Questions tagged [econometrics]

Econometrics is a field of statistics dealing with applications to economics.

Filter by
Sorted by
Tagged with
1
vote
0answers
7 views

Treatment effect and Causal Structural Models (Pearl-type)

How can I check whether the condition of no confounding is satisfied in a Structural Causal Model? In particular is there a way to do this by applying the do-calculus? The condition of no confounding ...
0
votes
0answers
13 views

Contribution of Parameter Changes to Total Change in Function [closed]

Given a function $$C(x(t),y(t))=x*y$$ and discrete data for variables $x(t),y(t)$ at the points $t_0,t_1$, \begin{array} {|r|r|}\hline & t_0 & t_1 \\ \hline x & 10 & 5 \\ \hline y &...
0
votes
1answer
14 views

Two-way fixed effects and the F-test

I have two questions regarding the reporting of scientific results. I was reading the following paper by Grinols and Mustard (2006) which can be downloaded here for free. Their main specification is a ...
0
votes
1answer
16 views

Regression with/without interaction vis a vis CEF

I am interested in improving my understanding of regression and CEF. In particular, I bring two related questions: 1) How to interpret a relationship with two dummy variables without interaction; and ...
2
votes
1answer
25 views

Does estimated fixed effects change if we change reference level?

Consider a fixed effect model $$y_{it}=x_{it}'\beta+\alpha_{i}+\epsilon_{it}$$ To estimate the fixed effects $\alpha_i$ we can add a dummy for each individual and run the least-squares dummy variables ...
1
vote
2answers
24 views

Are the errors independent?

Let ${(Y_1,X_1),...,(Y_i, X_i),...,(Y_n, X_n)}$ be a random sample (observations are independents and i.i.d) and $Y_i=X_i'b+e_i$ a linear regression. My question: Is the following statement correct? ...
4
votes
1answer
37 views

Interpreting difference in difference event study regressions

Lets say I have a model: $$ y_{i,t}= \sum_{k \neq -1} \beta_k \times treat_i \times \mathbf{1}_{K = k} + \lambda_t + \mu_i + e_{i,t}, $$ where $k$ indicates event time, and treatment takes place at ...
4
votes
1answer
41 views

Incidental parameter problem for fixed effects OLS regression with logarithmic dependent variable on a short panel

I have panel data over 7 years and 6000 observations in total, on which I am running an OLS regression with around 600 fixed effects dummies. The dependent variable is logarithmic. I have heard about ...
2
votes
1answer
42 views

Difference $Y=Xb+e$, $Y_i=X_ib+e_i$, $y_i=x_ib+e_i$ and $\hat{\ y_i}=x\hat{\ b_i}$

I'm confused about the following four expression used to represent the regression. My intuitions are the following: First: $$Y=Xb+e$$ This is the general lineal regression, where random variables $Y$ ...
1
vote
2answers
23 views

Confused about the meaning of zero conditional mean with regressions analysis /exogeneity)

Usually the exogeneity assumption is states, given the vector E[$\epsilon$|x]=0. what this implies then is E[$\epsilon_i$|x$_i$]=0 for all i. The individual notation part is what is confusing me. ...
20
votes
2answers
984 views

Propensity score matching - What is the problem?

In estimation of treatment effects a commonly used method is matching. There are of course several techniques used for matching but one of the more popular techniques is propensity-score matching. ...
1
vote
1answer
47 views

Regression's population parameters

Suppose I've specified a linear regression model: $$ Y = \beta_0 + \beta_1 X + \epsilon $$ where $\beta_0$, $\beta_1$ are the population parameters. My question is: why are these parameters ...
4
votes
1answer
41 views

Relationship between distribution and data generating process

My question is: are the concepts of probability distribution, data generating process and population equivalent? If not, then what is the relationship they have. My question arises from the following ...
1
vote
1answer
27 views

Regression's nomenclature problem

I'm reviewing the estimation of the parameters of a regression and a question arises regarding the nomenclature used by the book (Hansen's book). The author considers it valid to write expressions ...
0
votes
1answer
59 views

Why are my coefficients too large when control variables are not added?

I am doing a difference in differences analysis with staggered treatment time. Since the treatment time is different among subjects, I made my matrices look something like this from this post (Dynamic ...
0
votes
0answers
14 views

How can I manually predict the values of a Fixed Effects model?

