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Questions tagged [econometrics]

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

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How to prove that X'ε=0 in regression models? [duplicate]

If X is a nxn matrix of some data exogenous to and ε is a 1xn matrix of residuals that sum up to zero, why is X'ε=0?
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In quantile regression how do you use the equivariance property with many variables $Q_{h(x,\epsilon)|x}(u|x)$?

I have seen in a text book that if we assume monotonicity and independence then if $Q_{y|x}(u|x)$ is the conditional quantile function. and $Y=h(x,\epsilon)$ then $Q_{y|x}(u|x)= h(x,Q_{\epsilon|...
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Time Series Econometric

i want to ask about Time Series Regression. I have data from 5 variables, 4 of which have 34 series, while one data only has 23 series. would it be good if I use OLS Time Series for that data ?, or I ...
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1answer
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Question about interpretation of a fixed effects model

I am trying to see the impact of a group of similarly-minded policies and programs which were introduced at various dates in various Canadian provinces on a measure of student satisfaction. I plan to ...
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Comparison between Logit and Probit models [duplicate]

I'm new in econometrics and I'm working in a probabilistic model and using Stata for this, but when I was going to compare the Logit and Probit I did not know which one win in this case, because there ...
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1answer
25 views

How do you use panel data to isolate the relationship of interest for a particular individual within your panel?

I have a panel data set where Canadian provinces are the individuals. (I have annual data from 1997-2017). I am using a random effects model to see the impact of an explanatory variable $X_{it}$ on ...
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Quick question on the stationarity of an autoregressive process depending on the time index

Let the stochastic process $\{ X_t \}_{t \in \mathbb{Z}}$ satisfy the equation $$ X_t = \theta X_{t-1} +\epsilon_t $$ where $|\theta| < 1 $ and $\epsilon_t$ is gaussian white noise. This is an ...
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econometrics: z-type score [on hold]

I have a series of daily balances...lets call it B(t)) . Series is non stationary and fails normality tests and has mean of 5.167 and sigma of 0.774 Lets call the first differences of B(t)-B(t-1) as ...
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1answer
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If the first order conditions of MLE and OLS are identical, is MLE as efficient as OLS i.e. are they both BLUE

If the first order conditions of MLE and OLS are identical is MLE as efficient as OLS? It seems that they should be equal in terms of efficiency however if OLS is the best linear unbiased estimator ...
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OLS regression with multiple dependent variables that are correlated with each other

Suppose I want to see the impact of an explanatory variable $X$ on two different dependent variables: $Y_1$ and $Y_2$. Suppose also that I find that $Y_1$ and $Y_2$ are correlated. Assuming that all ...
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Regression model for difference-in-differences analysis with two post-periods

I'm attempting a difference-in-differences analysis with one pre-treatment time point (0), and two post-treatment time points (1, 2). I'd like to know, firstly, whether there's a significant ...
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Treatment effect on the non treated if there are no never-takers and no defiers

$Y$ is my outcome variable, $D$ is the treatment, $Z$ is the instrument, $Y_i$ is the outcome when $D=i$, $D_i$ is the treatment when $Z=i$ I don't understand the following result : when ...
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Why aren't multivariate analyses more popular within econometrics? [closed]

I'm currently working on a project that would benefit from having multiple dependent variables. The main model we want to use is a fixed-effects model. My instinct was that it is not okay to repeat ...
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Regressing the “fixed effect” on time invariant characteristics. Is it possible? [duplicate]

I would like to use estimations of "fixed effect" from my panel data model as a dependent variable and study whether this depends on time invariant characteristics. I've not been able to find an ...
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Problem from Introductory Wooldridge regarding WLS

I was reading the book introductory econometrics by "Wooldridge", and in Chapter 8 (Heteroscedasticity), it is stated that (see pink part) I could not understand, if $u$ and $x$ are uncorrelated, ...
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1answer
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What is the difference between an AR process and autocorrelation?

