# Questions tagged [macroeconomics]

Macroeconomics is a general branch of economics which studies the behavior of larger economic entities like countries. Macroeconomists often analyze time series of country specific data (e.g. inflation, output, unemployment) to understand economic relationships. The application of statistics, specifically econometrics, to macroeconomic questions is called macroeconometrics.

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### Calculating natural rate of unemployment

I have sample data on unemployment rate in a market and am looking to calculate the natural unemployment rate. The natural unemployment rate I obtained is constant over a time period, which is not a ...
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### Using macroeconomic variables in Market Mix Model

I am building a market mix model from proprietary data to predict sales. I would like to include macroeconomic variables as well, such as unemployment rate and consumer confidence. However, the ...
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### Working with systems with Perfect Multicollinearity

I am working with a time-series dataset that is based on demand-supply dynamics with several variables. THe sample data for one time period is: ...
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### First or second difference or log for simulated real GDP data?

For a paper I need to use simulated real GDP data to regress this on average income mobility (how much more the next generation earns). As a hint the assignment indicates that the STATA code for a ...
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### How to Convert Quarterly Data into Annual Data

I'm doing a project where I'm trying to compare the median wage of workers that had federal job training to the minimum wage indexed to productivity. The Department of Labor only offers the median ...
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### How important is a statistically significant intercept?

I've created the following model: log(consumption) = a + b*log(GDP) + c*log(GDP(-1)) + d*log(consumption(-1)) The slope coefficients are all statistically ...
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### What econometric model would be use to study trade between a home country, and multiple foreign countries? [closed]

While initally my proffesor and I thought a gravity model would suffice, we realized that the gravity model generally specifies only two countries in the textbook. Is their a gravity-type model for n ...
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### Decomposition of interest rate risk premia

I have a question on econometric modelling techniques for decomposition. I have three variables: - V1 which is an indicator of an interest rate risk premia - V2 which is an indicator of a credit risk ...
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### Interpretation of the Impulse Response Function - VAR Estimation

I have some issues while discussing and interpreting this impulse response function (the graphics analysis). What do they mean and represent economically? What can the conclusions be? Basically ...
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### Time varying representation of Okun's law

I've estimated a dynamic linear model to capture time varying parameters in an Okun's law type of model: I set the starting values for the state vector all equal to zero and estimate the system ...
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### 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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### Thomas Sargent's intuition as to why every covariance stationary series has an infinite-order Wold representation

In his classic book "Time Series Analysis", James Hamilton references Thomas Sargent (["Dynamic Macroeconomic Theory"], 1987, pp. 286-290) as a "nice sketch of the intuition behind this result [Wold ...
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### Unit Root - Real Interest Rate

I want to find out whether the real interest rate of different countries are non-stationary. The real interest rate is defined as the difference between the nominal interest rate and the inflation ...
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### VAR(p) models and its application in describing GDP growth

Im currently reading up on Vector Auto Regression models however I cant wrap my head around how you set a model to describe a variable. My goal is it use interest rate, imports and exchange rate to ...
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### VECM with Multicollinearity

I have fit a vector error correction model (VECM) to some macroeconomic data. In particular, I am interested in three relationships real GDP as a function of employment and real wages employment as a ...
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### Long-term targets of variables in levels for differenced VAR

I am currently trying to estimate a VAR(1) model for some variables including inflation. Lets say the VAR model looks like this: $$X_t = c + \Pi X_{t-1} + \epsilon_t.$$ In this case we can set long-...
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### Macroeconomic effects. Effects of a time serie on another

I have a monthly time series for the provision in a financial institution. Take real data until december 2017 and predict it with a Bat model until June 2018 using R and I have an error of 0.12%. This ...