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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53 views

Lagged values in a Lasso regression

While working on the statistics for my thesis, I became confused while building up my model. I am currently working on a forecasting model with the use of a LASSO regression. The model is build as ...
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10 views

Will simultaneity bias occur if I use VAR to test the linkages between monetary shocks, interest rates, and inflation?

I am writing an undergraduate paper and my goal is to investigate the liquidity effect. That is, I want to determine if expansions in monetary policy reduce interest rates. Initially, I wanted to ...
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2answers
58 views

How to statistically test relationship between two variables?

I am trying to investigate the stability of spread between two short-term interest rates by the example of 1M and 12M Euribor. I don't think only looking at correlations over time is statisically ...
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1answer
25 views

OLS regression on linear time series model

I am dealing with macro-economic data in EVIEWS11: new firms founded per year scaled by population ENT real gdp per capita Y stock market capitalisation scaled by population and in real terms MK ...
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17 views

Regression: Is it bad practice to use log difference as approximation for % difference when changes are large?

I'm running a vector autoregression model with quarterly IPOs as one of the variables. Since the number of IPOs isn't stationary, I took the log first difference to make it stationary. However, I ...
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26 views

How to find the log diff of data values on Excel? [closed]

I'm currently looking to run a MLR on GDP: quarter on quarter growth. I’ve been asked to find the log diff of the gdp, however I’m unaware on how to do this on Excel and how to account for negative ...
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18 views

VAR IRF for GPD with all GDP components

My question is twofold (hope it's ok). I want to estimate VAR model with the sole purpose of analysing the impulse response functions. I want to analyse the response of GDP to shock in exports and ...
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27 views

Why impulse responses are so weird in this exercise?

I ran my VAR model with inflation, real gdp, a proxy for fiscal policy and a policy indicator. I used the function externalinstrument in R and followed this ...
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21 views

I have I(1) dependent, two I(0) and one I(2) independent variables, which model I have to use?

I want inflation forecast. I have I(1) dependent, two I(0) and one I(2) independent variables, how can I check co-integration and which model I have to use? I was about to use ARDL or ECM model, but ...
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1answer
50 views

How do I solve this system of equations?

I am doing something that is commmon practice in economics to uniquely identify matrices. After deriving 3 unrotated factors from PCA, I then want to rotate them to be able to interpret them in ...
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89 views

Johansen-Procedure Interpretation (ca.jo)

I am trying to run a Johansen-Procedure in a set of macroeconomic variables (GDP, credit outstanding and industrial production). I am working with them in level. How should I interpret the following ...
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1answer
50 views

Overview Standard Error Correction in Time Series / Panel Literature

In microeconometrics, the time component is usually short (meaning that $T$ is fixed in $t=1,\ldots,T$). Serial correlation is here usually just seen as a negligible issue affecting the standard ...
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12 views

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

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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36 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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1answer
38 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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8 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
47 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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27 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
27 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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38 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
206 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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2answers
64 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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2answers
30 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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113 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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136 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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14 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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12 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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36 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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21 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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0answers
272 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
131 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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20 views

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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34 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
2k 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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0answers
54 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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1answer
287 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 ...
3
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0answers
75 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
272 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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0answers
30 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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0answers
60 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-...
1
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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
173 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
201 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 ...
2
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1answer
64 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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41 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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0answers
84 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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0answers
118 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 ...
2
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0answers
176 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 ...