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Questions tagged [econometrics]

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

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Power estimate for an interaction term in factorial design

I am trying to estimate power for a factorial design (2x2). My initial approach was to estimate pair-wise minimum detectable effect sizes : i.e., if I know sample size, allocation to each group and ...
Ploit88's user avatar
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time trend interaction

I have a panel dataset, and I want to perform some econometric analyses on it. I want to use a trend that interacts with the initial value of certain economic variables. For the trend, does it make ...
fernand's user avatar
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Linear regression applied to time series with trend - how to deal with it and how to interpret results?

I need to fit a linear regression model on time series. For simplicity, let's assume that we have only three variables: Y - has visible trend; after differencing is stationary X1 - has visible trend;...
Brzoskwinia's user avatar
2 votes
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Adjusting a multivariate predictive model for drifting seasonalities

This question is a repost of a question originally asked in Quantitative Finance. I was alerted that this would be a more appropriate place for it. I have a time series of daily observations that get ...
Guillermo 's user avatar
2 votes
1 answer
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Poisson model with left-censored data

I observe a setting where every individual may contract on a monthly annuity that pays out after event A realises and is contingent on survival. Therefore, some individuals might never receive ...
questix's user avatar
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Using long-run propensities to compare magnitude of association among independent variables

Is it feasible to add up all significant lags of respective independent variables (disregarding insignificant ones) in order to compare the strength or magnitude of their respective association with ...
Mandarina's user avatar
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Question about Synthetic Control Method in ADH JASA 2010

I'm reading the famous JASA 2010 paper (https://web.stanford.edu/~jhain/Paper/JASA2010.pdf) by ADH and encounter a question in the Appendix B. The brief summary of my question is stated below and a ...
Jaden Rock's user avatar
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When is E[Xi*ui]=0 violated, given that the residuals are by construction of the model uncorrelated with the predictors?

To begin: I am aware that the concepts of the "error term" and "residual" two distinct ones. Yet, I have difficulties understanding their implications for (multiple) linear ...
Econ4221's user avatar
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Underdispersion handled with negative binomial distribution? [duplicate]

To get a more flexible model than Poisson regression, one can choose the negative binomial distribution instead for modeling with $E[y] = \mu$ and $Var(y) = \mu + \frac{1}{ \theta} \mu^2$. As a ...
Marlon Brando's user avatar
2 votes
1 answer
40 views

Proof Markov's Inequality

I have a question regarding the proof of Markov's Inequality, attached as a picture to the post, which is quite basic: It is comphrensible that $\int_{a}^{\infty} xf(x) \, dx \geq \int_{a}^{\infty} af(...
george1994's user avatar
2 votes
1 answer
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Demand curve estimation using variation over time

I am interested in the price elasticity of demand, i.e., the β in Di=a+β*pi+εi. Suppose I observe two time periods but different individuals in both years (i.e., I do not have a panel). In t=1, all ...
questix's user avatar
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Using Controls that are time-invariant with the difference-in-differences estimators

I ran an experiment in which there was 2 groups of participants performing the exact same task during a first period. In the second period, the two groups had to perform the same task a second time. ...
Zelda 's user avatar
4 votes
1 answer
119 views

Why can we formally test the relevance assumption of instrument variable?

I saw in my old slides about IV, the professor said we cannot test exclusion assumption of IV but we can test relevance assumption of IV. His argument for not able to test exclusion is: $y=\beta_1 ...
Eileen's user avatar
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Mathematical derivation of why $O_p(N^{-1/2}) + O_p(T^{-1/2}) = O_p(N^{-1/2})$ if $T\gg N$ [migrated]

I will keep things simple. Say, we have a sequence of random variables, $X_{NT}$ which is bounded by the following expression: $X_{NT} = O_p(N^{-1/2}) + O_p(T^{-1/2})$. Now, this implies that $X_{NT} =...
user413454's user avatar
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R - Why is bgtest showing no autocorrelation when order is set to a higher number, but shows autocorrelation at order = 1

Upon reading, I saw that bgtest (Breusch-Godfrey test, from lmtest pkg) can diagnose autocorrelation of higher orders than just 1, which is the maximum order the dwtest (Durbin-Watson test, from ...
anonymous_matt277's user avatar
1 vote
0 answers
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Staggered diff-in-diff vs Stacked diff-in-diff

Just trying to better understand what really is the technical difference between staggered diff-in-diff and stacked diff-in-diff. I understand that TWFE staggered DiD has its own troubles and that ...
Econ Wanderer's user avatar
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Connection between multicollinearity and problem of identification in Simultaneous Equations Model

Is there any connection between multicollinearity and problem of identification in Simultaneous Equations Model? I know Multicollinearity is the occurrence of high intercorrelations among two or more ...
CrunchySia24's user avatar
3 votes
1 answer
78 views

Deriving a conditional joint probability model for the data in a Bayesian linear model

I have been reading Tony Lancaster's 2004 book "An Introduction to Modern Bayesian Econometrics." On pages 116-117, Lancaster derives a conditional joint distribution for the data $p(y,X|\...
user413046's user avatar
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how should i analyze panel data if all units are treated simultaneously?