Or is it maybe the same thing? I see that autocorrelation is when Yt is correlated with its lag Yt-1. But isn't that essentially what an AR process (say AR(1)) is? We are assuming that there IS ...
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Binary models with the regressor that has Bernouli distribution [on hold]

I have a binary dependent variable, but my regrerssor also has Bernouli distribution. Will logit still give a consistent estimator in this case? How can I estimate? Is that right? model: y=b1+b2*x b1=...
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Super confused about dfuller

I have a rather small dataset and just performed DFuller test for unit root. When testing with zero lags, it contains unit root. When using one lag, it does not contain unit root. However, when ...
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Regression coefficient convergence

Why does the term underlined in RED converge to the term underlined in GREEN? Can someone please provide a proof? Thanks in advance!
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3answers
58 views

What statistical model should be used?

What statistical model should be used when trying to look at a change of good ownership between a sample year set?
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15 views

Comparative study using synthetic control

I am currently working on an idea for a paper and I've had an idea for a "new" methodology, but I am not sure if it's correct to apply such a method or if I should modify it in some way. Basically ...
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1answer
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Log transformation of TS-stationary time series

guys. I have another question about main econometric time series transformation. I usually see the $log$ transformation of prices: $$p_{new}\left(t\right) = ln\left(\frac{p_t}{p_{t-1}}\right), t \in [...
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24 views

Time period for difference-in-differences analysis

Please, help me with the following issue. I want to analyze effect of firm location on its stock preformance (measure monthly) during the crisis. For this I construct the following dummies: Crisis = 1 ...
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Forecast efficiency: why no correlation between errors and available information?

(Applied Economic Forecasting using Time Series methods; Ghysels, Marcellino, 2018), in the chapter about forecast evaluation, relates efficiency as "the efficient use of the available information". ...
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1answer
82 views

Using Machine Learning to Estimate Causal Effects from Observational Data

I would like to use machine learning to predict a categorical (ordinal, multi-class) outcome variable from a cross-sectional dataset with about 20,000 observations and 300 features. Importantly, I ...
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46 views

Including future values in a regression

If I have a variable that depends on its expected value in the future among other things (for example inflation), would it be possible to regress it on future values of the dependent variables (in a ...
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0answers
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Panel data dynamic model: transitory and permanent effect

I want to ask about panel data dynamic model. For my thesis I have Gini as the dependent variable and trade as the independent variable and some other control variables such as education and ...
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0answers
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Difference between β0 and u

In the book Introductory Econometrics: A modern approach, it explains that u is the unobservable factors and β0 is the constant. Since both of them are constants (if I'm not mistaken), what is the ...
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1answer
21 views

First two conditions of the Ols estimate

this was a question in my previous test. The answer given to this is 'd'. But from what I know the option given in 'b' are the two first order conditions of calculating an ordinary least squared ...
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0answers
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Identification issues with alternative specific constants in multinomial logit

Suppose an individual $i$'s utility from alternative $j$ is given by: $U_{ij} = \alpha_j +v_j'\omega+\epsilon_{ij}$ where the joint density of $\epsilon_{i}$ is type 1 extreme value. The choice ...
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1answer
14 views

On some confusion regarding the autoregressive model and the definition of a statistical model

Citing Wikipedia the stationary AR(1) model (without constant trend parameter) is defined as $$ \begin{aligned} y_{t} &= + \beta y_{t-1} + \epsilon_{t}, \\ \epsilon_{t} &\stackrel{iid}{\sim}...
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1answer
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A reference request for the consistency of the parameters of an autoregressive process estimated through maximum likelihood

Let $y_t$ be modeled as an auto regressive process of order 1, that is $$ \begin{aligned} y_{t} &= \alpha + \beta y_{t-1} + \epsilon_{t}, \\ \epsilon_{t} &\stackrel{iid}{\sim} N(0,1). \end{...
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1answer
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I have derived the Mean and Variance of a truncated Poisson distribution. Does this show under-, equi-, or overdispersion?

