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Questions tagged [econometrics]

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

2
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0answers
18 views

Stochastic Differential equation: CAPM

Let $R = (R_1, \dots , R_M)'$ denote a vector of excess returns of $M$ assets observed at $n$ time points, $0 < t_1 < t_2 < \cdots < t_n < T$, within a time span $T > 0$. We wish ...
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0answers
5 views

Large N Large T Unbalanced Panel - Serial Correlation

I have an unbalanced panel data, which consists of 180 vintage groups. The ith group will have time series length of t=181-i. For example, Group 1 will have 180-month observations; Group 2, originated ...
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0answers
4 views

Econometric Models in Economic Development Theory

I have been reading some Economic Development and Policy Research papers and I realise there is extensive employment of econometric tools and models. For example, one of the papers used an Oaxaca ...
0
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1answer
21 views

VAR, test for normality, autocorrelation and heteroskedasticity- should I use stationary first differences for these tests?

I am checking thhe long-term relationship between unemployment and labor force participation rate. I have a integration order I(1) and I want to run VAR. As far as I understand I need to use first ...
1
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0answers
24 views

Advice on ML ideas/models for a data set I have [on hold]

I have a very large marketing data set (300GB in size) and I am wondering what ML models I can apply to it. The dataset consists of transactional data from supermarkets. The type of data I have is the ...
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0answers
7 views

Rescaling Linear Impulse Response Functions, Innovations, and Confidence Bands

all. I am using a VAR model to do a bit of analysis. I obtain cumulative (linear) orthogonalized impulse response functions (COIRF). Because I am conducting similar analysis across different time ...
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0answers
13 views

SURE is the best instrument for the analysis of simultaneous equation model?

I would want to make a study about the influence of some regressors in the evaluation of the effects of increment of subsidy in an economic sector. I would use SURE (Seemingly UnRelated Equations ...
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0answers
15 views

How would I figure out - TSS of Y, Yi and XiYi from the following information?

I came across an analogous question when revising and have no clue how to approach it. The Given information is ΣXi= 20, ΣYi=40 Σ(Xi-x̅)²= 40, Σ(Xi-x̅)(Yi-nȳ)=20 and n=20. The question requires ...
6
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2answers
742 views

What did Silverman (1981) mean by 'critical bandwidth'?

In the selection of a bandwidth for a Kernel Density Estimator, critical bandwidth according to my understanding is: "For every integer k, where 1<k<n, we ...
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0answers
8 views

how can I interpret a long-run covariance matrix?

can I use the long-run covariance matrix to examine multicollinearity between my independent variables? and if yes, what how can I interpret matrix for determining Multicollinearity?
2
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0answers
15 views

How do you interpret “explained” coefficients in Blinder-Oaxaca decomposition with considerable negative values?

For illustrative purposes, consider the example given on p. 473 of Jann (2008). However, instead of the difference and coefficients noted, let's assume the difference and coefficients were the ...
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1answer
22 views

How to obtain the inverse of the variance covariance matrix of GLS (Random Effects Model)

In the standard GLS set up how do you find the inverse of the variance covariance matrix? $$y _ { i t } = \beta _ { 0 } + x _ { i t } ^ { \prime } \beta + \alpha _ { i } + u _ { i t } \hspace{35pt} u ...
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1answer
20 views

How to manage fusion of firms or countries in time series analysis

I am working with time series analysis and one of my series is loans of a very large bank between 1970 and 2015. However in 2000 that bank, acquired a smaller bank. I only have the data for the big ...
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0answers
14 views

Trying to run an excel correlation for supply/demand analysis

Apologies in advance for the possibly naive nature of this question. I'm trying to find the correlation between supply and demand of seaborne world trade in terms of weight (tons) and a shipping ...
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0answers
20 views

Stata Logit model - sample size and clustering question

I would like to check if there is a relationship between mothers' fertility and grandparental childcare. I am using a cross-national survey dataset. I restricted the sample to 6 countries of interest ...
0
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0answers
44 views

How to prove variance of OLS estimator in matrix form?

