Questions tagged [econometrics]

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

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How do you interpret null coefficients in a fixed effects regression?

I'm trying to understand how the Covid vaccination status is affected by vaccination camps run by the factories (units) that employ them. My independent variables is the number of vaccination camps ...
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Show that the IV estimator is equal to ( ̄y1 − ̄y0)/( ̄x1 − ̄x0) [closed]

I am stuck at solving this question. Thank you and please feel free to ask any questions!
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Suitable econometric specification for my data

I'm playing around with my dataset and as a start, I want to understand whether the absenteeism and vaccination rates for employees across a large number of factories with separate units is dependent ...
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Why is the value of SE for the transformed regression model higher than the initial model with autocorrelation?

Is it right that with positive autocorrelation in the errors, the model underestimates the SE? Hence, using generalized differencing (such as Cochrane-Orcutt), the transformed model has a higher value ...
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Why is total variation $\sum_{i=1}^{n}\left(Y_{i}-\bar{Y}\right)^{2}=\sum_{i=1}^{n} y_{i}^{2}$? [closed]

I've been interested in Econometrics and the book I use is Econometrics by Badi H. Baltagi, 5th edition. I tried to answer some of the problems. However, one problem from chapter 3 no. 2 got me ...
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how to measure the effect of a recurring event?

I have multiple cities with data on theatre visitors and an event as the mentioning of the theatre in the local news. I want to estimate whether the event of a mentioning lead to more visitors for the ...
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Serial correlation fix

I have some question about positive serial correlation: What happens to the standard error of the model once transformed using generalized differencing/Cochrane-Orcutt? Is it higher than the original ...
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Most marketing channel have negative coefficient in econometrics model for sales?

This is the first time I am working on an econometrics model (Market Mix Modelling) for sales. I have weekly sales data and the number of impressions from various marketing channels like FB, Twitter, ...
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How to add change (in unemployment rate) to dependent variable

I'm an Econometrics beginner and I'm sorry if the title is confusing. I basically have a variable “unemp” which gives me the unemployment, the dependent variable of this model should be the change in ...
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How to test for significance with t-test and interaction variables? [duplicate]

I need to answer this question for my Econometrics class: "Does the gender gap differ significantly in urban versus non-urban areas? Test at the 5% level". I think I need to use the t-test ...
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Is there a certain method to communicate the results of earnings without logging the variable?

I am investigating whether earnings differences have widened between different social classes in several European countries by comparing two different periods. The picture below shows the findings of ...
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Can I use non-stationary variables in forecasting problem

I want to build survival analysis model (Cox PH) with time-varying covariates. Time-varying covariates are macroeconomic variables. Therefore, they are same for each individual at the same calendar ...
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plm/fixed effects models: fixef function error - wrong effect argument

I am using the plm function to analyze a large dataset with 120,000 IDs over three years. My specification looks the following: ...
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Discrete "Jumps" in Independent Variable

Suppose I have an independent variable which is available on a monthly basis as follows - the variable assumes a certain value for a given quarter, and then changes in the following quarter. Therefore,...
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Best practice for Post-Double Selection LASSO (pdslasso)

I'd like to have a clearer idea of the optimal approach to the post-double selection LASSO (paper, webpage). Take data on an RCT with 2 treatment arm dummies $D_1, D_2$ and a potential driver of ...
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Moving Average with non-increasing coefficients

Suppose I have a Moving Average $MA(q)$. $$X_t = \sum_{j=0}^q \psi_j \epsilon_{t-j}, \quad (\epsilon_t)_{t\in \mathbb{Z}}\,\,\ i.i.d.$$ I know that there is no imposition regarding the monoticity of ...
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Year-specific fixed-effects model in R

Does someone know, how I can translate this formula of fixed-effects in R? Here is the explanation of the single variables: Thank you in advance!
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Alpha and Interaction Term in a Fixed Effects Model

I am trying to replicate a study - I pasted the text of one of their models below. I get results in R with a long format. However, it seems like I don't understand fixed effects models enough to ...
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Constructing a time dummy variable in DiD fixed effects model

I am using a Diff-in-Diff regression design to evaluate the impact of a county-level tax hike (i.e. treatment variable) on tobacco sales (i.e. outcome variable) in a given county, relative to counties ...
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(Undergrad looking for help) In logarithmic regression (log-log), what does it mean if your explanatory variable is already a percentage?

So I'm hoping to a regression of Human Development Index against some economic variables I think could affect it. Some types of aid per capita, education spending by government as a percentage of gdp, ...
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What happens if the "coefficients" in the data generating process are correlated with the variance of the error term?

Suppose we are interested in estimating a regression of the form $$ y = \beta x + \epsilon $$ but in the data generating process, $\beta$ is decreasing in $\mathbb{E}[\epsilon^2]$. For example, there ...
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How do I prove the general formulation of LRV to verify that LRV for AR(1) is in fact (σ²)/(1-α)²

I understand the equations separately but don’t know how they are connected! Please give me an explanation / hint Given the AR(1) structure, the long run variance (LRV) of Xt is known to be (σ²)/(1-α)...
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The exact distribution of the conditional distribution of the OLS estimator

This is the problem that I have tried figuring it out for a while, and I still need some advice because there is no explicit derivation in the textbook that I have seen so far. The problem looks easy ...
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Missing Intercept in Fixed effect model output

I am running a fixed effect model using the fixest package due to the large number of fixed effects my regression is calculating. My study seeks to determine how the import share of a country by good ...
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How to deal with trend of independent variables in panel data regression? (if differencing does not work)

I am running a pooled OLS regression on the following model: Running this regression results in the following results: The R-squared seems so high that I get the suspicion that something goes wrong. ...
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Struggle with use of event study approach with non-firm data

I am attempting to use event study combined with difference in difference analyses to assess the parallel trend assumption in an individual level analyses of the impact of COVID on monthly income. The ...
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In large sample, does IV fit better than OLS?

