Questions tagged [econometrics]

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

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Power estimate for an interaction term in factorial design

I am trying to estimate power for a factorial design (2x2). My initial approach was to estimate pair-wise minimum detectable effect sizes : i.e., if I know sample size, allocation to each group and ...
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time trend interaction

I have a panel dataset, and I want to perform some econometric analyses on it. I want to use a trend that interacts with the initial value of certain economic variables. For the trend, does it make ...
1 vote
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Linear regression applied to time series with trend - how to deal with it and how to interpret results?

I need to fit a linear regression model on time series. For simplicity, let's assume that we have only three variables: Y - has visible trend; after differencing is stationary X1 - has visible trend;...
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Adjusting a multivariate predictive model for drifting seasonalities

This question is a repost of a question originally asked in Quantitative Finance. I was alerted that this would be a more appropriate place for it. I have a time series of daily observations that get ...
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Poisson model with left-censored data

I observe a setting where every individual may contract on a monthly annuity that pays out after event A realises and is contingent on survival. Therefore, some individuals might never receive ...
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Using long-run propensities to compare magnitude of association among independent variables

Is it feasible to add up all significant lags of respective independent variables (disregarding insignificant ones) in order to compare the strength or magnitude of their respective association with ...
1 vote
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I'm reading the famous JASA 2010 paper (https://web.stanford.edu/~jhain/Paper/JASA2010.pdf) by ADH and encounter a question in the Appendix B. The brief summary of my question is stated below and a ...
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When is E[Xi*ui]=0 violated, given that the residuals are by construction of the model uncorrelated with the predictors?

To begin: I am aware that the concepts of the "error term" and "residual" two distinct ones. Yet, I have difficulties understanding their implications for (multiple) linear ...
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Underdispersion handled with negative binomial distribution? [duplicate]

To get a more flexible model than Poisson regression, one can choose the negative binomial distribution instead for modeling with $E[y] = \mu$ and $Var(y) = \mu + \frac{1}{ \theta} \mu^2$. As a ...
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how should i analyze panel data if all units are treated simultaneously?

I possess a dataset of 273 companies from the time period 2001-2017, and i want to study whether the effect of the policy (that was implemented in 2009) on profit was moderated by industry type. My ...
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Omit continuous variable in categorical by continuous interaction

I'm trying to understand whether excluding the main effect of income in this specification is valid. Gender is a 0/1 variable whether the individual is male/female. Income and NetWorth are continuous. ...
1 vote
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can add of interaction term makes a third term insignificant?

I was reading a paper. There are 3 regression: the baseline regression: financial development of city i on city level deposit amount, control for road density, and the coefficient on road density is ...
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What is the best way to model the impact of multiple therapies/diagnostic tests on healthcare resource utilization and costs pre- and post-treatment?

I have a methods question that I'm hoping this group might be able to answer. I'm planning an causal inference analysis in R where we want to see how the use of Diagnostic Test 1 rather than ...
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OLS Model with Lags - logged coeff

i am building a OLS model using python, where the dependant and independent variables are lagged. This is a form of econometrics model where i want to figure out how much each independent variable ...
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Can using Fisherian inference help me to be more confident of an underpowered result?

I am running a discontinuous regression to see the effect of a cash transfer on an outcome using a poverty index as the running variable. The problem is that the score is not a very good predictor of ...
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Maximum Likelihood Estimation - Nested(?) Distributions

I am trying to estimate the parameters of an underlying Beta distribution using observations that arise from Geometric distributions that are conditional on the draws from the aforementioned Beta ...
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Using results of log-log regression for forecasting

If I have a regression in with logs taken of both sides to give the equation: $ln(y) = \beta_0 + \beta_1 ln(x)$ and need to calculate the expected change in $y$ for a given $x$. I can see from reading ...
157 views

Non-stationary time series: what are the advantages of doing analysis in levels instead of differences?