I possess a dataset of 273 companies from the time period 2001-2017, and i want to study whether the effect of the policy (that was implemented in 2009) on profit was moderated by industry type. My ...
user413005's user avatar
3 votes
3 answers
227 views

Omit continuous variable in categorical by continuous interaction

I'm trying to understand whether excluding the main effect of income in this specification is valid. Gender is a 0/1 variable whether the individual is male/female. Income and NetWorth are continuous. ...
Atreya Dey's user avatar
1 vote
1 answer
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can add of interaction term makes a third term insignificant?

I was reading a paper. There are 3 regression: the baseline regression: financial development of city i on city level deposit amount, control for road density, and the coefficient on road density is ...
Eileen's user avatar
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What is the best way to model the impact of multiple therapies/diagnostic tests on healthcare resource utilization and costs pre- and post-treatment?

I have a methods question that I'm hoping this group might be able to answer. I'm planning an causal inference analysis in R where we want to see how the use of Diagnostic Test 1 rather than ...
cemarg's user avatar
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OLS Model with Lags - logged coeff

i am building a OLS model using python, where the dependant and independent variables are lagged. This is a form of econometrics model where i want to figure out how much each independent variable ...
milo204's user avatar
3 votes
1 answer
116 views

Can using Fisherian inference help me to be more confident of an underpowered result?

I am running a discontinuous regression to see the effect of a cash transfer on an outcome using a poverty index as the running variable. The problem is that the score is not a very good predictor of ...
Santiago Valdivieso's user avatar
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0 answers
24 views

Maximum Likelihood Estimation - Nested(?) Distributions

I am trying to estimate the parameters of an underlying Beta distribution using observations that arise from Geometric distributions that are conditional on the draws from the aforementioned Beta ...
WillTheGeek's user avatar
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37 views

Using results of log-log regression for forecasting

If I have a regression in with logs taken of both sides to give the equation: $ln(y) = \beta_0 + \beta_1 ln(x)$ and need to calculate the expected change in $y$ for a given $x$. I can see from reading ...
Paranoid Android's user avatar
2 votes
1 answer
157 views

Non-stationary time series: what are the advantages of doing analysis in levels instead of differences?

Suppose we want to analyze some non-stationary time series, x(t) and y(t). For simplicity, assume they are I(1). We can analyze them in levels (using cointegration tests) or in differences. What are ...
James's user avatar
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Reversing a First Difference Error Correction Model: Converting the Forecasted FD results back

I'm doing a study on how market rates affect interest rates. The model I've chosen is an Error Correction Model. I address the unit root issue in my dataset by taking the first difference. I then ran ...
dsupin's user avatar
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How can I measure paid search/SEM effects on sales with MMM while accounting for funnel effects?

I am reading hello fresh approach on building a Direct and Indirect marketing mix model to avoid funnel effects (details in this link : https://engineering.hellofresh.com/bayesian-media-mix-modeling-...
user412233's user avatar
1 vote
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Event study: Group periods at margins

For an event study (staggered Diff-in-Diff with different treatment periods) I would like to group the periods at the edges so that we get the coefficients for <=x / >=x , such as: For starters,...
kemajuan's user avatar
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1 answer
27 views

How to know whether I should use DiD or Spatial RDD?

I'm quite new in econometrics. I want to study a nationwide policy change at the city-level. In year T-1, cities are divided in three zones (green, orange, red) depending on their tension on the ...
Yan's user avatar
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1 vote
0 answers
29 views

Does multiplying an exogenous variable reduce endogeneity?

Let $X$ be an endogenous variable, $Y$ be a non-negative exogenous variable, and $e$ the error term. Define $\operatorname{cov}(.,.)$ as the covariance. Then, $\operatorname{cov}(X,e) \neq 0$ and $\...
msc's user avatar
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1 answer
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how to summarize moving average

This question is about how to summarize moving averages. Please assume the values in column Pct are % of people how have negative opinion about vaccine. column MovgAvg is the two year moving average ...
Ahir Bhairav Orai's user avatar
2 votes
1 answer
79 views

Granular difference-in-differences with non-repeating unit of observation

I want to analyze changes in characteristics of job postings around an (exogenous) event. However, rather than conducting the analysis at the job poster level (e.g., a company or geographic area), my ...
kurofune's user avatar
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0 answers
9 views

Is including all pair-wise interactions in a three-way interaction linear regression model necessary?

