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Questions tagged [econometrics]

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

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12 views

Time Fixed Effects for Cross-Sectional Data

Hi StackExchange Community, I have been browsing around but couldn't find an answer to my problem. I have a dataset with funds that were launched in the last 40 years and the final performance that ...
21 views

Analyse the influence of interior demand and trade on exports

I would like to have a primer on how the current slowdown of the German economy affects its partners in the euro area, for instance France, Spain and Italy. More specifically, if it channels mainly ...
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Applying settlement and Regional fixed effects

I'm reading a paper by Gyöngyösi and Verner (2019), and noticed that the authors have included fixed effects at the settlement (seems to be akin to village/town) and at the region level, in a number ...
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Which model is best using the hettest for heteroscedasticity test?

I have calculated hettest using STATA and i have found two models have no Heteroscedasticity problem. but i can not identify which one is the best model for my data. can you please help me out? I ...
8 views

Problem on consistent Random Effect estimation

I have this problem: Suppose you have a dataset of a balanced panel of smokers from many countries over ten years, 2001–2010. Consider a panel data model of cigarette consumption, where the ...
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Specifying a New Variance - Covariance Matrix for a GLM Model

I am using a multistep regression to estimate price elasticity coefficients. To correct for heteroskedasticity, I am using the vcov function, which provides a new variance-covariance matrix. Once I ...
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OLS and 2SLS normal equations

For a system of equations with $M=2$ endogenous variables, $Y=\begin{bmatrix} y_1 & y_2 \end{bmatrix}$ and $K=3$ exogenous variables, $X=\begin{bmatrix} x_1 & x_2 & x_3 \end{bmatrix}$. ...
49 views

how to interpret/report estimated spatial lag coefficients

I estimated a spatial lag model with pysal. I want to know how to correctly interpret and report the resulting parameter estimates (given that spatial spillover exists). R's ...
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A nonmonoton Continuous Instrumental Variable (Can we use nonmonoton continuous instruments?)

I would like to ask " Can a continuous (nonbinary) instrumental variable can be nonmonotonic or not ?" Background of the problem : What do I mean? I want to give an example over an article. At an ...
19 views

Is it possible to include a constant variable in panel data?

I am trying to do an estimation on a panel data set. The main variable I am interested in varies over time. However, I want to add one variable measuring distance. This one will be constant over time. ...
42 views

How do I fit a distribution to summary statistics of population data?

I have a limited set of income data for CountryX. I have the mean, median and percentages (%) of the population that fall within various income brackets. I am trying to work out what percentage of the ...
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Econometrics: Is this a multilevel model?

excuse my English. I have a question of econometrics, I want to run a model that maintains the following structure (see image), this with the aim of predicting the results according to each possible ...
26 views

What is the econometric unordered (alternative-specific) multinomial probit model?

Possibly a very trivial question, however I am somehow unable to find any mathematical definition of this model. From other posts on this website I perfectly understand the difference between an ...
21 views

Change in the dependent variable across time

I have panel data, and I would like to analyse whether more or fewer people smoke compared to earlier years? I would like to use an econometric method to control for other factors instead of comparing ...
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Question about a type 3 tobit model MLE

I am struggling a bit with the derivation of the MLE for this question about tobit models,. I have seen derivations of type II and type I MLEs online, but I was hoping someone could give me some ...
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Regression: Potential Ouctomes Frameworkw with Heterogeneous Treatment Effect

This question came up as part of the practice problems in the Econometrics course I am taking. Its is the following. In the potential outcomes framework with heterogeneous (non-constant) treatment ...
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