# Questions tagged [econometrics]

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

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225 views

### Test for different time trend for different groups?

I have data (y) at different time points (t) for individuals (i) in 2 different groups (<...
19 views

### 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 ...
17 views

### 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
226 views

### 2sls asssumptions vs IV assumptions

Silly question but I was confused about the independence assumption for instrumental variables when they are used in 2SLS. Is it the case that the instrumental variable used in 2SLS only has to be as ...
5k views

### Fixed effects vs the dummy variables themselves: structural vs practical equation

I have a question about if there is a substantive difference between a fixed effect and the way we estimate them (e.g., dummy variables). Are the estimated dummy variables the fixed effect, or do they ...
1 vote
258 views

### Asymptotic variance of linear regression with homoskedasticity assumption (Wooldridge Panel book Eq. (4.10))

Jeffrey M. Wooldridge Econometric Analysis of Cross Section and Panel Data Chapter 4 The Single-Equation Linear Model and OLS Estimation Section 4.2 Asymptotic Properties of OLS Subsection 4.2.2 ...
18 views

### 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 ...
1 vote
25 views

### 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;...
329 views

### What are some recommended Graduate-Level Probability and/or Statistics textbooks for an incoming Econ PhD Student?

Title covers most of it. I'm an undergrad who will be graduating in a few weeks and will be starting a PhD Program in Economics. I'm interested in Econometric theory. I've taken undergrad level ...
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 ...
19 views

### 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 ...
6 views

### 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
8 views

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 ...
16 views

### 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 ...
19 views

### 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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### Using Controls that are time-invariant with the difference-in-differences estimators

I ran an experiment in which there was 2 groups of participants performing the exact same task during a first period. In the second period, the two groups had to perform the same task a second time. ...
1 vote
829 views

### Counterexample where E(u|x)=0 in a regression model cannot hold in the population?

Edit: Background information: I have two variables of interest, $y$ and $x$ that are linearly related via the following: $y = a + bx + u$, where "$a$" and "$b$" are fixed ...
1 vote
154 views

### Instrumental variable: Indirect effect of Z on Y

I have found an instrument variable ($Z$) for my econometric model. The relevance constraint holds, however I still have a question about the instrument exogeneity and that is: It is said that it ...
1k views

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

I am checking the long-term relationship between unemployment and labor force participation rate. I have an integration order $I(1)$ and I want to run VAR. As far as I understand, I need to use first ...
1 vote
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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 ...
19 views

### 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 ...
465 views

### What should I conclude if a Unit Root Test gives contradictory results with & without a trend?

I have a data set for a variable, for which I have run some unit-root tests: ADF (constant/without trend): t-stat=-1.0816, p-val=0.7218 - DNR ADF (constant & trend): t-stat=-4.5203, p-val=0.0021 -...
227 views

### 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. ...
231 views

### What's the minimum number of datapoints in order to run a diff-in-diff?

I was thinking about running a diff-in-diff with fixed effect in order to deal with a panel data experiment. The problem is that I don't know how many datapoints I need in order to the experiment be ...
6 views

### 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 ...
1 vote
25 views

### 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 ...
15 views

### 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 ...
17 views

### 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 ...
1k views

### Expression for the unconditional variance in the EGARCH model

Given the EGARCH specification: $\log(\sigma_t^2)=\omega + \alpha(|z_{t-1}| + E[|z_{t-1}|]) + \gamma z_{t-1} + \beta \log(\sigma_{t-1}^2)$ Is it possible to find a closed-form solution for the ...
15k views

### Propensity Scores Weighted DID

I have a tough challenge using the DID. I have only 2 year data set, 2010 and 2015. The first is the baseline and the latter is follow-up year. In order to obtain true causal effect using DID, I ...
92 views

### 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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### 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 ...
37 views

### 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 ...
1k views

### Log transformation of TS-stationary time series?

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 [2\...
53 views

### 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 ...
1 vote