# Questions tagged [econometrics]

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

1,864 questions
Filter by
Sorted by
Tagged with
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 ...
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 &...
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 ...
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 ...
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 ...
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? ...
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 ...
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 ...
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 $Y$ ...
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. ...
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. ...
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 ...
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 ...
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 ...
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 ...
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....
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, ...
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 ...
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 ...
6 views

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 ...
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 ...
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 ...
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 ...
26 views

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 ...
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 ...
20 views

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 ...
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 ...
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 ...
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 ...