# Questions tagged [econometrics]

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

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### A GLS estimator, that is also an FGLS estimator

In the slides i'm studying, i found something interesting: In many situations, we can use a linear regression model of the form "y(i) = x(i)beta + epsilon(i)" , where epsilon(i) ~ (0, sigma²,...
0answers
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### Linear probability model difference in difference?

I see frequently people opposed to linear probability models for binary outcomes, and I know there are related questions to this on this forum, but I want to make sure my understanding is correct. ...
0answers
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### Interpreting Impulse Response Function

I am trying to estimate a forward guidance shock on the expected path of the future federal funds rates and industrial production of manufacturing and construction. I built my SVAR model using Smith ...
1answer
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### What is the difference between Consistency and Identification?

Dear experienced friends, I start to learn Econometrics recently and there is a question really confuses me. Suppose we have a sample linear model $$y = \beta*X.$$ From the definition, we know the ...
0answers
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### Diff-in-Diff: Time-varying treatment and Treatment affects Outcome

I would like help with the following question. I have searched the internet and I can't come to a definite DiD setup. I appreciate any help or thoughts that you might want to share. My setting/dataset ...
1answer
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3answers
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### Random sampling and independence in a real world problem

In the book "Introduction to Econometrics" by Stock and Watson It is used this example to illustrate the relation between random sampling and independence of the random variables : My ...
1answer
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### Interpreting Correlation and Scatter Plot Results

I tested for correlation between average unemployment rate and log average real GDP (U.S. 2017 dollars) for 163 countries, and created the scatter plot below: Based on the correlation coefficient and ...
1answer
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### Clarification on the assumptions $E[u|x]=0$ and the $x_i$ being fixed in repeated samples in Wooldridge Introductory Econometrics

The author is writing on the assumption $E[u|x]=0$. The part of the text which is not clear to me is this (the red lines emphasize where the critical portions are located) : In the first piece I don'...
1answer
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### Moderation (interaction) - Cannot use moderation if a moderator has an effect on independent variable?

I have a following simple moderation model: $$y = b_0 + b_1x + b_2m + b_3(x \times m) + e$$ However, previous studies have also found that $x$ has a effect on $m$: $$m = a_0 + a_1x + u$$ If $x$ ...
0answers
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### Difference between leverage plot, partial regression plot/added-variable plot, and component-plus-residual plot?

What is the difference between leverage plot, partial regression plot/added-variable plot, and component-plus-residual plot? In my intro stats course, I was only taught leverage plots, and not the ...
1answer
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### How does diff-in-diff work for multiple datapoints?

Most textbooks and texts in blogs like to provide example of diff-in-diff using 4 datapoints. It's almost always an example with two cities, an intervention in one of them and then the calculation of ...
1answer
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### Difference-in-discontinuity when the running variable is time

I am trying to implement a difference-in-discontinuity design for a research project I am working on. The idea would be to estimate a discontinuity at a cutoff both before and after the program ...
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### Consistency and asymptotic distribution

This problem is from Hansen's econometrics textbook, chapter 7. The model is $Y = X'\beta+e$ with $E[e|X] = 0.$ An econometrician is worried about the impact of some unusually large values of the ...
2answers
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### Overlapping confidence interval

If we had two confidence intervals overlap for two parameters, can we say that these two parameters are equal to each other? I read in some articles that this doesn't always hold, so what would be the ...
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### Strict Exogeneity vs Weak Exogeneity Assumptions

I am getting confused trying to intuitively understand the difference between the strict exogeneity assumption and the weak exogeneity assumption (in the case of multivariate linear regression model). ...