# Questions tagged [econometrics]

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

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### Residuals as instrument in STATA

In paper by Coibion & Gorodnichenko authors estimate the following regression $\pi_{t+4,t+1}-F_{t}\pi_{t+4,t+1} = c+\beta(F_{t}\pi_{t+4,t+1}-F_{t-1}\pi_{t+3,t})+error_t$ by GMM, using as ...
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### Why are regression models utilizing time anachronistic while autoregressive models are preferred?

I was reading the accepted answer to this question that asked what was the difference between autoregressive models and models that directly utilize time, it states that: Models using time or time-...
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### How to address endogeneity concerns using a recursive bivariate probit model?

I read a paper that addresses endogeneity concerns related to a binary moderator using recursive bivariate probit models. Their approach is: Analyze data using a recursive bivariate probit model. Get ...
1 vote
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### Regression when multiple observations per individual but final result is the same

I'm very new to data analysis. I'm trying to find the causal effect of seating row and laptop use on grades at a specific university. I have data from 15 introductory economics lecture sessions ...
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### Multicollinearity and control variables dilemma

I had some superficial understanding of multicollinearity, that two highly correlated variables in the regression model are not what we want, as the estimated coefficient would be biased. Control ...
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### What is the difference between pointwise confidence interval and uniform confidence interval in econometrics?

I'm reading Callaway, Bacon, Sant'Anna (2021) paper on continuous treatment. In section 6 they show their result of applying their proposed method to Acemoglu and Finkelstein (2008) medicare example. ...
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### Log transformation uses

I am trying to understand how the migration of a male member affects the number of hours spent by left-behind women in various agricultural and non-agricultural activities. I used a simple OLS model ...
1 vote
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### Interpretation of coefficients in panel data

A colleague asked me a question about the interpretation of coefficients in a panel data regression. I'm not familiar with this field but I want to help. The question is this: In our project, we ...
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### Difference in differences when treatment status is revoked

I am trying to analyze the effect of receiving "elite" status on a university's number of international first-year students. I have a perfectly balanced panel of 17 universities over an 18-...
1 vote
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### General Expression for the $t$-th difference of conditional means

In econometrics, it is common to work with the difference-in-differences of conditional means. For example, let $Y$ denote a variable of interest and $X_{1}$ and $X_{2}$ denote binary regressors. The ...
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### Independence of Shocks in ARCH(1): A Doubt from Hayashi’s Book

I am reading Hayashi's Econometrics book, and on pages 104 and 105 he defines the ARCH(1) model for a time series $g_i$ as: \begin{aligned} g_i &= \sqrt{h_i} \varepsilon_i, \\ h_i &= \zeta + \...
1 vote
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### Why can the method of moments be expressed as a minimization problem?

Generalized method of moments (GMM) estimation seems to be called generalized method of moments because the standard method of moments (MoM) is a special case, following the following logic. MoM is ...
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1 vote
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### System GMM Estimator

Consider the dynamic linear model given by: $$y_{it} = \rho y_{i,t-1} + \alpha_i + \nu_{it}$$ where $\alpha_i$ represents individual fixed effects. The GMM two-step ...
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Consider the population $R^2$: $$\rho^2 = 1- \frac{\sigma^{2}_u}{\sigma^{2}_y}$$ This equation describes the proportion of the variation in $y$ in the population explained ...
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### two fixed effect question

I was reading this journal article on two way fixed effects by Michelle M. Marcus & Pedro H. C. Sant'Anna The Role of Parallel Trends in Event Study Settings: An Application to Environmental ...
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### Is zero condition mean preserved after transforming the conditioned variable?

In my econometrics class regarding multiple linear regression, we learned that one of the Gauss-Markov assumptions is the zero conditional mean, expressed as $E(y|\boldsymbol{x}) = 0$. My question is:...
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1 vote