This is taken from Hansen's econometrics textbook. Take the linear model: $$Y = Z\beta + e $$ Let the residuals in an IV regression be $\tilde e$ and in an OLS regression $\hat e$. If X is indeed ...
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How to think about exclusion restriction in an over-identified IV setup?

If I have more instruments than endogenous regressors, let’s say two instruments for one endogenous regressor, my IV set up is ‘over-identified’. What does the exclusion restriction imply with more ...
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Interpreting coefficient in a Diff-in-Diff (fixed effects model)

I am running a DiD model with fixed effects to find the causal effect of traffic cameras on my outcome variable: share of car accidents of total accidents per neighborhood. The treatment, road cameras,...
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difference in difference: multiple treatment on the same unit

I am trying to evaluate the effect of a policy, say the minimum wage during multiple periods. I have three types of states: Some states may experience multiple treatments at various stages. (for ...
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Iterated direct forcasting with R

I am trying to forecast the next ten periods of a time series past the end of my data using an AR(4) model. My code so far follows as: ...
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Predicting $x_t$ knowing something about $\Delta^2 x_t$

I have this exercise question, what is your prediction of $x_{10}$ knowing that $\Delta^2 x_t = \epsilon_t $, knowing $x_9 = 1.56$ and $x_8 = 1.64$. I take this to mean that $$ x_t = x_{t-2} +\...
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1 vote
1 answer
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Estimating time invariate variablies in difference-in-differences with fixed effects

I am using the following fixed effects model that has intercept and slope coefficient that vary across individuals. $Y_{it}$ - dependent vector variable for monthly income for individual i at time t. ...
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2 votes
1 answer
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What happens statistically, if you create more observations by measuring more aspects of the same observational unit

Let's say that I want to measure the effect of a treatment on the performance of a firm. However my sample is very small. Let's say 10 firms. It is not possible to observe more firms. All these firms ...
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If the variance of two variables are equal, then the covariance is the variance?

If I have two random variables $X$ and $Y$ and their variance is the same, i.e., $Var(X)=Var(Y)$. Does this mean $Var(X)=Var(Y)=Cov(X,Y)$ ?
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What is the meaning of mean reverting level and what this metric tells us?

I was modelling an ARMA process of the Unemployment rate of the USA and I was required to calculate the mean reverting level of the model. I chose the following model: ARIMA(1,0,2) (The data was ...
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2 votes
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Interpretation of bias with an endogenous variable

I am running an analysis of impacts of immigration on natives' votes to anti-immigration parties, across municipalities. The concern in this type of analysis is that location decisions of immigrants ...
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a good estimator in 2-stages least-squares

I am now studying the 2-stages least-squares method and have been curious about the following circumstances. Suppose that I have $Y_i = X^{T}_{i}β +e_{i}$ with $\mathbb{E}(e_{i}X_{i}) ̸\ne 0$, that ...
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Regression discontinuity using panel data and fixed effects

I am working with a panel of cities and I am studying a policy that affected cities with less than 5,000 inhabitants. I am currently running a year-by-year regression discontinuity to estimate the ...
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Parametric bootstrap *prediction* interval with heteroskedasticity and sandwich parameter covariance matrix

The sandwich estimator for OLS regressions where heteroskedasticity is suspected is $$ var(\hat\beta) = (X'X)^{-1}X'ee'X(X'X)^{-1} $$ If I want confidence intervals on predictions, I can just take ...
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When including an interaction term, do I have to put each variable separately as control variables? [duplicate]

I'm new to econometrics and was wondering when including an interaction term do I have to put each variable separately as control variables? I know this is the case for a difference in differences. <...
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Endogeneity problem regression

Let us consider the following system made up of $2$ equations: \begin{align*} a^0_{11}y_t&=a^1_{11}y_{t-1}+a^1_{12}c_{t-1}+\epsilon^y_{t}\\ a^0_{22}c_t&=a^0_{21}y_t+a^1_{21}y_{t-1}+a^1_{22}c_{...
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How to decompose class dummy variable in panel model?

Maybe this is a question more of research design... I am interested to research on analysts forecast ability (Dependent Variable) among two classes of analysts (1) Investment bank analysts (2) Non-IB ...
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A specific marginal effect for logistic regression

For the logit estimate of the slope parameter,I would like to obtain the marginal effect of the regressor ndisease evaluated at $\Lambda (x'\beta)=\bar{y}$. I obtain the logic estimation as follows: ...
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Exclusion restrictions as instrumental variables in VAR

I'd like to know if my intuition behind exclusion restrictions that we place to identify the structural vector autoregressive (VAR) models is correct. This is a question not only for econometricians ...
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Forward/Backward Iteration and Stationary/Stability

Suppose I have an AR(1) process of the form: $$y_t = \phi y_{t-1} + \epsilon_t$$ where $\epsilon_t$ is a white noise process with mean zero and variance $\sigma^2$. If $|\phi| < 1 $ , the model is ...
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Regression: structural estimation

I have a question related to econometrics in corporate finance. My question is: Is structural estimation the same as structural equation modeling?
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How can you derive OLS estimators in multiple regression without using matrices?

Without using matrices How can you derive OLS estimators in multiple regression ?
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Difference-in-difference covariates affecting outcome but failing parallel trends

I am performing a difference-in-difference analysis and, as advised by this post, ran my regression with each of my covariates as the outcome. I did this for each covariate individually using the ...
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derivation for the standard deviation of autocorrelation

The standard deviation of the estimated autocorrelation coefficient is given as (1/sqrt(sample size). Can someone derive this?
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