I am reading Wooldridge's Introductory Econometrics (2000), don't judge me, old version = cheap second hand book, and in the page P94 Theorem 3.2 of Multiple Regression Analysis, it says that: $$ Var(...
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0answers
29 views

Why can't I double my sample to decrease the variance of the estimator in the OLS? [duplicate]

I'm preparing an exam in econometrics, and I have some trouble answering one question. It writes: "One of your graduate students, working on a joint empirical project with you, comes to you and says ...
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0answers
24 views

DiD Different Scenarios

I have a few questions about DiD and impact of changing minimum wages on employment. a) Have 2 states, 1 changes min wage and 1 doesnt, and 2 time periods so can easily compute this using a simple ...
0
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1answer
28 views

Can I use a first difference variable as dependent variable in a panel regression even if it contains both positive and negative values?

Can I still use a first difference variable as the outcome variable to run a panel (say, diff-in-diff) regression? For example, my dependent variable is defined as $Y_{i,t} = M_{i,t} - M_{i,t-1} - P_{...
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0answers
18 views

Stationary and ergodic r.v: relation between error and independent variable

In time series often hold the condition that a r.v. is stationary and ergodic, allowing the application of the law of large number. If in a model as: Y= a + bX + u ...
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0answers
31 views

How to determine the line which a time-series fluctuating around

Let $X_t=1+3t+0.5X_{t-1}+ \epsilon_t$ be a trend-stationary model, where $\epsilon$ is a white noise, which has zero expected value and standard deviation. Which line is the time series fluctuating ...
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1answer
67 views

How to prove that the robust F statistic is asymptotically chi squared distributed?

The linear model is $$y_{i}= x_{i}'\beta+u_{i}$$ When written in vector notation such that $y_{i}$ is a $1$ x $1$ matrix of outcomes, $x_{i}'$ is a $1$ x $k$ matrix of control variables, $\beta$ ...
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1answer
41 views

Implications of strict exogeneity for OLS in time series

Zero Conditional Mean (ZCM), or Strict Exogeneity, is given by: $E[u|X]=0$ Equivalently, $E[u_t|X]=0, t=1,...,T$ Is it true that this implies: Zero Unconditional Mean: $E[u_t]=0, \forall t$ ...
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1answer
21 views

VAR estimation-How to interpret the results?

I have these results when I estimate a VAR with two variables:Growth and Debt and p=2.How to interpret the result for each equation? Thank you. VAR Estimation Results: ...
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0answers
6 views

How to correctly summarize a confidence interval in a sub--sample using linear regression?

This is probably a stupid question but I'll ask it anyway. So here it goes. Consider an ordinary linear regression setting. Assume you are using a relevant set of regressors, there is no sign of ...
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0answers
19 views

Why would I regress a vector on itself in a VAR?

I'm just working through an econometric paper by Bernanke / Blinder http://drphilipshaw.com/Protected/The%20Federal%20Funds%20Rate%20and%20the%20Channels%20of%20Monetary%20Transmission.pdf where in ...
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0answers
12 views

Why with probability close to 1 bootstrap and classical tests provide the same decision? Is it caused by loss of pivotality? How?

Here is an example on which my question is based can please someone tell me what is the relation between the probability close to one and the fact that we have same decisions as classical tests and ...
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0answers
27 views

What are the reasons for new econometrics textbooks? [closed]

I could see some comparisons of undergraduate econometrics textbook contents summarised by Angrist and Pischke in historic perspective, but still not sure what drives emergence of new texts, as the ...
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0answers
21 views

How to derive the distribution of OLS starting from the sample moments?

I know I am supposed to start from $N^{1/2}[N^{-1}\sum x_{i}u_{i}]$ Then by central limit theorem that that it is asymptotically $ N(E(x_{i}u_{i}),var(x_{i}u_{i})) $ and $E(x_{i}u_{i})=0$ so $ ...
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1answer
43 views

Why errors are written additively in a regression model?

I was curious about: Why do we write errors (or disturbance term) $\varepsilon$ as a additive term in a regression model? To elaborate, whether we consider a paramteric or non-paramteric regression ...
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0answers
33 views

Covariance non-zero mean AR(1)

Why when I compute the autocovariance function of a non-zero mean AR(1), X(t)-u=Φ(X(t-1)-u)+ε the presence of the mean does not change my result and so the formula should be the same of a zero-mean ...
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0answers
27 views

Why is the assumption that the disturbances of a dynamic linear regression model are serially uncorrelated important and how could it be tested?

I'm a little bit confused about this assumption here. If we considered it is a dynamic linear regression model, then disturbance correlation is part of the probability. So this assumption is ...
2
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0answers
28 views

Why is uncorrelated(exogeneity) “good enough” for identification in regression?

