using LASSO to select model - can't infer, what does this mean?

I realize that when I use LASSO to select a model, I can't infer from it because it penalizes the coefficients to best fit the data. I'm just a little confused as to what exactly this means. Isn't ...
5
votes
1answer
168 views

What's the DGP in causal inference?

This question come from this discussion (Under which assumptions a regression can be interpreted causally? ). That discussion touch too arguments and is not possible to speak about all things there. ...
1
vote
1answer
402 views

Does homoscedasticity imply that the regressor variables and the errors are uncorrelated?

By OLS regression equation: $$Y = a + bX + e$$ My thoughts are that homoscedasticity by definition imply that $Var(Y|X) = Var(e|X)=$ constant, then this would imply that $Var(e|X) = Var(e)$ which ...
4
votes
1answer
240 views

linear causal model

Currently I’m focused on linear causal model expressed as a structural equation like this: $y = \beta_1 x_1 + \beta_2 x_2 + … + \beta_k x_k + u$ where $E[u|x_1,x_2,…,x_k]=0$ (exogenous error) we ...
5
votes
0answers
222 views

Structural equation and causal model in economics

Structural equations is a useful language for causal analysis in economics. In Causality Pearl (2009 cap 5) we can find the best discussion about this. My question: is possible to use the concept of ...
2
votes
3answers
150 views

In regression analysis, data generate model or model generate data?

I am learning regression analysis and in starting of that I have encountered two statements: S1: model generates data S2: data generates model Given that one is correct, so I picked up S2, thinking ...
1
vote
0answers
75 views

Supervised learning when there is a true underlying model vs. supervised learning when there is no underlying model?

(I found a more concise way of expressing my question - I'm leaving the original wording below for reference purposes) Is there a difference in the way we approach supervised learning problems when ...