I am trying to assess the impact of X on Y with Z as a control and a dummy variable (D), which takes a value of 0/1. However, to test my hypothesis, I have interacted with XZD as I want to see the ...
Toshani Singh's user avatar
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0 answers
37 views

OLS - Visual Interpretation of var(β^​0​) [duplicate]

Hi guys! Could someone please help me with the interpretation of x_i^2? the drawing below is what I saw on the lecture but I'm having some trouble understanding what it means and why the mean is 0 in ...
Lex's user avatar
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0 answers
38 views

Why is a coefficient in front of $Y_{t-1}$ in a random walk (equal to 1) not an autocorrelation coefficient? [duplicate]

As it is said everywhere autocorrelation measures the correlation between a time series variable and its lagged values at different time intervals. Then why can't we say that coefficient in front of $...
Nika's user avatar
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2 votes
1 answer
92 views

Event study regression specification: interacting covariates with leads and lags

I want to create an event study regression specification for the following: $$ \ln(y_{ijt}) = \gamma \ln (x_{jt}) + \tau \ln(p_{t}) + \lambda \ln(x_{jt}) * \ln(\mbox{p}_{t}) + \epsilon_{ijt}. $$ I am ...
specfunctor's user avatar
2 votes
0 answers
39 views

Missing Data in experiments, MIPO, MIPO|X vs MCAR, MAR, MNAR [closed]

Hello I was reading Field Experiments by Alan Gerber and Donald Green and was introduced to the idea of missingness independent of potential outcomes (MIPO). And MIPO|X which is missingness ...
Vefeagins's user avatar
  • 538
1 vote
1 answer
53 views

Several regressions with different dependent variables

I'm working on a project where I want to compare two groups of participants based on several different metrics. Right now, I'm estimating separate regressions with different dependent variables (i.e. ...
John's user avatar
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1 vote
1 answer
30 views

Different estimates of conditional mean parameters from OLS vs ARCH

Consider the market model for security $i$: $$ R_{i,t}=\alpha_i + \beta_i R_{m,t} + e_{i,t}. $$ I estimated the parameters with the OLS method. ...
Mattia's user avatar
  • 151
0 votes
1 answer
53 views

Only first differencing the independent variable?

I am trying to study the relationship between income and preferences for redistribution. I have a panel dataset. I can simply the model (1): preferences = alpha + income + e. However, I'm also ...
chunguc1004's user avatar
1 vote
1 answer
33 views

Rubin Causal Model and Selection Bias

In the Rubin Causal Model, with a binary treatment $ T \in \{0,1\} $, the selection bias is expressed as: \begin{equation} E(y_0|T=1) - E(y_0|T=0) \end{equation} where $E(y_0|T=1) $ denotes the ...
Maximilian's user avatar
1 vote
0 answers
36 views

Autocorrelation and ARMA model

Consider the market model for security $i$ $$ R_{i,t}=α_i+β_i R_{m,t}+e_i $$ I'm estimating the parameters of this model (alpha and beta) using OLS. However, the Breusch-Godfrey test indicates the ...
Mattia's user avatar
  • 151
1 vote
1 answer
25 views

How to understand why the two period Differences-in-Differences estimator is the ATT estmator?

I read in a paper here that in a two time period differences-in-differences scenario where it claims the DiD estimator is the ATT (Average Treatment on Treated). I am trying to understand why that is. ...
user321627's user avatar
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2 votes
0 answers
37 views

How to specify gravity model of trade with intranational (domestic) trade flows?

Having read the literature on gravity models, I would like to estimate one myself. Focusing on cross-section only for now, they take the general form: lnTRADEij = aXi + bXj + cZij + eij where ...
Adarsh Nayak's user avatar
1 vote
1 answer
77 views

r mixed model unstructured and ar1 covariance matrices

My goal is to specify two different covariance matrices for two different random intercepts. Briefly, this is my dataset. Outcome is continuous (school test scores) 13 Schools in my study. Random ...
Science11's user avatar
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2 votes
0 answers
62 views

Is a regression discontinuity with two-way fixed effects a type of Diff-in-Diff?

I recently read a paper which used a regression discontinuity design (RDD) to study the effects of a law. The key variable was = 1 for all counties following the introduction of the ban. The model ...
Liam's user avatar
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0 answers
15 views

Is controlling for a time period (during which an economic crisis took place) controlling for fixed effects in a Cox extended model?

I'm using a Cox extended model to measure if job contract durations changed before or after labour reform A and B were passed. So the labour reform variable is time varying (0 if no reform, 1 if ...
Pointed's user avatar
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0 votes
1 answer
37 views

why to add the interaction of two fixed effects in regression

A general question raised during my study. For example, we are estimating the effect of X on Y at individual level. Then it is intuitive for me to add state fixed effect and year fixed effect in the ...
xxx's user avatar
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