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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How best to construct an indicator variable to capture the effects of an intervention?

How should one construct an indicator variable to properly capture the effects of an intervention? If an intervention like the 2008 bailout (TARP-Economic stimulus) is to get proper credit for the ...
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17 views

Cointegration of two time series

this is more of a conceptual question. I'm wondering whether a linear relationship exists between two time series: short-term interest rate differential of U.S. and U.K. and the GBP/USD exchange rate ...
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30 views

OLS, IV applied to basic macro model

I am preparing for my final in Econometrics but I am confused over a new problem I encountered. I think I have solved it but I am unsure whether I am not making any gross mistakes. This is the study ...
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7 views

Is it possible to test variable paths in a VAR model?

I am trying to write a model to predict the GDP. For now I am running a very simple model with the interest rate and the GDP. Since both are correlated, I tried a VAR model. The following code is in ...
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1answer
25 views

First difference or seasonal difference in VAR/VECM

I have monthly data on house price, rental price, wage index and interest rates. I want to use VAR to produce impulse response function. Is there any reason why I should use first difference, x(t)/x(...
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24 views

Analyse the influence of interior demand and trade on exports

I would like to have a primer on how the current slowdown of the German economy affects its partners in the euro area, for instance France, Spain and Italy. More specifically, if it channels mainly ...
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1answer
26 views

Applying settlement and Regional fixed effects

I'm reading a paper by Gyöngyösi and Verner (2019), and noticed that the authors have included fixed effects at the settlement (seems to be akin to village/town) and at the region level, in a number ...
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32 views

OLS Time series regression with levels and first differences

I am currently working on my bachelors thesis and I am trying to perform an OLS time-series regression with the short-term interest rate as dependent and inflation expectations and an output-gap as ...
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1answer
29 views

How to analyse an impulse response function with more than 2 variables?

I am running an impulse response function in R, using the package vars. My data has 3 variables, the inflation (Brazilian CPI, or IPCA), the exchange rate and the output gap. My goal is to calculate ...
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30 views

Deseasonalize data AND deflate with CPI?

I have property return variables and economic variables that I am using in a VECM/VAR to generate Impulse Response Functions. I have deflated my data with CPI, but do I also have to deseasonalize the ...
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27 views

Can i use short time series data?

I want to run ols regression for time series data in R, but my data is short that is annual from 2000-2009. There are only 9 variables(2000-2009) and i collected data for inflation and exchange rate ...
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69 views

Dynamic factor model (DFM) with R, please help

I'm interested doing a dynamic factor model (DLM) similar to Doz, Giannone and Reichlin (2011) and Giannone, Reichlin and Small (2008). Moreover, I'm trying doing macroeconomic nowcasting model. In ...
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56 views

How to estimate a SVAR model with contemporaneous restrictions that are different to the lagged restrictions

I am trying to do an SVAR model from the paper "What drives natural gas prices - an SVAR approach" (link below) which has different constraints for the lagged variables (The $A^{*}_{i}$ matrices) than ...
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36 views

I want to run a time regression and do not know much of advanced econometrics. I want to regress GDP on money supply (maybe using IV)

I understand that running the regression : $$\text{Nominal GDP}_t= \beta_0 + \beta_1\text{MoneySupply}_t+\cdots+\varepsilon_t$$ will be biased due to reverse causality. However, change in money ...
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12 views

Analysing the impact of US monetary policy shocks on capital flows to emerging markets

I am trying to analyse the impact of US monetary policy on capital flows to emerging markets. Dependent variable is capital inflow to country i (monthly data from 2000-2018). Independent variables ...
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11 views

How do you compute Cross Correlation,Coherence and Mean Dealy?

I have been researching about economic forcasting using NBER type of analysis. It says about computing Cross Correlation, Coherence and Mean Delay of turning points then use them to determine which ...
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34 views

OLS as estimator

we've been given following question, but have some trouble getting started, can anyone help out? $\pi_{t}=\alpha_{1}+\alpha_{2} u_{t}+\alpha_{3} \pi_{t+1 | t}^{e}+\eta_{t}, \quad t=1,2, \ldots, T$ ...
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16 views

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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6 views

Generate scenarios of multiple related parameters

Assume I have three industry datasets: interest rates, inflation and unemployment. Data contains information of last ten years and it's monthly. Now, I would like to create N possible scenarios of ...
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218 views

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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1answer
79 views

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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31 views

Choosing between two econometric models

I created an initial model log(Consumption) = a + b*log(GDP), which showed strong evidence of autocorrelation and heteroscedasticity. I've created two different models to address this but I'm ...
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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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29 views

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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1answer
1k views

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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49 views

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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37 views

Rescaling Linear Impulse Response Functions, Innovations, and Confidence Bands

all. I am using a VAR model to do a bit of analysis. I obtain cumulative (linear) orthogonalized impulse response functions (COIRF). Because I am conducting similar analysis across different time ...
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25 views

Is Error Correction Model the right way to find relationship between wages and productivity?

