# Questions tagged [economics]

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9 views

### Insignificant impulse response functions

Anyone with time series analysis experience? I am building a VAR model with 6 endogenous variables and 3500 observations for each variable (I have used daily frequencies in my time series model). I ...
12 views

### Should I calculate the real value of net exports using the PPI for a linear regression?

I am using real values for variables such as GDP and Effective exchange rate for my OLS regression I was wondering if I should use the Producer Price index to to find the real value of net exports or ...
352 views

### Using percentage change as a dependent variable?

If I use percentage change as my dependent variable what is the correct modeling method? I am trying to see how the size of a company affects its losses due to COVID-19. I use quarter over quarter ...
16 views

### 2SLS approach using lagged dependent variable as an instrument

I was wondering if the lagged dependent variable can be a valid instrument or not. In my data, policy intervention (x) is made depending on the outcome (y) in the past. (not depending on the effect (b)...
561 views

### How to test multicollinearity in Fixed Effects Model in R?

I was using plm package in R and run some pooling and fixed effects model. For ...
18 views

### Statistical testing between two time periods to determine a change

I am trying to determine what model to use when testing how an index sector performance changes as we go from environment 1 to environment 2. The environment is based on changes in inflation and is in ...
11 views

### Calculating relative measures in panel data?

How would I do this in Stata "The relative measure is calculated as the number of standard of deviations the log of total assets of a bank I at time period T deviates from the mean total assets ...
17 views

### DiD by using a non-time dummy variable - Methodology Issue

I do have a theoretical question about a difference-in-difference (DiD) model I constructed in Stata. Construction: Over a monthly time span of 7 years I try to analyze the impact of investment-volume ...
49 views

### Calculating sample size with power analysis

I have to calculate the sample size for an experimental study and took some sample distributions data from a previous similar research and calculated the means and standard variations for before and ...
32 views

### Maximum likelihood estimate of rate of relative risk aversion in R fails [closed]

I try to estimate the relative rate of risk aversion gmma of a CRRA function using R. The likelihood maximisation either does not converge or produces an unrealistic estimate. In order to make the ...
27 views

### Contradicting Single Index model assumptions

http://www.columbia.edu/~gmg2/4706-00/pdf/lect_05nn.pdf In the above paper there is that given the equation of the single index model, Let $x_m$ denote the market index portfolio we have \$\bar R_m=...
22 views

### Can I use logistic regressions and least squares coefficients in a meta-analysis?

I am trying to write a Economics meta-analysis. The papers that I have collected so far contain a 50/50 split between OLS models and Logistic regressions (coefficients reported as odds ratios). If we ...
68 views

### How would I interpret a dummy variable and interaction term in this time series analysis using ARDL?

I'm doing an econometrics paper analyzing the impacts of oil price shocks on GDP growth. In one of my models, I use change in nominal oil prices, a dummy variable representing negative oil price ...
45 views

### Behaviour of two variables, where one variable is a ratio of another, in Labour Economics

I am trying to reproduce the result found in an old paper by Harvey S. Rosen, titled "Tax Illusion and the Labor Supply of Married Women Author", using a different dataset. The model that is ...
86 views

### Event study with time-varrying treatment intensities

I did a diff in diff to determine the effect of a policy that was implemented nationally time t=0, ( i.e. treatment occured nationally at time t=0). I use some pre-existing characteristics in various ...
47 views

### How to incorporate Week, Weekday, Holiday, and Hour Fixed Effects in Regression for Stata

thank you for taking the time to read and help! I currently have data from 2017-2020 July and with the variables date, hour (1-24), and amount in dollars. I want to incorporate Week, Weekday, Holiday, ...
270 views

### Testing the sum of coefficients in regression analysis in R [duplicate]

Hi StackExchange community, I would like to ask how to perform a statistic test on the sum of coefficients in regression analysis in R, possibly using a Wald test. As per my data, I have the ...
51 views

### Create composite index from right skewed data with extreme outliers

Do you have any advice for creating an index from right skewed-data with several extreme outliers. I am new to creating indexes for analysis and could use some advice. So far I've done things like ...
15 views

### Time series data

Is it true that a covariance stationary process has a constant mean, constant and finite variance, and zero autocovariance for all observations?
39 views

### how to model price elasticity

I'm trying to model price elasticity based on price changes and I'm wondering what is the best way to do it. My data is at at the individual customer level and there's a 0/1 indicator for whether they ...
15 views

### Using ratios and the numerator as explanatory variables in regression analysis with fixed effects

I am running a fixed effects regression analysis with a ratio of number of sellers per capita and the number of sellers as explanatory variable on its own. How should I interpret the results? My ...
15 views

### What would a suitable justification be to use 'log(exports)' as a dependent variable instead of solely 'exports'? [duplicate]

I am doing a diff-in-diff analysis, looking at whether a regulation had an impact on British pollution-intensive exports. Initially I used 'total exports of pollution-intensive goods' as my dependent ...
72 views

### Maximum likelihood estimation using R [closed]

I have a multiple linear regression, that I want to estimate using a MLE approach. I would like to make the fit using a Beta distribution, with parameters u and v. How can I do this using R?
339 views

### What do all the distributions that have the same Gini index have in common?

According to the Wikipedia article about Income inequality metrics, Gini index have the next disadvantage: As a disadvantage, the Gini index only maps a number to the properties of a diagram, but the ...