Questions tagged [data-generating-process]

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Generate data that matches a frequency distribution while preserving the original spatial structure

I am dealing with a 3D array containing values representing the "importance" of each voxel. For my analysis, I would like to synthesize n new arrays from my original array to have a ...
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50 views

How can I generate longitudinal data with correlated individual effects and serially correlated error term in R/Rstudio?

I would like to generate longitudinal data with correlated individual fixed effects (correlation with the explanatory variable) and serially correlated error term in R/Rstudio. The data generating ...
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42 views

Interpretation of intercept term in ECM

Suppose two $I(1)$ series $x_t, y_t$ are cointegrated. Therefore $\mu_t$ in following equation is stationary: \begin{align} y_t = \beta_0 + \beta_1x_t + \mu_t \tag{1} \end{align} Now consider the ECM ...
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58 views

Econometrics meaning of structural versus regression model

I want to make sure my understanding is correct. Particularly in econometrics, when authors write down a model: $Y_i = \beta_0 + \beta_1 X_i + \epsilon$ Can I think of this as a 'structural model'- or ...
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Generate data for significance testing

I want to generate a data set with a pre-specified significance level. Let's say we have 2 covariates x1, x2, and an outcome variable y. We fit a linear regression model as follow: ...
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35 views

Mixed data sampling in R (midas_r)

I have the following code where I have a weekly time series (variable x) which I would like to use in order to forecast my monthly time series (variable y). So basically I want to forecast the current ...
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1answer
122 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. ...
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Isn't “contrast coding” just a weird way to write a mixture model?

My background is in CS and ML, so I am quite familiar with hierarchical Bayesian models -- and probabilistic programming. But I do not have much experience with traditional statistical methods. This ...
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63 views

Population vs. Data-Generating Process

A lot of elementary statistical and econometric literature bases on so called "population models". An example is econometric handbook "Introductory Econometrics: A Modern Approach" ...