Let the model $y=x+x^2-1$ be exactly correct, where $x\sim N(0,1)$, then $x^2\sim \chi^2_{(1)}$. Say we want to estimate the model $y=\beta x-1+\epsilon$ by least squares. Let $(y_i,x_i)_{i=1}^n\...
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1answer
36 views

Impulse Responses with 68% confidence interval

In my field some papers are published with questionable econometric methodology. The impulse responses are presented with 68% confidence bands only and the conclusion is that the effect is ...
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0answers
22 views

Heteroskedasticity correction

After I ran a bptest and I detected heteroskedasticity, I want to correct for it. What is the difference between the functions HC1, HC2 and HC3 in R? bptest(model2) model3 <- coeftest(model2, ...
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2answers
42 views

Placebo Tests: Is it okay to create a placebo treatment group from a random sample of the control group?

I am running a 2 period difference in differences model on a repeated cross section. I want to test the parallel trend assumption using a placebo test. I have read that to do this "you perform an ...
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0answers
36 views

R - Deriving short and long run effects in ARDL model

I have an ARDL Unrestricted ECM that passes the Bounds test for cointegrtion. Now I want to calculate the short and long run estimates of the model, however I am unsure of how to do this in a ...
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0answers
26 views

Stationary processes that do not satisfy Gordin's central limit theorem

We are doing an assignment for our Advanced Econometrics course for which we are trying to illustrate Gordin's Central Limit Theorem by simulation. We used an AR(1) process to show that if the ...
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0answers
13 views

Lagged Dependent Variables (are they in or are they out) Vilasuso (2001, Jounral of Econometrics)

I am really struggling with whether to include lagged dependent variables or not. I have read the logic (on this website) that a lagged dependent variable should include if its current value is ...
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1answer
55 views

What does “randomly assigned conditional on some observable” mean intuitively?

From my textbook it say that "If the treatment in a quasi-experiment is "as if" randomly assigned, conditional on some observed variables w, then the treatment effect can be estimated using ...
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1answer
34 views

How to show random sampling implies no serial correlation in errors, so OLS assumption with no serial correlation is fulfilled

I am trying to prove the given random sampling, the $Cov(u_{i}, u_{j}) = 0$. Here is my prove: Assume given $y_{i}, y_{j}$ with random sample, where $y_{i} = \alpha + \beta x_{i} + u_{i}$. Also ...
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0answers
12 views

Significance of monetary policy announcements

I would like to conduct a similar t-test to the one done in the following paper Ranaldo and Rossi (2007) see Table 4.1. However I only have daily data not intraday data. I have daily data for the ...
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1answer
22 views

Logarithmic or square root transformation for econometric modeling

I am doing econometric research on firm financial ratios. Using linear panel data modeling, I am going to transform some predictors in order to reduce variance. At this regard, I am uncertain about ...
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1answer
24 views

Is it possible to add the standard errors of 2 groups together to obtain the standard error of the 2 groups combined

I am trying to recreate the results in this table. The results have been obtained by difference in difference estimation. I can obtain values from all columns except for column 5 and 6. Column 5 says ...
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1answer
55 views

OLS Population Orthogonality Condition Proof

In the OLS model, we assume that $E(X'U)=0$ (with $u$ being the error term), which comes from $E(U|X=x)=0$, providing us that $E(U)=0$ and $cov(x_i, u)=0$ $\forall x_i$. I understand this argument ...
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0answers
29 views

Econometrics of demand for substitute goods

I've got a problem that seems to be exposing a fairly fundamental hole in my econometrics training. I'm looking for a canonical reference for how to deal with the following sort of problem: For ...
0
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1answer
29 views

Supply and Demand Graphs in R [closed]

Does anyone know of any R package that can make visuals for economics like the classic supply and demand graph? Obviously I googled this and found a package called "reconPlots" but I believe it's ...
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0answers
40 views

How to interpret Nickell or dynamic panel bias?

In a panel data setting: I am running a Fixed effects dynamic panel regression. It is well known that the coefficients associated with the dynamic variable(gamma) is biased. This is also referred to ...
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0answers
39 views

R: interpreting ur.df ADF test results

I'm running ADF test on my data to test for unit root and stationarity, trend, and to find the optimal number of lags using urca package. my code is as follows: <...
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0answers
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why did Meyer use difference in difference to estimate the impact of workers compensation on injury duration?

Meyer, Viscusi and Durbin (MVD) measured the impact of increases in workers compensation on the amount of time a person would stay out of work if they were injured. They say in the paper that benefits ...