Episode #125 of the Stack Overflow podcast is here. We talk Tilde Club and mechanical keyboards. Listen now

Questions tagged [econometrics]

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

Filter by
Sorted by
Tagged with
1
vote
0answers
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 ...
0
votes
0answers
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 ...
0
votes
1answer
18 views

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 ...
0
votes
0answers
8 views

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 ...
0
votes
0answers
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 ...
1
vote
1answer
24 views

Formal definition of Simultaneity in Econometrics

I'm studying Econometrics, and I'm trying to understand the endogeneity by simultaneity problem in the OLS estimation. Given a generic OLS model: $$y = \underline{x} \underline{\beta} + u$$ where $\...
0
votes
0answers
10 views

Simple question on interpretation of elasticity

I am doing a multivariable calculus course and found elasticity interesting. The formula for percentage change with elasticity is $\LARGE\frac{\frac{\Delta y}{y}\large\cdot100}{\frac{\Delta x}{x}\...
0
votes
1answer
42 views

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 ...
0
votes
0answers
9 views

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, $X=\begin{bmatrix} x_1 & x_2 & x_3 \end{bmatrix}$. ...
1
vote
1answer
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 ...
0
votes
0answers
8 views

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 ...
0
votes
1answer
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. ...
3
votes
1answer
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 ...
0
votes
0answers
12 views

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 ...
0
votes
1answer
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 ...
0
votes
0answers
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 ...
0
votes
0answers
50 views

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 ...
1
vote
1answer
26 views

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 ...
0
votes
0answers
14 views

projection matrix and matrix position

I am currently making exercise regarding deriving the variance of an unbiased but inefficient estimator in Restricted Least Square(RLS) model that is shown below $\boldsymbol{b = \hat{\beta}_{ols}-X'...
0
votes
0answers
13 views

Variable and its dynamics in one multiple regression model

I am trying to find the dependence between default rates in bank and macroeconomic variables with linear regression. To do so I created a code which estimates every possible model - every combination ...
1
vote
0answers
30 views

Multiple Linear Regression Zero Conditional Mean Assumption

Greene [1] and Wooldridge [2] emphasize that in the standard multiple linear regression model $${\bf y}=X{\bf b}+{\bf e}$$ a key assumption is that $$E[{\bf e}|X]=E[{\bf e}].$$ Or, in other words, $X$...
0
votes
0answers
15 views

MSE for the kernel-based HAC long-run covariance matrix itself (in the Frobenius norm sense)

Consider the stationary multivariate time series $X_1, \ldots, X_T$ and the HAC-consistent long-run covariance matrix estimator $$\hat{\Gamma} = \hat{\Gamma}_0 + \sum_{l=1}^{T-1} K\left(\frac{l}{h_T}\...
0
votes
1answer
13 views

For time series AR model given by (…) Show that equivalent representations are :(…)

I'm supposed to show that for an AR model given by y(t) = a0 + a1*y(t-1)+ Et we have equivalent representation in (y(t)-average(y)) = a1(y(t-1)-average(y)) where average(y) is the unconditional mean ...
1
vote
1answer
45 views

Mostly Harmless Econometrics, explanation of solution to the population least squares problem

I'm trying to make sense of Mostly Harmless Econometrics's explanation of the solution to the population least squares problem, but I'm not following Angrist and Pischke's argument. Here's what they ...
0
votes
1answer
33 views

Calculating Confidence Interval (STATA code) [closed]

I am having trouble understanding the code that the authors used to calculate the confidence intervals for the whiskers shown in the diagram below. The code that the authors used to calculate the ...
0
votes
2answers
45 views

Relationship between SSE with GLS and OLS

I have been trying to derive if there is any relationship between the sum of squared residuals (SSE) from a model estimated with GLS, and the same model estimated with OLS. Professor Chung-Ming Kuan, ...
0
votes
1answer
45 views

Rank-ordered logit model: question

I have a dataset in which each individual ranks four attributes of a product. This task (with the same attributes) is repeated three times under different conditions. The product is still the same, so ...
0
votes
0answers
8 views

Assumptions for difference-in-difference regression using panel data

I'm doing a difference-in-difference analysis to measure the impact of removing financial incentives from healthcare quality indicators. I have data from 450 clinics, for 26 indicators in the '...
1
vote
1answer
33 views

Is difference-in-differences analysis with time as dummy better than 'ordinary' y=after, x = before regression?

I am a natural scientist dipping my toes into the more social, economical side of things where instead of GitHub and R, Stata is the go-to tool and almost everything is 'panel' data. Similar analyses ...
0
votes
0answers
12 views

Oaxaca Decomposition How to Interpret Percentage higher than 100%

I have trouble understanding the interpretation and calculation of the "percentage explained" in the Oaxaca decomposition. Both the Stata and R packages don't automatically report them, so I am ...
0
votes
0answers
8 views

How to remove collinearity from a fixed-effects difference-in-difference regression?