I want to find out if there is a causal relationship between the productivity and wages in several sectors. For that purpose i was thinking about using an Error correction model. However, there are so ...
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1answer
124 views

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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71 views

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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1answer
199 views

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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26 views

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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51 views

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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1answer
24 views

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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1answer
30 views

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 ...
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1answer
125 views

Macroeconomic variables in GARCH

I'm using a GARCH model which studies the relationship between news effects and the commodity market. In the model, I would also like to include some macroeconomic variables, e.g. interest rates or ...
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1answer
155 views

Interest rate control variable GARCH

I'm building a GARCH model which looks if analysts' reports affect the volatility of certain stocks. I was wondering if it would be logical to include the interest rate in my GARCH model as a sort of ...
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1answer
53 views

How to estimate all percentile values (or distribution) from only decile values?

Background: I have two datasets with income estimates, one for the GLOBAL population, one for a LOCAL population (LOCAL only a small fraction of GLOBAL, on the order of 1/100). Datapoints: I have ...
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37 views

Missing news data in GARCH

I'm trying to use a GARCH(1,1) model to see if news articles (and their sentiment) about oil have an impact on the volatility of the oil price. However, in my period of interest, there are a lot of ...
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70 views

How to solve a well fitted model - Model Misspecification

I am currently writing a paper, analysing the impact of goldprice movements on the capital structure of gold mining firms. My basic model is a simple OLS model with (y=leverage and x=ln(goldprice)). ...
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97 views

Gini index question

If a country A has a higher Gini index than country B, can you interpret this as that the income distribution in A is lower because of the higher inequality? So we would expect to see wealth being ...
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160 views

Structural Equation Model and Causality in Economics

I would want to make a study about the influence of some regressors in the evaluation of the effects of increment of subsidy in an economic sector. I would use SEM (Structural Equation Model) to ...
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1answer
242 views

Interpreting diagnostics and tests with time series data

I am analysing the effect of monetary policy on output and inflation during crisis and after. Monetary policy is represented by exchange rate, interest rate, money supply and indicator of systemic ...
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193 views

How do you interpret the coefficient of a growth variable when the dependent variable is also a growth variable?

How do you interpret a coefficient of $\beta=0.0307 $ in this model? $ \frac { \Delta Y _ { t ,t + k } ^ { i j } } { Y _ { t } ^ { i j } } = \mu _ { j } + \beta \frac { \Delta P _ { t ,t + k } ^ { i ...
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1answer
579 views

How to interpret an equation with both growth rates and logged variables?

How do you interpret $\beta_{1}$ in an equation like this: $$\frac { \Delta P _ { t ,t + k } ^ { i ,j } } { P _ { t } ^ { i ,j } } = \mu _ { j } + \beta _ { 1} \ln \left( P _ { t } ^ { i ,j } \right) ...
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1answer
283 views

Avoiding multicollinearity in a multi group diff-in-diff model

Suppose I have an experiment where I have three groups $A, B , C$, such that groups $A$ and $B$ have specific (but different) characteristics and group $C$ is just a control group, with no special ...
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1answer
30 views

Estimating regional level data from national data

I am trying to estimate regional unemployment rate. I understand unemployment rate is calculated as (number of people unemployed/total labour force). For the national level, I have historical rates as ...
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1answer
708 views

Rate of Unemployment better logarithm or not

In an econometric point of view when I have a variable such as unemployment rate which is a percentage, should I transform it with logarithm? This question came to my mind cause when we have variable ...
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1answer
346 views

Unit root test Unemployment

I want to analyze the unemployment rate in Austria from 1999 to 2017, quaterly data. Here's the code for the time series: ...
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1answer
105 views

Using a VAR over a VECM (in spite of of existing cointegration)

Is there ever a reason to use a first differenced VAR over a VECM when all your variables are I(1) and co integration exists? The reason why I ask is because I see in the most recent Bank of Canada ...