The density looks like this: $P(Y=y) = \frac{e^{-\lambda} \lambda^y}{y!(1-e^{-\lambda})}$. I derived the mean and variance and got this: $$\operatorname E(Y) = \frac{\lambda}{1-e^{-\lambda}}$$ $$ \...
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1answer
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Log-Log Regression - Dummy Variable

I have following regression: logCPI = 1,2922 - 0,3525*logGDP + 0,4239*logImport + 0,2115*logNEER + 0,6291*logWAGE + 0,0121*dummy How should I interpret last variable (dummy variable)? The regression ...
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2answers
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What is the zero-truncated Poisson distribution used for? And how is the mean and variance derived?

I know that the density looks like this: $P(Y=y) = \frac{e^{-\lambda} \lambda^y}{y!(1-e^{-\lambda})}$ and from wikipedia that the mean and variance like this: $$\operatorname E(Y) = \frac{\lambda}{1-...
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0answers
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Kernel-based Propensity Score Matching diff-in-diff

I want to perform the Kernel-based Propensity Score Matching diff-in-diff. I am actually using the following command. The diff-in-diff result for this code is 0.000. Please, would someone help in ...
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2SLS in Fuzzy Regression Discontinuity

What is the logic of conducting an IV-2SLS in Fuzzy Regression Discontinuity Design? Why can't we run a regression just like in Sharp RD?
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28 views

Within estimator and between estimator?

I have understood that the within estimator is for fixed effects model. Can I say that the between estimator can only be used for a random effects model? (in reference to panel data)
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1answer
49 views

Why use the partial F test instead of testing variables in an isolated model?

Assume that I have $p$ independent variables: $$X_{1}, X_{2}, \ldots, X_{p}$$ I wish to test the hypothesis $$H_{0}\!: b_{1}=b_{2}=0$$ According to the partial $F$-test (Wald test), I need to run ...
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1answer
43 views

Statistics / Regression Question

So I am writing an econ paper and will be using regressions. I have written my intro / lit review / collected relevant data. I have Swiss quarterly and yearly export data by industry from 2009-2018. ...
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Do all parameters have to have the same nature in a structural change test?

This is a duplicate of this query (I was asked to shift the query from economics.stackexchange to Cross Validated SE.) Lets say I am building a market model to estimate the beta of a stock with ...
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0answers
16 views

Fuzzy Regression Discontinuity and Instrumental Variables

What is the logic behind using an IV for a fuzzy RD?
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0answers
14 views

Interpretation of regression coefficients: second-order differencing

Main Question: How are the coefficients of the second-order differenced explanatory variables to be interpreted? (See the attached screenshot of my result.) Analysis framework: I examine the ...
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1answer
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Difference-in-difference: common trend

I'm new to this concept, and I'm referring to the book Mastering Metrics by Angrist. It states that an important assumption of Difference-in-Difference is the common trend assumption. I'm a little ...
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1answer
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Sample selection bias and logistic regression

I am struggling with possible sample selection bias at the moment, and I was wondering whether someone has a methodological tip or possibly knows of fancy statistical/econometric tools I could use to ...
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1answer
44 views

Improving a Difference-in-Differences Analysis of a Health Policy Intervention

I'm attempting a 'difference-in-differences' analysis of a health policy intervention, over 3 years. I'd appreciate advice on my methodology. Scenario: Year 0: Health clinics are given financial ...
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1answer
55 views

Is my understanding on how to estimate the parameters in a GARCH model correct?

Assume (for the sake of simplicity) we have observed only $X_1,X_2$ and we want to estimate the parameters of a GARCH(1,1) that tells us the variance of $X_t$ (that is normally distributed) evolves ...
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Are there unified cure modeling (aka split population modeling) papers in labor economics?

Does anyone know if there are unified cure models (aka split population models) in time-until-employment studies that combine the mixture cure approach with the promotion time approach as described in ...
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1answer
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Arellano Bond estimator

I am trying to estimate an equation in levels with the lagged dependent variable on the right hand side. I am looking at using arellano bond estimator for this. My issue is that I am looking for ...
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0answers
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How to adjust for spatial autocorrelation in panel regression in R

I am running a panel regression with two-way fixed effects, the outcome variable being the number of conflicts in each district each month. My calculation of Moran's I seems to indicate that the ...