Suppose I have a fixed effects model where the coefficient for x1 and x2, respectively, are 2 and 4. Now suppose I have two vectors, X1 and X2, that has test data for variables x1 and x2, respectively....
0
votes
0answers
7 views

How to incorporate Week, Weekday, Holiday, and Hour Fixed Effects in Regression for Stata

thank you for taking the time to read and help! I currently have data from 2017-2020 July and with the variables date, hour (1-24), and amount in dollars. I want to incorporate Week, Weekday, Holiday, ...
0
votes
1answer
23 views

$var(y)=b^2var(x)+var(e)$

Suposse $y=xb+e$ where $y$ and $x$ are random variable. $e$ is the error of the regression. Since x and e are independent then: $var(y)=b^2var(x)+var(e)$ How can I proof the following double ...
0
votes
1answer
13 views

Does it matter how often units are sampled for fixed effects models?

Suppose I am building a fixed effects models and my observations are every second. However the data does not fit into memory. If I were to aggregate the observations weekly or monthly, would that make ...
0
votes
0answers
6 views

How is the fraction of individuals with negative income handled in calculating the Gini coefficient in grouped data?

Much of the literature on theorizing and estimating the Gini coefficient $G$ is predicated upon the lower bound of the income distribution being $\$0$ (or whatever your unit of currency is); that is, ...
1
vote
0answers
13 views

Can we use pooled ols on dynamic panel without individual fixed effect (but with group fixed effects) and no serial correlation in error

Is it correct that dynamic panel without individual fixed effect (but with group fixed effects), no serial correlation in error can be estimated consistently through pooled ols? For example, suppose ...
0
votes
0answers
38 views

$E(xy)<\infty$ proof

I am reviewing the best linear projection properties proof in Hansen's book on econometrics. Specifically, the proof according to which $E(xy)<\infty$. For this, it is assumed that $E(y^2)<\...
1
vote
0answers
14 views

When calculating the Gini coefficient for the US, how should the portion of the population which has not filed a return be incorporated?

The Gini coefficient $G$ is a commonly used measure of income distribution inequality, taking values from 0 (meaning every individual in the population has an identical income) to 1 (meaning a single ...
1
vote
0answers
25 views

Why not use % change in regression instead of log diff?

Given that log difference = percent change why not make the series stationary by just using percent change as the regresor. a. It's not an approximation and we can interpret an coefficient as a ...
0
votes
0answers
19 views

Independent variable has different effect when rising vs falling

I have a panel of US counties over 10 years, and I'm looking at the relationship between the unemployment rate and an outcome variable, Y. There is strong theoretical justification that the ...
1
vote
1answer
46 views

Expected value $e^2$ [closed]

Can someone help me to proof this equality about the square of the regression error? $$Ee^2=E(y-x^Tb)=Ey^2-2E(yx^T)b$$ This expression is found in Hansen's book on Econometrics. The author seeks to ...
0
votes
1answer
26 views

Am I okay in not using EC model when series are co-integrated?

I'm working with some panel data, and I'm interested in estimating the parameters of the following process: $$\Delta y_{t+1} = \alpha + \delta t+\beta_1 \ln y_t + \beta_2 \ln x_t+\epsilon_t$$ Where $...
0
votes
0answers
14 views

Multicollinearity in ECM model

In Error Correction Model I have proplem related to singular matrix. There are multicollinearity problem of such variables as exchange rate and interest rate. Because they are somehow stable over time,...
1
vote
0answers
39 views

Counterexample where E(u|x)=0 in a regression model cannot hold in the population?

Edit: Background information: I have two variables of interest, $y$ and $x$ that are linearly related via the following: $y = a + bx + u$, where "$a$" and "$b$" are fixed ...
1
vote
0answers
25 views

ARDL and ECM lags

What number of lags should I take in ECM model from ARDL specification? Assume I have equation y=x+z+r+h and ARDL(3,2,1,0). Should I specify ECM model as this d(Y)=d(Y,1) + d(Y,2) + d(X,1) + d(R) + d(...
3
votes
2answers
54 views

Linear regression is a estimation of conditional expectation?

I am studying the topic of regression for the first time and some questions arise. First, linear regression is a estimation of conditional expectation? And also the conditional expectation estimate is ...
4
votes
1answer
81 views

Can I use matching weights to check that treatment endogeneity is eliminated after exact matching?