I'm doing a difference-in-difference regression with fixed effects. I'm analysing the effect of removing financial incentives from quality indicators, in health clinics. I have a dummy variable for '...
1
vote
0answers
48 views

Examining Cointegration Before or After Deseasonalizing

I am trying to build a VAR model with two time series, one of which is I(0) and one of which is I(1). I originally tested these for cointegration with a Johansen Test and found them cointegrated with ...
0
votes
0answers
17 views

Should I call this a fixed effects or differences in differences model?

I have a question regarding what terminology should I use in my paper when I consider the following model: $y_{it} = \alpha + \beta_0T_i + \beta_1\text{Time}_{t} + \beta_2(\text{Time}_{t} \times T_i)...
1
vote
0answers
15 views

Fixed effects regression with different time periods

I have a panel survey of self-assessed levels of household resilience in three nearby villages, with observations collected over the course of 10 separate survey waves (observations are collected on a ...
0
votes
0answers
11 views

Bunching Estimation with Elasticity Heterogeneity

The bunching by Saez (2010) and Kleven and Waseem (2013) can be used to estimate the elasticity of taxable income. Kleven and Waseem (2013) argue that for heterogeneous elasticities excess bunching ...
0
votes
1answer
38 views

What is the relation between the serial correlation and white noise series?

I am a bit confused about why would I use the Ljung-Box test in order to determine whether a series is a white noise ? I know that the Ljung-Box test studies whether we have serial correlation. I ...
0
votes
0answers
17 views

Uniform Convergence of Partial Autocorrelation

I've been facing the problem of estimating a large PACF as the sample size grows. My question is whether we can guarantee that the partial autocorrelation, estimated by the projection $X_t = \sum_{...
0
votes
0answers
7 views

orthogonal Impulse response function for VAR model

As a beginner, If I have a VAR(1) model with only two variables (means system of two equations) how can we estimate orthogonal impulse reponse function step-by-step. Is there any article or document ...
0
votes
0answers
12 views

Unplausible results in Hansens SPA-Test due to max(0, x)

In applying Hansens Superior Predictive Ability Test, I am receiving inplausible results for very bad alternatives, i.e. the p-value is 0 but should be in higher regions where you usually do not ...
0
votes
0answers
30 views

Sales prediction for the next year

I Have a homework problem. I need to predict sales for the next year and I have a condition that TRP for the next year = 4000. I don't know what I should begin with first. ...
0
votes
1answer
98 views

Notation for leads and lags in difference-in-differences

I was hoping someone could help clarify a notational discrepancy. For example, Lord Pischke uses the following sigma notation in two different lecture notes published on the web, yet refers to the ...
1
vote
0answers
44 views

Failed parallel trend assumption in covariate for difference in difference analysis

Performing a difference in difference analysis and the parallel trend assumption fails for the treatment and control groups for a potential covariate to include in the analysis. Would it be ok to ...
1
vote
0answers
36 views

Long-run covariance matrix estimators with Ledoit-Wolf (2004) shrinkage; what methods exist?

Ledoit and Wolf ("A Well-Conditioned Estimator for Large-Dimensional Covariance Matrices", 2004) proposed an estimator for the covariance matrix of a data set, $S^* = p I_d + (1 - p) \hat{S}$ with $p \...
0
votes
0answers
12 views

Relationship between sub sample and full sample coefficients

Consider a linear regression model: $$ y_{i}=\boldsymbol{x_{i}'\beta}+\epsilon_{i} $$ where $\boldsymbol{x_{i}'}$ is a column vector of covariates and $i$ is individual for a total of $N$ individual. ...
0
votes
0answers
23 views

What is Prediction Error Decomposition?

In my econometrics material I've come across the term prediction error decomposition. Essentially what I've understood so far is that it relates to maximum likelihood. The net is not very helpful. I ...
0
votes
0answers
15 views

Difference-in-difference estimate with individual-level panel data

I've done a difference-in-difference analysis to estimate the impact of removing financial incentives on healthcare quality indicators. For every health clinic in the country, I have a 'performance' ...
0
votes
0answers
12 views

Price elasticity for n data points

So let's say I have 100 data points which contains the price and sales of a product. Just to start I assume that the relationship is of the form Q = a - b*P where P ...
1
vote
2answers
35 views

Refining a difference-in-difference analysis

I'm doing a difference-in-differences analysis with one pre-treatment time (0), and two post-treatment time points (1,2). My basic regression model is: = $β_0+β_1T_1 +β_2T_2 +β_3S+ β_4(S∗T_1)+β_5(S∗...
0
votes
0answers
12 views

Determine if Impulse responses are different

I have several VAR models which give me Impulse responses. I used a simple wild Bootstrap algorithm to estimate confidence intervals. Now I´m thinking about how to compare these Impulse responses. Of ...
0
votes
0answers
32 views

Problem with significance of results from regression on subset of data

I have performed a hedonic regression with a database where all the variables are very significant and according to the calculations made in R with a squared R = 0.6123. I have performed the same ...