Suppose we want to analyze some non-stationary time series, x(t) and y(t). For simplicity, assume they are I(1). We can analyze them in levels (using cointegration tests) or in differences. What are ...
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Reversing a First Difference Error Correction Model: Converting the Forecasted FD results back

I'm doing a study on how market rates affect interest rates. The model I've chosen is an Error Correction Model. I address the unit root issue in my dataset by taking the first difference. I then ran ...
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How can I measure paid search/SEM effects on sales with MMM while accounting for funnel effects?

I am reading hello fresh approach on building a Direct and Indirect marketing mix model to avoid funnel effects (details in this link : https://engineering.hellofresh.com/bayesian-media-mix-modeling-...
1 vote
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Event study: Group periods at margins

For an event study (staggered Diff-in-Diff with different treatment periods) I would like to group the periods at the edges so that we get the coefficients for <=x / >=x , such as: For starters,...
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How to know whether I should use DiD or Spatial RDD?

I'm quite new in econometrics. I want to study a nationwide policy change at the city-level. In year T-1, cities are divided in three zones (green, orange, red) depending on their tension on the ...
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Event study regression specification: interacting covariates with leads and lags

I want to create an event study regression specification for the following: $$\ln(y_{ijt}) = \gamma \ln (x_{jt}) + \tau \ln(p_{t}) + \lambda \ln(x_{jt}) * \ln(\mbox{p}_{t}) + \epsilon_{ijt}.$$ I am ...
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Missing Data in experiments, MIPO, MIPO|X vs MCAR, MAR, MNAR [closed]

Hello I was reading Field Experiments by Alan Gerber and Donald Green and was introduced to the idea of missingness independent of potential outcomes (MIPO). And MIPO|X which is missingness ...
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Several regressions with different dependent variables

I'm working on a project where I want to compare two groups of participants based on several different metrics. Right now, I'm estimating separate regressions with different dependent variables (i.e. ...
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Different estimates of conditional mean parameters from OLS vs ARCH

Consider the market model for security $i$: $$R_{i,t}=\alpha_i + \beta_i R_{m,t} + e_{i,t}.$$ I estimated the parameters with the OLS method. ...
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Only first differencing the independent variable?

I am trying to study the relationship between income and preferences for redistribution. I have a panel dataset. I can simply the model (1): preferences = alpha + income + e. However, I'm also ...
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Rubin Causal Model and Selection Bias

In the Rubin Causal Model, with a binary treatment $T \in \{0,1\}$, the selection bias is expressed as: $$E(y_0|T=1) - E(y_0|T=0)$$ where $E(y_0|T=1)$ denotes the ...
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Autocorrelation and ARMA model

Consider the market model for security $i$ $$R_{i,t}=α_i+β_i R_{m,t}+e_i$$ I'm estimating the parameters of this model (alpha and beta) using OLS. However, the Breusch-Godfrey test indicates the ...
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How to understand why the two period Differences-in-Differences estimator is the ATT estmator?

I read in a paper here that in a two time period differences-in-differences scenario where it claims the DiD estimator is the ATT (Average Treatment on Treated). I am trying to understand why that is. ...
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How to specify gravity model of trade with intranational (domestic) trade flows?

Having read the literature on gravity models, I would like to estimate one myself. Focusing on cross-section only for now, they take the general form: lnTRADEij = aXi + bXj + cZij + eij where ...
1 vote
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r mixed model unstructured and ar1 covariance matrices

My goal is to specify two different covariance matrices for two different random intercepts. Briefly, this is my dataset. Outcome is continuous (school test scores) 13 Schools in my study. Random ...
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Is a regression discontinuity with two-way fixed effects a type of Diff-in-Diff?

I recently read a paper which used a regression discontinuity design (RDD) to study the effects of a law. The key variable was = 1 for all counties following the introduction of the ban. The model ...
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Is controlling for a time period (during which an economic crisis took place) controlling for fixed effects in a Cox extended model?

I'm using a Cox extended model to measure if job contract durations changed before or after labour reform A and B were passed. So the labour reform variable is time varying (0 if no reform, 1 if ...
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