I want to check that the endogeneity of a treatment variable gets eliminated by conditioning on a set of control variables, but I am not entirely sure on how to proceed. I have tried one approach and ...
1
vote
3answers
68 views

Compare RMSE for the same model but varying sample size

My empirical research is based on a variable $a_{i,t} \sim f(\mathrm{RMSE})$, i.e. it is based on the root mean squared error (RMSE) of a certain regression model $Y_{i,t} = f(X_{i,t}, \beta) + \...
1
vote
3answers
66 views

Endogeneity testing using correlation test

I am currently testing my linear model using OLS method. The last thing I have to test is endogeneity issue. Is it enough if I test each explanatory variable for correletion with error term? Than ...
1
vote
1answer
33 views

Modelling the effect of crises on unemployment

We want to estimate the effect of crises on a country's unemployment rate and distinguish the strength of this effect according to the debt level in a country (i.e. via the interaction effect crisis x ...
1
vote
0answers
20 views

Conditional Expectation in a Fixed Effects model

In Mostly Harmless Econometrics, pp. 222 - 223, I'm struggling to understand a derivation. Specifically, I don't know how 5.1.2 implies 5.1.3 below. Further, they claim that $$ \varepsilon_{it} \...
8
votes
0answers
128 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). ...
4
votes
1answer
34 views

Proof Law of Iterated Expectations

I'm reviewing the proof of the law of iterated expectations from Hansen's book of econometrics. I'd like to know why in the first line of the proof it integrates with respect to the conditional ...
0
votes
1answer
11 views

Get predicted (leveled) value of y from a differenced regression in time series

Suppose I have two time series variables (x and y) which have unit root (non-stationary). I would like to regress y against x, but because they are non-stationary, I first stationarized them by ...
0
votes
1answer
34 views

Reporting statistics after sorting into groups based on regression betas

I am currently reading a paper, where I stumbled upon the following table. The statistics in which I am interested are in the red rectangles: To explain what is happening here: They are doing many ...
2
votes
1answer
51 views

Question about fixed effects, and state-by -time fixed effects

I have seen papers at the US level where they include county fixed effects, and state-by-year fixed effects, i.e.: $y_{c,t}$ = $\beta$$x_{c,t}$ + $\lambda_c$ + $\mu_{s,t}$ + $\eta_{c,t}$ where c ...
0
votes
0answers
6 views

For regression: Are clustered standard errors(say specified correctly) only consistent, or both unbiased and consistent estimators?

Basically are clustering standard errors only an asymptotic argument or does it possess finite sample properties as well?
0
votes
0answers
3 views

Detecting deviation in the proportional consumption of an individuals' preference between two choices

Individuals can choose to use A and B, which are imperfect substitutes, in as much or as little amounts as they desire, and when to use them. I've been grouping past behavior into weeks/days and using ...
1
vote
1answer
19 views

Why is the Wald Estimator equal to LATE (binary instrument)?

In Mostly Harmless Econometrics, Equation (4.1.12) states that in IV setting with binary instrument $Z$, treatment $D$, and potential outcomes $Y_1,Y_0$ for $Y$, then $$E[Y_1-Y_0|D_1 = 1, D_{0} = 0] =...
15
votes
6answers
621 views

What is the difference between econometrics and statistics?

It's never been very clear to me what distinguishes econometrics from statistics. My preliminary understanding was that statistics is data-focused whereas econometrics always starts from theory. But ...
1
vote
0answers
12 views

Regression Output Interpretation Pr(‧)

The following output regression is taken from Fryer et al. (2012).Enhancing the Efficacy of Teacher Incentives through Loss Aversion: A Field Experiment.: Can someone tell me how to interpret the ...
1
vote
0answers
15 views

Calculate GINI inequality coefficient from IRS SOI data

I am trying to calculate the GINI coefficient from the IRS SOI dataset using the adjusted gross income (AGI) bins provided in the csv. I know this will not be an exact GINI index score, and only a ...
0
votes
0answers
19 views

Could the first differences estimator be a better choice than fixed effects, regardless of serial correlation and heteroskedasticity?

TLDR: Is the first differences-estimator a better choice than a fixed effects model for panels where the demeaned dimension is categorical with three categories, where two of them usually have no ...
1
vote
0answers
26 views

Pros and cons of converting weekly to daily data

I am trying to forecast an economic variable called the "yield spread" in python. Among the variables in my dataset, two of them are measured on a weekly basis. These are: unemployment ...
1
vote
0answers
22 views

Calculating Conditional Value at Risk given any distribution

Many CVaR methods calculations are based on VaR, which is based on the assumption on the normal distribution. How can I calculate CVaR given any distributions?

1
2 3 4 5
38